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2/22/2023
The Wilshire Liquid Alternative Index℠, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 2.08% in January, outperforming a 1.67% monthly return for the HFRX Global Hedge Fund Index.
Santa Monica, Calif., February 22, 2023 – The Wilshire Liquid Alternative Index℠, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 2.08% in January, outperforming a 1.67% 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 rallied in January off the back of a sustained deceleration in inflation, softening rhetoric by the Federal Reserve, and earnings in line with expectations in technology.
The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month up 2.92%, outperforming the HFRX Equity Hedge Index’s return of 1.56%.
• Equity hedge managers, particularly U.S.- and Asia-focused funds, started the year strong. Managers were able to generate positive alpha on top of beta contribution. Defensive positioning heading into the new year led to relative underperformance versus their relevant indexes.
The Wilshire Liquid Alternatives Event Driven IndexSM ended the month up 0.87%, underperforming the HFRX Event Driven Index’s monthly return of 2.31%.
• Event-driven managers experienced a mixed month, with special situations strategies benefitting from the equity market rally, while merger arbitrage strategies struggled despite marginal spread tightening. Managers with exposure to the Shaw/Rogers deal benefitted from the Canadian regulator’s announcement that it would not appeal the deal.
The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single- and multi-manager funds, returned 2.44% in January.
The Wilshire Liquid Alternative Global Macro IndexSM ended the month up 0.22%, outperforming the HFRX Macro/CTA Index’s monthly return of 0.03%.
• Macro managers benefited from tactical trading during the risk-on rally in January, especially around the China reopening, and ended the month moderately positive. A weakening dollar and mixed commodity performance proved challenging for the peer group. Dovish rhetoric from central banks harmed managers clinging to pro-inflation themes.
The Wilshire Liquid Alternative Relative Value IndexSM ended the month up 2.09%, underperforming the HFRX Relative Value Arbitrage Index’s monthly return of 2.30%.
• Relative value managers enjoyed a strong month, supported by a favorable market backdrop and easing volatility. Lower Treasury yields and tighter spreads led to gains across the board.
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 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 $79 billion in assets and is headquartered in the United States with offices worldwide.
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.