Wilshire Liquid Alternative Index℠ returns 0.09% in March and 1.29% in the first quarter

Santa Monica, Calif., April 14, 2023 – The Wilshire Liquid Alternative Index℠, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.09% in March and 1.29% in the first quarter, outperforming both a -1.19% monthly return and 0.00% quarterly return for the HFRX Global Hedge Fund Index. The Wilshire Liquid Alternative Index family 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.

Global equities enjoyed a positive first quarter, despite volatility in the banking sector. The U.S. and Eurozone markets appreciated over the quarter with gains led by the consumer and technology sectors, while the energy and health care sectors lagged. The U.K. and Japanese markets also posted gains in the first quarter, with industrials and cyclicals outperforming.

The Wilshire Liquid Alternative Equity Hedge Index^SM ended the month up 1.02%, outperforming the HFRX Equity Hedge Index’s return of -0.14%. For the quarter, the Wilshire Liquid Alternative Equity Hedge Index^SM returned 2.64%, outperforming its HFRX counterpart’s return of 0.80%.

• During the first month of the year, equity hedge managers in the United States and Asia generated positive alpha, but defensive positioning led to relative underperformance. In February, negative performance was largely driven by market beta, but positive alpha helped offset losses.
• Equity hedge managers experienced volatility in March, with market-neutral funds outperforming directional ones. Financials sector specialists or managers with significant exposure to financials saw the most weakness, following the regional banking crisis. TMT sector specialists and fundamental growth managers fared better as investors gravitated towards safety in mega-cap names.

The Wilshire Liquid Alternatives Event Driven Index^SM ended the month down -0.17%, outperforming the HFRX Event Driven Index’s monthly return of-1.57%. For the quarter, the Wilshire Liquid Alternatives Event Driven Index^SM returned 0.40%, outperforming the HFRX Event Driven Index’s return of -0.24%.

• During the quarter, event-driven managers experienced mixed performance, with special situations strategies benefiting from the equity market rally, while merger arbitrage strategies struggled. Asia-focused strategies experienced losses, but some special situation managers with exposure to growth stocks experienced a positive quarter.
• Unpredictable market conditions, at the beginning of March, challenged event-driven managers. However, managers with dry powder took advantage of market volatility and the forced selling that occurred when spreads widened in both the Allfunds/Euronext deal and First Horizon/TD deal.

The Wilshire Liquid Alternative Multi-Strategy Index^SM, which includes both single- and multi-manager funds, returned -0.64% in March and 1.20% for the quarter.

The Wilshire Liquid Alternative Global Macro Index^SM ended the month down -4.15%, underperforming the HFRX Macro/CTA Index’s monthly return of-3.02%. For the quarter the Wilshire Liquid Alternative Global Macro Index^SM returned -2.34%, outperforming the HFRX Macro/CTA Index’s return of -2.50%.

• During the quarter, global macro managers experienced mixed performance due to challenging market conditions. Tactical trading during the risk-on rally in January benefited macro managers, while a weakening dollar and mixed commodity performance detracted from performance.
• In March, global macro managers faced unpredictability in the bond market, resulting in losses for trend-following hedge funds. Managers with exposure to financial preferreds and AT1s had a challenging month, while managers with a clear focus on more idiosyncratic risks were up during the month.

The Wilshire Liquid Alternative Relative Value Index^SM ended the month up 0.89%, outperforming the HFRX Relative Value Arbitrage Index’s monthly return of -0.62%. For the quarter, the Wilshire Liquid Alternative Relative Value Index^SM returned 1.53%, outperforming the HFRX Relative Value Arbitrage Index’s return of 1.14%.

• Relative value managers had mixed performance during the quarter, with a strong January but a negative month in February due to renewed fears of inflation and declining equity markets.

March proved challenging as the bond market experienced increased volatility, with year-end U.S. rate expectations moving from 5.75% to 3.75% in the space of a week. Equity markets experienced mixed performance during the month, with some indices reaching new all-time highs while others faced renewed pressure from concerns over rising inflation and interest rates.

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About Wilshire

Wilshire is a global provider of market-leading indexes,advanced analytics, and multi-asset investment solutions. A trusted partner toa diverse range of more than 500 leading institutional investors and financialintermediaries, our clients rely on us to improve investment outcomes for abetter future. Wilshire advises on over $1.3 trillion in assets and manages $83billion in assets and is headquartered in the United States with officesworldwide.

More information on Wilshire can be found at www.wilshire.com.

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