Here's a look at how Wilshire liquid alternative sub-indexes performed in August:
Global Macro (systematic, discretionary, commodity and currency funds)
- The global macro sub-index ended the month up 0.6%, underperforming the HFRX Macro/CTA Index by 12 basis points
- CTAs and discretionary managers contributed 70 and 9 basis points of return
- Currency managers detracted 15 points of return
- Bonds, interest rates and commodities contributed positively to performance
- Equity and currency returns were mixed across managers — in recent months, performance was driven solely by positive equity returns
Relative Value (credit, convertible arbitrage and volatility funds)
- The relative value sub-index was up 0.3%, while the HFRX Relative Value Arbitrage Index was down 0.1%
- Credit and multi-strategy managers contributed the majority of the return
- Volatility strategies were slightly negative and remained at near historic lows
- Investment-grade and high-yield credit spreads widened sharply midway through August
Equity Hedge
- The equity hedge sub-index posted an August return of 0.4%, underperforming the 0.5% return of the HFRX Equity Hedge Index
- Long-biased and market neutral managers contributed 21 and 9 points of return
- Long-biased strategies benefited from positive contributions from IT, health care and utilities sector investments
- Managers with exposure to energy and financials underperformed
Event-Driven (credit, merger arbitrage and special situations funds)
- The event-driven sub-index was down 0.3% in August, compared with the 0.1% return of the HFRX Event Driven Index
- Credit strategies were positive, contributing 20 basis points of return
- Merger arbitrage strategies ended the month flat
- Managers that were long credit risk underperformed as lower-rated corporate credits lagged for the month
Multi-Strategy (both single and multi-manager funds)
- The multi-strategy sub-index finished August up 0.7%
The Wilshire Liquid Alternative Index family is a joint offering between Wilshire Funds Management, the global investment management business unit of Wilshire Associates Inc., and Wilshire Analytics, creator of the Wilshire 5000 Total Market Index.
