Bridgewater AUM Rises To $142 Billion: Best And Worst Firm Trades Revealed

Tyler Durden's picture

In a world where "3 and 50" funds are revealed to be nothing but "expert network" inside-information churning, Lance Armstrong clones, performing great until exposed for having been boosted to the brim with stimulants, in this case inside information, or where even serious players are caught in ego pissing contests over who is right and who is wrong over a given stock (Herbalife comes to mind) it becomes almost difficult to find true alpha generators, which outperform the market not due to non-public, material information. Yet they still do exist, and probably the best example of one, continues to be Ray Dalio's Bridgewater, a fact which is not lost on us, or the bulk of the sophisticated asset allocators out there. As per the firm's latest monthly update, the hedge fund's total AUM has risen to a mind-blowing $142.1 billion - a record for any hedge fund anywhere, of which $60.8 billion is allocated to Pure Alpha, the firm's active strategy.

One look at Pure Alpha's return profile shows why the future is as bright for Bridgewater as the past.

From the profile:

In 1991 we laid out our expectations for the Pure Alpha strategy – produce a return-to-risk ratio of 1.0, which translates to an average annual return of 18% and standard deviation of 18%. Over the subsequent 21 years our performance has been consistent with these expectations. The following chart shows the expectations that we communicated at that time compared with our subsequent performance. The green and blue lines represent our range of expectations and the red line reflects the cumulative alpha since the inception of the strategy. As you can see, our performance across time remains consistent with the expectations that we set out then and that we have today.

But what everyone is most interested in is the breakdown of various P&L strategies that the firm employs in generating its nearly flawless alpha-generating execution.

So without further ado, here they are:

In short: 95 trades axes, which saw December post more winners than losers, with the biggest gainer being the EURJPY pair, while the biggest detractor was long gold.

Somehow, we have a feeling that the underperformance of the yellow metal will not persist.