Opalesque Industry Update - The Wilshire Liquid Alternative IndexSM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.06% in March, slightly outperforming the 0.03% return of the HFRX Global Hedge Fund Index. The Wilshire Liquid Alternative Index family is a joint offering between Wilshire Funds Management, the global investment management business unit of Wilshire Associates Incorporated, and Wilshire Analytics, creator of the Wilshire 5000 Total Market IndexSM. "For the quarter, systematic, discretionary and currency strategies all contributed positively to the Index, while CTAs showed negative performance for January and March, detracting from a strong February" said Jason Schwarz, President of Wilshire Funds Management. The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned 0.08% in March. The Wilshire Liquid Alternative Equity Hedge IndexSM, which includes long/short equity and market neutral funds, gained 0.05% in March and 1.93% for the first quarter in 2017, underperforming the HFRX Equity Hedge Index by 61 basis points and 77 basis points, respectively. Long-biased equity managers were the largest contributors to the Index's performance, as equity markets gained in every month throughout the quarter. Global strategies were notably positive as emerging market and European equities rallied. Fundamental growth strategies continued to outperform value-oriented strategies, as the S&P Growth Index outperformed the S&P Value Index by 490 basis points during the quarter. The Wilshire Liquid Alternative Global Macro IndexSM, which includes systematic, discretionary, commodity and currency funds, ended March negatively, returning -0.16%, but ended the first quarter positively, returning 1.17%, outperforming both the HFRX Macro/CTA Index's -0.97% March return and -0.76% quarterly return. The strong gains that occurred in equity markets, the U.S. dollar and U.S. government yields have all diminished or reversed as the Trump trade rally has slowed down. Discretionary managers consistently performed throughout the quarter, taking advantage of the strong equity markets globally and navigating the energy markets and the Fed's interest rate hike on March 15th. Currency managers also contributed positively to the index's quarterly performance. The Wilshire Liquid Alternative Event Driven IndexSM, which includes credit, merger arbitrage and special situations funds, ended March down -0.07% and returned 0.78% in the first quarter, underperforming the HFRX Event Driven Index by 40 basis points and 216 basis points, respectively. Credit managers were the largest contributors to Index performance as corporate credit markets experienced positive market technicals and price appreciation, most notably within January and February. Credit risk benefited, evidenced by the Merrill Lynch High Yield CCC bond index, which tracks speculative junk bonds, gaining 520 basis points for the quarter. As a result, special situation credit and equity positions benefited during the month. Merger arbitrage strategies were positive as a group. The Wilshire Liquid Alternative Relative Value IndexSM, which includes credit, convertible arbitrage and volatility funds, finished the month up 0.19%, outperforming the HFRX Relative Value Arbitrage Index, which returned -0.24%. The first quarter performance was more in line, as the Relative Value Index returned 1.00% versus the HFRX Index, which returned 1.02%. During the first quarter, credit managers were able to take advantage of spread compression in both investment grade and high yield markets. Multi-strategy and convertible arbitrage managers also performed positively throughout the quarter. Volatility managers were the only detractors from performance in the relative value space. Many credit managers have limited their duration in anticipation of further rate hikes, which has led to significant outperformance during the past nine months.
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Industry Updates
Wilshire Liquid Alternative Index gains 0.06% in March
Thursday, April 13, 2017
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