Bridgewater’s Pure Alpha Reports Sharp Losses

Even All Weather — the firm’s less volatile strategy — lost 1.9 percent last month.

Ray Dalio (Simon Dawson/Bloomberg)

Ray Dalio

(Simon Dawson/Bloomberg)

Bridgewater Associates’ flagship funds lost money in February, and are all in the red for the year so far.

The world’s largest hedge fund firm posted a 4 percent decline in Pure Alpha I (also known as Pure Alpha 12 percent), is now down 5.5 percent for the year, according to a database and a person familiar with the results. Pure Alpha II — the more leveraged version — dropped 4.6 percent last month to start the year down 8.4 percent, according to these sources.

Even All Weather, its risk-parity strategy, lost money, dropping 1.9 percent in February to be just shy of flat (negative 0.1 percent) for the year to date.

Historically, All Weather has tended to do well when Pure Alpha doesn’t, and vice-versa. Investors often pair the two strategies in their portfolios for this reason.

All Weather delivered 16.6 percent last year while the alpha-oriented funds were essentially flat.

[II Deep Dive: In Disappointing Year, Bridgewater’s Flagship Fund Returns 0.5%]


Pure Alpha’s sharp losses in February and for the year starkly contrast with some other macro firms’ returns.

For example, Caxton Global Investment, the firm’s flagship fund, gained 6.75 percent in February and about 12 percent for the year, according to an investor. Caxton Macro Fund, which CEO Andrew Law trades, surged 9 percent last month for 14.75 percent gains year-to-date. The firm declined to comment.

According to the investor, Caxton reaped earlier returns from environmental, social, and governance-related equity themes and long-standing trades on lower U.S. interest rates. It has been assuming a pandemic as the base case scenario for several weeks, the investor added. Bets on an inter-meeting cut in interest rates paid off recently, as has general trading in equities.

Law had his best year in 2019 since taking over Caxton from its legendary founder Bruce Kovner. Caxton Global Investment returned 19.5 percent while the macro fund came in just shy of 20 percent, according to investors.

Among other macro players, the Haidar Jupiter Fund surged 7.8 percent in February and is now up about 23 percent for the year, according to e-mail communication with investors seen by Institutional Investor.

MKP Opportunity, a discretionary global macro fund, rose 1.6 percent last month and 3.76 percent for the year, while MKP Enhanced Opportunity — a higher volatility strategy — added 2.41 percent for the month and 5.2 percent for the year.