Liquid alternatives finished the fourth quarter flat after gaining 0.2% in December to conclude a lackluster year.
The Wilshire Liquid Alternatives Index posted a 2.3% return for 2016, compared with 12% for the S&P 500 and 2.7% for the Bloomberg Barclays US Aggregate Bond Index.
The index performed roughly in line with the HFRX Global Hedge Fund Index, but fell short of the HFRI Fund Weighted Composite Index’s full-year return of 5.6%.
Wilshire reported that the year’s best liquid alts sub-strategy index was relative value, which comprises credit, convertible arbitrage and volatility funds and makes up 36% the Wilshire Liquid Alternative Index. It finished the year up 4.4%, 172 basis points ahead of the Bloomberg Barclays Agg.
The event-driven subindex gained 3.5% in 2016, the equity hedge subindex gained 2.6% and the multistrategy sub-index ended the year up 1.3%.
The year’s worst-performing substrategy was global macro, which finished down 2.1%.