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Portfolio > Mutual Funds > Equity Funds

Liquid Alts Eked Out Gain in August

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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.

CTAs significantly detracted from the index return as energy and fixed income prices reversed their previous trends.

“Discretionary managers, who maintained long equity exposure in June and July, capitalized on the risk-on rally in August and contributed positively to the index,” said Wilshire Funds Management president Jason Schwarz in a statement.

“Discretionary managers contributed 20 basis points for the month, while systematic strategies detracted 130 basis points.”

The equity hedge sub-index of long/short equity and market neutral funds also declined in August, down 0.1%, 71 basis points behind its HFRX counterpart.

Long-biased equity managers experienced mixed performance during the month, while gains from fundamental value strategies offset losses from low-volatility and growth strategies.

Wilshire said strategies with exposure to energy, financials and information technology sectors benefited from the rally in oil prices and investors pricing in expectations of a potential interest rate increase in the near term.

The multi-strategy sub-index’s single and multi-manager funds were flat in August.


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