Wilshire Liquid Alternative Index℠ returns -0.16% in August

The index underperformed a 0.33% monthly return for the HFRX Global Hedge Fund Index

Santa Monica, Calif., September 14, 2023 – The Wilshire Liquid Alternative IndexSM, which provides are presentative baseline for how the broad liquid alternative investment category performs, returned -0.16% in August, underperforming a 0.33% monthly 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.

In August, equity markets experienced downward pressure, with concerns centered around rising U.S. 10-year government bond yields, which peaked at 4.3%, the highest since 2007, and slumping Chinese economic data. Despite the U.S. Federal Reserve chairman's commitment to maintaining higher rates, there's a growing sentiment that government bonds are becoming a more attractive investment option, suggesting a shift in the risk-reward balance.

The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month down -0.26%, underperforming the HFRX Equity Hedge Index’s return of 0.27%.

  • Equity hedge managers had a challenging August. Equity long-short funds managed to limit their losses compared to global equity indices but generally incurred beta-driven losses, with equity market-neutral funds having a bit more success mitigating losses. Funds with exposure to China struggled, and Asia-focused funds generally underperformed.

The Wilshire Liquid Alternatives Event Driven IndexSM ended the month up 0.92%, underperforming the HFRX Event Driven Index’s monthly return of 1.10%.

  • Europe faced challenges from general market pullbacks and varied earnings results. In Asia, the markets were difficult to navigate due to volatility, particularly surrounding China sentiment. In the United States, event driven managers generally increased their exposures in August, benefiting from the de-risking actions taken at the end of July. Merger arbitrage strategies, in particular, benefited from several positive regulatory developments.

The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single- and multi-manager funds, returned -0.23% in August.

The Wilshire Liquid Alternative Global Macro IndexSM ended the month down -0.85%, underperforming the HFRX Macro/CTA Index’s monthly return of -0.04%.

  • Global macro managers experienced mixed performance in August. While systematic macro strategies saw resilience, especially from U.S. dollar (USD) positions, discretionary macro managers faced challenges, especially with carry trades in currencies and bullish positions inequities. Moreover, political and economic uncertainties, such as the upcoming Taiwan elections and potential U.S. rate changes, loom as potential risks on the horizon.

The Wilshire Liquid Alternative Relative Value IndexSM ended the month down -0.08%, outperforming the HFRX Relative Value Arbitrage Index’s monthly return of -0.15%.

  • Relative value managers witnessed varied outcomes in August. Managers saw heightened volatility especially in rates and U.S. equities. Continued constriction of credit spreads signals a more stringent credit environment. Municipal bond activity was flat for the month.  

About Wilshire

Wilshire is a global provider of advanced analytics and multi-asset investment solutions. A trusted partner to a diverse range of more than 500 leading institutional investors and financial intermediaries, our clients rely on us to improve investment outcomes for a better future. Wilshire advises on over $1.3 trillion in assets and manages $86 billion in assets and is headquartered in the United States with offices worldwide.

Important Information

Wilshire is a global financial services firm providing diverse services to various types of investors and intermediaries. Wilshire’s products, services, investment approach and advice may differ between clients and all of Wilshire’s products and services may not be available to all clients. For more information regarding Wilshire’s services, please see Wilshire’s ADV Part 2 available at www.wilshire.com/ADV.  

The information from third parties contained herein has been obtained from sources believed to be reliable. Wilshire gives no representations or warranties as to the accuracy of such information, and accepts no responsibility or liability (including for indirect, consequential or incidental damages) for any error, omission or inaccuracy in such information and for results obtained from its use. This material is intended for informational purposes only and should not be construed as legal, accounting, tax, investment, or other professional advice. This material contains proprietary information of Wilshire. It may not be disclosed, reproduced, or otherwise distributed, in whole or in part, to any other person or entity without prior written permission from Wilshire. This material represents the current opinion of Wilshire and is subject to change without notice. Wilshire assumes no duty to update any such opinions.

The Wilshire® and FT Wilshire indexes are calculated by Wilshire Opco UK Limited (Wilshire Indexes). The indexes do not represent an investment. It is not possible to invest directly in an index. Exposure to an asset class represented by an index may be available through investable instruments derived from that index. Wilshire makes no representations regarding the advisability of investing in investment products based on the indexes not sponsored, endorsed, sold or promoted by Wilshire. Index returns do not reflect payment of certain sales charges or fees an investor may pay to purchase the securities underlying the index or investment vehicles intended to track the performance of the index. The imposition of these fees and charges would cause actual performance of the securities/vehicles to be lower than the index performance shown. Inclusion of a company in the Wilshire and FT Wilshire indexes does not in any way reflect an opinion of Wilshire on the investment merits of the company. Index returns are preliminary and are subject to revision. Wilshire Indexes assumes no duty to update this material. Data from Wilshire Indexes may not be disclosed, reproduced, or otherwise distributed, in whole or in part, to any other person or entity without prior written permission from Wilshire Indexes.

Wilshire Advisors LLC (Wilshire) is an investment advisor registered with the SEC. Wilshire® is a registered service mark. All other trade names, trademarks, and/or service marks are the property of the irrespective holders.

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

Copyright © 2023 Wilshire. All rights reserved.


Download PDF

We’re here to help

Wilshire has been applying highly tested theories and approaches to our client solutions since 1981.

Our clients rely on us to improve investment outcomes for a better future.

Contact us