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  Wilshire Liquid Alternative Index Gains 0.75% in February

SANTA MONICA, CA, MARCH 10, 2017—The Wilshire Liquid Alternative IndexSM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.75% in February, underperforming the 1.12% monthly return for 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.

“We continued to observe large-cap stocks outperforming small-cap stocks, in addition to growth strategies outperforming value strategies. Deep-value credit strategies also continued to outperform as the leveraged credit markets rallied on the anticipated pro-growth policies of the new administration,” said Jason Schwarz, president of Wilshire Funds Management.

Multi-Strategy

  • The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned 1.20% in February.

Global Macro

  • The Wilshire Liquid Alternative Global Macro IndexSM ended the month up 1.50%, outperforming the HFRX Macro/CTA Index’s 1.18% return.
  • CTAs contributed 135 basis points of return while discretionary global macro managers contributed 20 basis points of return and currency/commodity managers detracted -5 basis points of return.

Relative Value

  • The Wilshire Liquid Alternative Relative Value IndexSM ended the month down 0.03%, underperforming the HFRX Relative Value Arbitrage Index’s 0.62% return.
  • Credit managers contributed 55 basis points of return, multi-strategy managers contributed 27 basis points, and convertible arbitrage managers contributed only 5 basis points.
  • An option-writing manager, which was one of the largest liquid alternative strategies, lost over 18% in February and detracted the entire 84 basis points from the volatility space.

Equity Hedge

  • The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month up 1.06%, modestly underperforming the HFRX Equity Hedge Index’s 1.17% return.
  • Long-biased managers contributed 110 basis points to Index performance while market neutral and short-biased managers detracted 4 basis points of return.
  • Credit managers contributed 27 basis points while merger arbitrage strategies added 15 basis points, and multi-strategy managers added 6 basis points of return.

Event Driven

  • The Wilshire Liquid Alternative Event Driven IndexSM ended the month up 0.49%, underperforming the HFRX Event Driven Index’s 1.55% return.
  • Credit managers contributed 27 basis points while merger arbitrage strategies added 15 basis points, and multi-strategy managers added 6 basis points of return.

About Wilshire Associates

Wilshire Associates, a leading global, independent investment consulting and services firm, provides consulting services, analytics solutions, and customized investment products to plan sponsors, investment managers, and financial intermediaries. Its business units include Wilshire Analytics, Wilshire Consulting, Wilshire Funds Management, and Wilshire Private Markets.

Based in Santa Monica, California, Wilshire provides services to clients in more than 20 countries representing more than 500 organizations with assets totaling approximately US $7 trillion.*

The Wilshire Liquid Alternative Index family is a joint offering between Wilshire Funds Management and Wilshire Analytics. Wilshire Funds Management leverages Wilshire’s institutional expertise to offer investment advisory services, retirement services, and hedge fund managed account services to some of the largest banks, broker/dealers, asset managers, insurance companies, and retirement plan providers. As of December 31, 2016, Wilshire Funds Management advises on over $157 billion. Wilshire Analytics provides investment firms worldwide with multi-asset class solutions for analytics, attribution, risk management, performance, GIPS reporting, total fund reporting, peer universe, and style comparisons. Wilshire Analytics is the creator of the Wilshire 5000 Total Market IndexSM, widely accepted as the definitive benchmark for the broad U.S. stock market.

Please visit www.wilshire.com for more information.
Twitter: @WilshireAssoc

*Client assets are as represented by Pensions & Investments (P&I), detailed in P&I’s “Largest Retirement Funds” and P&I’s “Largest Money Managers (U.S. institutional tax-exempt assets)” as of 9/30/15 and 12/31/15, and published 2/8/16 and 5/30/16, respectively.

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Replay Now Available!

2017 Third Quarter Market Update
  • Presented by: Josh Emanuel, CIO, Wilshire Funds Management
  • Date: Wed., Oct. 18, 2017