Liquid Alts Outstripped Hedge Funds in August

Here’s a look at how Wilshire liquid alternative sub-indexes performed in August:

Global Macro (systematic, discretionary, commodity and currency funds)

• The global macro sub-index ended the month up 0.6%, underperforming the HFRX Macro/CTA Index by 12 basis points
• CTAs and discretionary managers contributed 70 and 9 basis points of return
• Currency managers detracted 15 points of return
• Bonds, interest rates and commodities contributed positively to performance
• Equity and currency returns were mixed across managers — in recent months, performance was driven solely by positive equity returns

Relative Value (credit, convertible arbitrage and volatility funds)

• The relative value sub-index was up 0.3%, while the HFRX Relative Value Arbitrage Index was down 0.1%
• Credit and multi-strategy managers contributed the majority of the return
• Volatility strategies were slightly negative and remained at near historic lows
• Investment-grade and high-yield credit spreads widened sharply midway through August

Equity Hedge

• The equity hedge sub-index posted an August return of 0.4%, underperforming the 0.5% return of the HFRX Equity Hedge Index
• Long-biased and market neutral managers contributed 21 and 9 points of return
• Long-biased strategies benefited from positive contributions from IT, health care and utilities sector investments
• Managers with exposure to energy and financials underperformed

Event-Driven (credit, merger arbitrage and special situations funds)

• The event-driven sub-index was down 0.3% in August, compared with the 0.1% return of the HFRX Event Driven Index
• Credit strategies were positive, contributing 20 basis points of return
• Merger arbitrage strategies ended the month flat
• Managers that were long credit risk underperformed as lower-rated corporate credits lagged for the month

Multi-Strategy (both single and multi-manager funds)

• The multi-strategy sub-index finished August up 0.7%

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.

— Check out Liquid Alts Had $3.2 Billion Net Inflows in Q2 on ThinkAdvisor.