Liquid alternatives faced their third consecutive monthly loss in February, down 0.3%.
The Wilshire Liquid Alternative Index, which recorded a negative yearly return of 3.5% in 2015, is now down 1.6% for the first two months of this year.
The February return was in line with a similar loss recorded by the HFRX Global Hedge Funds Index.
The liquid alternative multistrategy index, which includes both single- and multimanager funds, was down 0.6% in February.
The Wilshire Liquid Alternative Index family is a joint offering between Wilshire Funds Management, Wilshire Associates’ global investment management business, and Wilshire Analytics, creator of the Wilshire 5000 Total Market Index.
The liquid alternative global macro sub-index — including systematic, discretionary, currency and commodity funds — provided the only good news in February, ending the month up 0.9%, 61 basis points ahead of the HFRX macro/CTA index.
Wilshire reported that the majority of systematic CTAs, continuing to hold short positions in commodity and equity markets, had a positive month, though they did give back returns when those markets rallied mid-month.
The relative value subindex, which includes credit, convertible arbitrage and volatility funds, ended February down 0.7%, underperforming its HFRX counterpart by 44 basis points.