Wilshire Liquid Alternative Index up 3.01 per cent in April

The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 3.01 per cent in April, outperforming the 2.88 per cent monthly return of 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.
 
“The markets recovered from a challenging March on the back of improved data surrounding the COVID-19 pandemic and continued economic support from the federal government,” says Jason Schwarz, Chief Operating Officer of Wilshire Associates.
 
The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned 2.68 per cent in April.
 
The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month up 4.93 per cent, outperforming the HFRX Equity Hedge Index’s return of 4.49 per cent.

Most equity hedge strategies experienced a recovery in April, with managers who withstood the brunt of March’s sell-off and maintained net long exposure experiencing the most gains.

Several factor reversals resulted in more muted performance for market neutral managers. Reversals may be attributed to rebalancing by active managers following the outsized volatility in the first quarter.
 
The Wilshire Liquid Alternatives Event Driven Index ended the month up 3.08 per cent, outperforming the HFRX Event Driven Index’s monthly return of 2.73 per cent.

Optimism surrounding M&A activity coupled with compressing deal spreads saw event driven managers, particularly merger- and special situation-focused managers, perform positively in April.
 
The Wilshire Liquid Alternative Global Macro IndexSM ended the month up 0.87 per cent, outperforming the HFRX Macro/CTA Index’s monthly return of 0.49 per cent.

Most global macro managers experienced a muted month of returns, with both systematic and discretionary managers quickly de-risking their strategies in response to the volatility in the first quarter.

CTAs experienced a mixed month, with most managers suffering from a trend reversal in equities and benefiting from continued turmoil in the oil markets. Exposure to government bonds and FX provided mixed results due to relatively range-bound movements in these markets.
 
The Wilshire Liquid Alternative Relative Value Index ended the month up 2.58 per cent, underperforming the HFRX Relative Value Arbitrage Index’s monthly return of 3.00 per cent.

Relative value convertible arbitrage managers experienced a small recovery during April as spreads compressed, but volatility remained high.

Relative value credit managers enjoyed a positive month as the Federal Reserve began buying corporate debt securities to support the market.

Author Profile