In February, the Wilshire Liquid Alternative Index returned 0.8%, underperforming the HFRX Global Hedge Fund Index’s monthly return of 1.1%.
Last month, the two indexes reversed positions: the Wilshire was up 0.6%, and the HFRX was up 0.5%.
Liquid alternatives are coming off a lackluster 2016, when the index posted a 2.3% return, compared with 12% for the S&P 500 and 2.7% for the Bloomberg Barclays US Aggregate Bond Index.
The Wilshire Liquid Alternative Index family is a joint offering between Wilshire Funds Management, the global investment management business unit of Wilshire Associates Inc., and Wilshire Analytics, creator of the Wilshire 5000 Total Market Index.
In February, the global macro subindex, which comprises systematic, discretionary, commodity and currency funds, finished up 1.5%, ahead of the HFRX macro/CTA index return of 1.2%.
CTAs contributed 135 basis points of return and discretionary global macro managers added another 20 points, while currency/commodity managers were down five basis points of return.
The equity hedge subindex ended February up 1.1%, slightly behind its HFRX counterpart’s 1.2% return.
Credit, merger arbitrage and special situations funds in the event-driven subindex gained 0.5%, well behind the HFRX event-driven index return of 1.6%. Credit managers chipped in 27 basis points.