Liquid Alternatives: The Wilshire Liquid Alternative Index Returns 0.01% in January
This figure outperformed the -0.16% return from the HFRX Global Hedge Fund Index in the month of January.
The Wilshire index provides a representative baseline for the performance of the broader liquid alternatives space. 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.”
“The ‘Reddit Rebellion’ dominated headlines in January as investors’ support of heavily shorted stocks led to an outsized short squeeze and subsequent technical deleveraging in U.S. equity markets, bringing markets down for the month,” said Jason Schwarz, Chief Operating Officer of the firm in a statement.
How the Wilshire Associates indices fared
The Wilshire 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 the 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 was down -0.42% in January. That outperformed the HFRX Equity Hedge Index and its decline of -1.04%. The Reddit Rebellion wave sparked the most severe deleveraging in terms of volume since 2008. As short funds rushed to cover their positions, there was a contagion effect in U.S. equity markets due to the subsequent deleveraging.
- The Wilshire Liquid Alternatives Event-Driven Index gained 1.03% in January. That did better than the 0.62% return from the HFRX Event Driven Index.
- The Wilshire Liquid Alternative Global Macro Index finished the month down by -0.25%. It outperformed the HFRX Macro/CTA Index and its monthly return of -0.58%.
- The Wilshire Liquid Alternative Relative Value Index finished the month up 0.17%. That fell short of the monthly gain of 0.32% from the HFRX Relative Value Arbitrage Index.
- The Wilshire Liquid Alternative Multi-Strategy Index returned -0.03% in January.
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