Liquid Alternatives: The Wilshire Liquid Alternative Index Returns 0.97% In March
That figure outperformed the -0.06% monthly return from the HFRX Global Hedge Fund Index in the month of March.
The Wilshire index provides a representative baseline for the performance of the broader liquid alternatives space. 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 experienced a choppy first quarter as the ‘Reddit Rebellion’ and the following mass deleveraging in January preceded a bounce back in equity markets in February,” said Jason Schwarz, President and Chief Operating Officer of the firm, in a statement. “As the 10-year yield rose in the second half of the quarter, a rotation out of richly valued technology companies into cyclicals occurred. The Dow and S&P reached all-time highs while the NASDAQ reversed course.”
How the Wilshire Associates indices fared
The Wilshire Liquid Alternative Index measures the collective performance of the five Liquid Alternative strategies that make up its 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 firm’s individual indices.
- The Wilshire Liquid Alternative Equity Hedge Index was up 5.32% during the March quarter. That outperformed the HFRX Equity Hedge Index and its gain of 2.66%. Equity markets began the first quarter down as the “Reddit Rebellion” negatively affected shorting. This led to a sharp deleveraging as January closed, marking the most severe deleveraging in terms of volume since 2008. However, on the back of Q4 2020 earnings, equity markets enjoyed a positive February with alpha opportunities returning to create a favorable environment for long/short investing.
- The Wilshire Liquid Alternatives Event-Driven Index ended the quarter up 1.79%, outperforming the HFRX Event Driven Index’s quarterly return of 1.71%.
- The Wilshire Liquid Alternative Global Macro Index finished the quarter higher by 1.85%. It outperformed the HFRX Macro/CTA Index and its quarterly return of 0.52%.
- The Wilshire Liquid Alternative Relative Value Index finished the quarter up 0.22%. That outperformed the gain of -0.09% from the HFRX Relative Value Arbitrage Index.
- The Wilshire Liquid Alternative Multi-Strategy Index returned 2.48% for the quarter.
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