Wilshire Liquid Alternative Index℠ returns 0.75% in July

Santa Monica, Calif., August 15, 2023 – The Wilshire Liquid Alternative Index^SM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.75%in July, outperforming a 0.52% 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.

Equity markets continued their upward trajectory in July, reflecting investors' focus on changes in economic conditions rather than absolute values, including declining inflation and potentially peaking interest rates, with only about 30% of investors pricing in a further rate hike in November according to CME. Notable de-grossing occurred at the end of the month, though positioning in U.S. equity futures has built up to the longest levels seen in the last decade.

The Wilshire Liquid Alternative Equity Hedge Index^SM ended the month up 1.43%, outperforming the HFRX Equity Hedge Index’s return of 0.71%.

• While long equity hedge managers continued to benefit from the extended equity rally, sentiment at the end of July began to shift, with notable de-grossing occurring on both the long and short side of many managers’ portfolios. From a global perspective, Asia-focused managers benefited from Chinese policymakers signaling upcoming monetary easing.

The Wilshire Liquid Alternative Event Driven Index^SM ended the month up 0.82%, underperforming the HFRX Event Driven Index’s monthly return of 0.93%.

• The month was mostly positive for event-driven managers. While merger spreads continued to be volatile and deal flow remained slower, some notable mid-sized transactions were announced, and progress in significant merger transactions such as the Activision/Microsoft merger and the VMware/Broadcom transaction generated positive returns.  

The Wilshire Liquid Alternative Multi-Strategy Index^SM, which includes both single- and multi-manager funds, returned 1.07% in July.

The Wilshire Liquid Alternative Global Macro Index^SM ended the month down -1.15%, underperforming the HFRX Macro/CTA Index’s monthly return of -1.05%.

• Global macro managers experienced a mixed month across strategies, with discretionary macro and alternative trend-followers outperforming systematic macro and traditional trend followers. Trading in foreign exchange proved difficult, while long positions in energy and agriculture were positive contributors. The downside U.S. CPI surprise contributed to positive results in risk-on themes, while broader U.S. dollar weakness generally benefited managers with short exposure.

The Wilshire Liquid Alternative Relative Value Index^SM ended the month up 0.63%, underperforming the HFRX RelativeValue Arbitrage Index’s monthly return of 0.90%.

• Relative value managers enjoyed a mixed month in July, as credit spreads tightened during the month and volatility remained low. Corporate bonds outperformed government bonds, with the U.S. 10-year yield increasing above 4.0%, and an increased quarterly borrowing estimate from the Treasury, from $733 billion to over $1 trillion.

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 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.

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

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