Liquid Alternatives: The Wilshire Liquid Alternative Index Declines 0.73% in September
The Index was down 0.73% in September and underperformed the HFRX Global Hedge Fund Index
The Wilshire index provides a representative baseline for the performance of the broader liquid alts space.
This figure fell short of the -0.17% return from the HFRX Global Hedge Fund Index in the month of September.
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.”
“Markets continued to rally in September as optimism surrounding the rapid development of a COVID-19 vaccine and an economic rebound,” said Jason Schwarz, Chief Operating Officer, in a statement.
“However, markets again experienced volatility towards the end of the quarter as fiscal stimulus negotiations stalled and COVID-19 cases re-emerged globally,” Schwarz added.
How the indices fared
The Liquid Alternative Index measures the collective performance of the five 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 Wilshire’s Liquid Alternative Multi-Strategy Index, Liquid Alternative Equity Hedge Index, Liquid Alternative Event Driven Index, Liquid Alternative Global Macro Index, and Liquid Alternative Relative Value Index.
Here is a recap of the individual indices.
- The Wilshire Liquid Alternative Equity Hedge Index added 3.04% for the September quarter. That underperformed the HFRX Equity Hedge Index and its quarterly gain of 3.58%. According to the firm, equities scaled all-time highs during August, driven by huge gains in technology stocks. However, concerns surrounding the U.S. presidential election and political squabbles on stimulus cast a pall on stocks during September.
- The Wilshire Liquid Alternatives Event-Driven Index gained 2.31% for the quarter. That trailed the 2.92% quarterly return from the HFRX Event Driven Index.
- The Wilshire Liquid Alternative Global Macro Index finished the quarter ended September up by 0.52%. However, it underperformed the HFRX Macro/CTA Index and its quarterly return of 0.83%.
- The Wilshire Liquid Alternative Relative Value Index finished the quarter up 2.16%. That trailed the quarterly gain of 3.03% from the HFRX Relative Value Arbitrage Index.
- The Liquid Alternative Multi-Strategy Index had a -0.62% return in September but gained 2.78% for the quarter.
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