The Wilshire Liquid Alternative Index returned 0.1% in August, underperforming the HFRX Global Hedge Fund Index’s return by five basis points.
Liquid alternatives are up 1.3% for Q3, and up 2.6% year to date.
The relative value sub-index, which includes credit, convertible arbitrage and volatility funds, was the top performer in August, returning 0.8% to beat the HFRX relative value arbitrage index by 61 basis points. The sub-index is up 4% for the year.
Credit managers contributed 69 basis points to the monthly return, taking advantage of relatively stable credit spreads, Wilshire reported. Convertible arbitrage, volatility and multi-strategy managers were flat.
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 Index.
Special situations, credit and merger arbitrage funds in the liquid alternative event-driven sub-index gained 0.6% in August, 11 basis points behind the HFRX event-driven index.
Merger arbitrage strategies added 51 basis points to the index’s performance, and special situation investments focused on energy and multi-strategy event managers chipped in 11 points.
The global macro sub-index, comprising systematic, discretionary, commodity and currency funds, reported the biggest loss in August, down 1.1%, slightly lagging the HFRX macro/CTA index’s 1% loss.