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Wilshire Liquid Alternative Index returns 1.18% in February

Tuesday, March 16, 2021
Opalesque Industry Update - The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 1.18% in February, underperforming the 1.52% monthly return of the HFRX Global Hedge Fund Index. The Wilshire Liquid Alternative Index family aims to deliver precise market measures for the performance of diversified liquid alternative investment strategies implemented through mutual fund structures, backed by a proprietary classification methodology.

"Following the Reddit-induced deleveraging at the end of January, equity markets bounced back to reach all-time highs during the first three weeks of February," said Jason Schwarz, President and Chief Operating Officer of Wilshire. The Wilshire Liquid Alternative Equity Hedge Index? ended the month up 2.65%, underperforming the HFRX Equity Hedge Index's return of 2.84%.

• On the back of strong fourth quarter corporate earnings, equity markets enjoyed a positive month with alpha opportunities returning to create a favorable environment for long/short investing.

• Growth-oriented managers outperformed value-oriented managers during the month, but as rates began to rise in the latter part of the month, technology began to sell off and a rotation to cyclicals and value names started to take place.

The Wilshire Liquid Alternative Event Driven Index ended the month up 0.99%, underperforming the HFRX Event Driven Index's monthly return of 1.33%.

• Merger arbitrage managers enjoyed a positive February as competitive pricing pressure on deals led to higher and/or hostile bids. The most active M&A sectors were pharmaceuticals, healthcare and technology. The Wilshire Liquid Alternative Global Macro Index? ended the month up 1.54%, outperforming the HFRX Macro/CTA Index's monthly return of 1.29%.

• Macro managers enjoyed a strong month on the back of outsized moves in currencies, commodities and equities. Managers who were short the U.S. dollar, long energies and long equities profited during the month. The rise in yields towards the end of February produced a volatile market and a retracement in equities, which led many CTAs to reduce risk exposure going into March.

The Wilshire Liquid Alternative Relative Value Index ended the month up 0.20%, underperforming the HFRX Relative Value Arbitrage Index's monthly return of 0.41%.

• Structured credit markets experienced a positive month due to flat or tighter spreads across its sectors.

• Relative value convertible arbitrage managers enjoyed a positive month as credit spreads tightened and volatility rose in single name equities.

The Wilshire Liquid Alternative Multi-Strategy Index?, which includes both single and multi-manager funds, returned 1.23% in February.

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