12/16/2022

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.

Download PDF

We’re here to help

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

You can count on our team of experts to help improve investment outcomes for a better future.

Contact us