Wilshire Liquid Alternative Index℠ returns -0.96% in February

Santa Monica, Calif., March 15, 2023 – The Wilshire Liquid Alternative Index^SM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned -0.96% in February, underperforming a -0.47% 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 posted mixed performance, with large-cap technology and commodity-sensitive sectors leading the decline, as investors positioned themselves for continued inflation, higher interest rates and a possible recession.

The Wilshire Liquid Alternative Equity Hedge Index^SM ended the month down -1.42%, under performing the HFRX Equity Hedge Index’s return of -0.61%.

• Equity hedge managers had negative performance in February, largely driven by market beta, with positive alpha somewhat offsetting losses. The worst-performing region for the month was Asia. Overall, positioning remains conservative with long books favoring large caps, defensives, and both quality and profitability characteristics.

The Wilshire Liquid Alternatives Event Driven Index^SM ended the month neutral, outperforming the HFRX Event Driven Index’s monthly return of -0.94%.

• Event-driven managers experienced a mixed month, as Asia-focused strategies experienced some losses, but special situation managers with exposure to growth stocks were positive for the month. Some arbitrage managers were impacted by negative news from the UK Capital Markets Authority on the $68 billion Activision/Microsoft deal, which cast significant doubt on the likelihood that the deal will close.

The Wilshire Liquid Alternative Multi-Strategy Index^SM, which includes both single- and multi-manager funds, returned -0.84% in February.

The Wilshire Liquid Alternative Global Macro Index^SM ended the month up 0.91%,outperforming the HFRX Macro/CTA Index’s monthly return of 0.50%.

• Systematic macro managers were up for the month, with traditional trend-following managers enjoying strong performance in fixed income. Shorts across the U,S, Treasury curve proved most fruitful; however, commodity markets proved to be more difficult. Discretionary macro funds had a mixed month as markets reversed course from January, with most of the positive performance coming from fixed income shorts and a re-strengthening U.S. dollar on the back of recent Federal Reserve comments.

The Wilshire Liquid Alternative Relative Value Index^SM ended the month down -1.34%, underperforming the HFRXRelative Value Arbitrage Index’s monthly return of -0.51%.

• Relative value managers experienced a negative month, with losses stemming from renewed fears surrounding inflation, declines inequity markets, increased volatility and rising Treasury yields.

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 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 $83billion 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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