Liquid Alternatives: The Wilshire Liquid Alternative Index Declines 0.51% in October

November 13, 2020 | Liquid Alternatives, News
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The Wilshire Liquid Alternative Index was down 0.51% in October.

The index provides a representative baseline for the performance of the broader liquid alts space.

This figure fell short of the -0.22% return from the HFRX Global Hedge Fund Index in the month of October.

On the Wilshire Liquid Alternative Index

According to Wilshire Associates, the index aims “to deliver precise market measures for the performance of diversified liquid alternative investment strategies implemented through mutual fund structures, backed by a proprietary classification methodology.”

“As we saw the beginning of a second wave of Covid-19 and a looming US presidential election, markets began to sell off in October as participants looked to reduce risk exposures,” said Jason Schwarz, Chief Operating Officer of Wilshire Associates in a statement.

How the indices fared

The Wilshire Liquid Alternative Index measures the collective performance of the five Wilshire Liquid Alternative strategies that make up the Wilshire Liquid Alternative Universe.

The Wilshire Liquid Alternative Index is designed to provide a broad measure of the liquid alternative market by combining the performance of the Wilshire Liquid Alternative Multi-Strategy Index, Wilshire Liquid Alternative Equity Hedge Index, Wilshire Liquid Alternative Event Driven Index, Wilshire Liquid Alternative Global Macro Index, and Wilshire Liquid Alternative Relative Value Index.

Here is a recap of the individual indices.

  • The Wilshire Liquid Alternative Equity Hedge Index fell -1.46 in October. That underperformed the HFRX Equity Hedge Index and its gain of -0.54%. Equity markets had a challenging month in October. Factor rotations occurred throughout the month, with value leading during the first half of October and growth rallying during the second half.
  • The Wilshire Liquid Alternatives Event-Driven Index gained 0.33% in October. That outperformed the -0.22% monthly return from the HFRX Event Driven Index.
  • The Wilshire Liquid Alternative Global Macro Index finished October down by -0.39%. However, it outperformed the HFRX Macro/CTA Index and its monthly return of -0.51%.
  • The Wilshire Liquid Alternative Relative Value Index finished the month up 0.08%. That trailed the monthly gain of 0.36% from the HFRX Relative Value Arbitrage Index.
  • The Wilshire Liquid Alternative Multi-Strategy Index had a -0.98% return in October.

Related Story:   The Wilshire Liquid Alternative Index Declines 0.73% in September

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