The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.98 per cent in April, outperforming the 0.66 per cent monthly return of the HFRX Global Hedge Fund Index.
The Wilshire Liquid Alternative Index family is a joint offering between Wilshire Funds Management, the global investment management business unit of Wilshire Associates, and Wilshire Analytics, creator of the Wilshire 5000 Total Market Index.
“April marked a continuation of gains across risk assets, buoyed by economic growth, low volatility and a favourable credit environment,” says Jason Schwarz (pictured), President of Wilshire Funds Management and Wilshire Analytics. “As a result, equity and credit markets were accommodative, offering a favourable environment to generate positive risk-adjusted returns.”
The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned 1.08 per cent in April.
The Wilshire Liquid Alternative Global Macro Index ended the month up 1.50 per cent, outperforming the 1.15 per cent return of the HFRX Macro/CTA Index. Trend followers enjoyed a positive month in April, as equities continued to rally. Discretionary macro managers were generally positive in April.
The Wilshire Liquid Alternative Relative Value Index ended the month up 0.54 per cent, outperforming the 0.21 per cent return of the HFRX Relative Value Arbitrage Index. Credit-based strategy returns were generally positive on the month due to strong performances by US and European high yield. Structured credit managers were also positive in April due to holdings of residential mortgage-backed securities and consumer credit assets.
The Wilshire Liquid Alternative Equity Hedge Index ended the month up 1.42 per cent, outperforming the 0.67 per cent return of the HFRX Equity Hedge Index. Long-biased managers added positively to performance as volatility eased and equities rallied. Domestic strategies outperformed global strategies during the month with Financials and Information Technology investments as notable contributors.
The Wilshire Liquid Alternative Event Driven Index ended the month up 0.86 per cent, outperforming the 0.47 per cent return of the HFRX Event Driven Index. Merger arbitrage strategies contributed positively to performance in sympathy with the rise in equity markets and notable mergers and acquisitions activity. Managers long credit risk gained as low-rated high yield bonds and leveraged loans regained after a return of risk appetite in the marketplace.
