The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned -0.05 per cent in April, underperforming the 0.09 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 Incorporated, and Wilshire Analytics, creator of the Wilshire 5000 Total Market Index.
“Financial markets were mixed in April as interest rates increased in response to continued positive economic momentum in the US,” says Jason Schwarz (pictured), President of Wilshire Funds Management. “As a result, manager performance was mixed across sub-strategies with the market rewarding credit risk, while duration risk was negative. Value has also recently gained favour over growth following the resurgence of energy in the past two months.”
The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned 0.15 per cent in April.
The Wilshire Liquid Alternative Global Macro Index, meanwhile, ended the month down -0.05 per cent, underperforming the 0.46 per cent return of the HFRX Macro/CTA Index, while systematic strategies contributed 19 basis points in April, and discretionary strategies detracted another 10 basis points.
Currency managers were relatively flat on the month with mixed manager results.
The Wilshire Liquid Alternative Relative Value Index ended the month down -0.07 per cent, underperforming the 0.23 per cent return of the HFRX Relative Value Arbitrage Index.
Credit managers were flat as a group with mixed results, while multi-strategy managers detracted slightly, experiencing mixed results.
Investment grade corporate credit traded down as interest rates rose, while high yield credits performed better and credit spreads tightened from 379 basis points to 346 basis points in April.
US treasury yields increased to 2.95 per cent, with overall YTD rate increases upwards of 50 basis points.
The Wilshire Liquid Alternative Equity Hedge Index ended the month down -0.19 per cent, underperforming the -0.55 per cent return of the HFRX Equity Hedge Index.
Long-biased and neutral managers remained relatively flat, detracting just two basis and 15 basis points of return, respectively.
Gains in energy stocks caused value-oriented strategies to outperform value-oriented strategies in April.
The Wilshire Liquid Alternative Event Driven Index ended the month up 0.04 per cent, underperforming the 0.43 per cent return of the HFRX Event Driven Index.
Credit strategies and multi-strategy event funds were positive on the month, adding 14 and 12 basis points to the return, respectively, while merger arbitrage strategies detracted 24 basis points of return.
