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.
“The majority of losses came from credit managers, while the positive contributions came from volatility managers who were able to capture returns when volatility spiked intra-month,” Wilshire Funds Management president Jason Schwarz said in a statement.
“The first few weeks of the month saw high yield spreads widen to levels investors had not seen in years, though spreads sharply reversed mid-month and finished tighter than at the beginning of February.”
The equity hedge subindex, incorporating long/short equity and market neutral funds, lost 0.3% for the month, outperforming the HFRX equity hedge index by 82 basis points.
Wilshire said global long-biased strategies underperformed, led by negative contributions from the financials, energy and IT sectors. Market neutral and value-oriented strategies were positive contributors.
The liquid alternative event-driven subindex, which includes credit, merger arbitrage and special situations funds, lost 0.1% in February, underperforming the HFRX event-driven index by 14 points.
Wilshire reported that merger arbitrage strategies made positive contributions during the month, while value-oriented corporate credit strategies took the biggest hit, as lower quality corporate debt continued to face a challenging trading environment.
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