Wilshire Liquid Alternative Index℠ Returns 1.77% in November

The Wilshire Liquid Alternative Index℠, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 1.77% in November, outperforming a 0.15% monthly return for the HFRX Global Hedge Fund Index.

Santa Monica, Calif., December 16, 2022 - 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.


A lower-than-expected inflation print, in combination with dovish Fed rhetoric, helped push markets further off their October lows.


The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month up 3.37%, outperforming the HFRX Equity Hedge Index’s return of0.73%.

  • Equity hedge managers ended the month positive, as markets rallied off sentiment that inflation has finally peaked. Defensive positioning, particularly an     underexposure to sectors that have performed poorly year-to-date, resulted in underperformance versus relevant indices.

The Wilshire Liquid Alternatives Event Driven IndexSM ended the month up 0.07%, outperforming the HFRX Event Driven Index’s monthly return of -0.15%.


  • Despite strong volume and supportive equity markets, event driven managers ended the month only slightly positive. The unexpected termination of the Rogers/DuPont deal early in the month weighed materially on the peer group. Other M&A developments were generally supportive to the space.


The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned 1.88% in November.


The Wilshire Liquid Alternative Global Macro IndexSM ended the month down -2.77%, underperforming the HFRX Macro/CTA Index’s monthly return of -2.39%.


  • Macro managers struggled with the knock-on effects of a softer than expected CPI print. Discretionary managers were somewhat protected as they headed into the month with reduced exposures to pro-inflation themes they leaned into a majority of the year. Reversals in the dollar, fixed income, and energy weighed on     trend followers.


The Wilshire Liquid Alternative Relative Value IndexSM ended the month up 2.14%, outperforming the HFRX Relative Value Arbitrage Index’s monthly return of 1.57%.


  • Relative value managers enjoyed a strong month, supported by a favorable market backdrop. Rallying treasuries and tightening spreads played favorably, while hedging detracted from performance across the board.

About Wilshire

Wilshire is a global provider of market-leading indexes, advanced analytics, and multi-asset investment solutions. A trusted partner to a diverse range of more than 500leading institutional investors and financial intermediaries, our clients rely on us to improve investment outcomes for a better future. Wilshire advises on over $1.2 trillion in assets and manages $79 billion in assets and is headquartered in the United States with offices worldwide.

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