Wilshire Liquid Alternative Index℠ returns 0.45% in April

The index outperformed a 0.34% monthly return for the HFRX Global Hedge Fund Index

Santa Monica, Calif., May 16, 2023 – The Wilshire Liquid Alternative IndexSM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.45%in April, outperforming a 0.34% 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.

Despite the prevailing unease surrounding banking instability, debt ceiling negotiations, a deteriorating geopolitical landscape and weaker corporate earnings, volatility generally fell and equity markets finished positive for the month.  

The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month up 0.83%, outperforming the HFRX Equity Hedge Index’s return of 0.61%.

  • Equity hedge managers experienced muted, but positive performance in April, with Asia-based managers underperforming due to exposure to Chinese equities, which saw a rotation of long-only holders out of Chinese and into Japanese equities. Domestic equity performance shifted, favoring more value-oriented managers ahead of the first quarter earnings season.

The Wilshire Liquid Alternatives Event Driven IndexSM ended the month up 0.87%, outperforming the HFRX Event Driven Index’s monthly return of -0.51%.

  • Event-driven managers, particularly those in merger arbitrage strategies, encountered a significant event in April when the UK Competition and Markets Authority blocked the $69 billion acquisition of Activision Blizzard. Prior to this development, merger spreads of some high-profile deals had tightened during the month. Despite the notable deal break, deal activity remained relatively rich throughout April.

The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single- and multi-manager funds, returned 0.24% in April.

The Wilshire Liquid Alternative Global Macro IndexSM ended the month up 1.22%, underperforming the HFRX Macro/CTA Index’s monthly return of 1.36%.

  • April was a relatively quiet, but positive month for macro managers. Systematic macro managers rebounded positively after a difficult March, with strong returns from currency trades in the euro and won and long positions around Latin American commodity producers. However, short positions in crude oil were challenged by OPEC+ production cuts announced earlier in the month. Discretionary macro managers had a muted month after the bond market volatility of March and consequently took on lower levels of risk.

The Wilshire Liquid Alternative Relative Value IndexSM ended the month up 0.16%, underperforming the HFRXRelative Value Arbitrage Index’s monthly return of 0.25%.

  • Relative value managers saw a marginally positive month with credit market spreads modestly tightening. Declining volatility in rates and equity markets, along with tighter spreads, proved beneficial for long positions.

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