Liquid Alternatives: The Wilshire Liquid Index Returns 1.3% in August

September 15, 2020 | Liquid Alternatives, News
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The Wilshire Liquid Alternative Index returned 1.3% in August.

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

This figure fell short of the 1.54% return from the HFRX Global Hedge Fund Index in August.

On the Wilshire Liquid Alternative Index

According to Opalesque, 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 August as optimism surrounding the rapid development of a COVID-19 vaccine helped drive markets to historic highs,” 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 Multi-Strategy Index had a 1.11 % return in August.
  • The Wilshire Liquid Alternative Equity Hedge Index added 2.51% for the month. That underperformed the HFRX Equity Hedge Index and its 2.71% gain for August. According to Opalesque, equity markets reached all-time highs on hopes of a COVID-19 vaccine and another fiscal stimulus package in the U.S. Technology stocks continued their strong run.
  • The Wilshire Liquid Alternatives Event-Driven Index gained 0.79% and trailed the 1.63% return from the HFRX Event Driven Index.
  • The Wilshire Liquid Alternative Global Macro Index finished August up 0.37%. That more or less matched the HFRX Macro/CTA Index and its return of 0.36%.
  • The Wilshire Liquid Alternative Relative Value Index finished the month up 0.58%. That trailed the 1.08% gain from the HFRX Relative Value Arbitrage Index.

Related Story:   Liquid Alternatives Showing Their Strength Amid 2020’s Volatility

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