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Wilshire Liquid Alternative Index Returns 3.01% in April

SANTA MONICA, CA, MAY 7, 2020—The Wilshire Liquid Alternative IndexSM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 3.01% in April, outperforming the 2.88% 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,” said 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% in April.
  • The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month up 4.93%, outperforming the HFRX Equity Hedge Index’s return of 4.49%.
    • 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 IndexSM ended the month up 3.08%, outperforming the HFRX Event Driven Index’s monthly return of 2.73%.
    • 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%, outperforming the HFRX Macro/CTA Index’s monthly return of 0.49%.
    • 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 IndexSM ended the month up 2.58%, underperforming the HFRX Relative Value Arbitrage Index’s monthly return of 3.00%.
    • 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.

About Wilshire Associates

Wilshire Associates is a leading global financial services firm, dedicated to improving outcomes for investors worldwide. An independent firm since its founding in 1972, Wilshire advises on over $1 trillion in assets and manages $68 billion in assets. Specializing in innovative investment solutions, consulting services and multi-asset analytics, Wilshire serves more than 500 institutional and intermediary clients worldwide from 10 offices around the globe. For more information about Wilshire, visit www.wilshire.com or follow @WilshireAssoc.

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