World's Largest Hedge Fund Stumbles: Bridgewater Pure Alpha Loses Over 6% In June; Down 14% YTD

Tyler Durden's picture

Back in February, when the market was hitting its 2016 lows, we reported that not all was well in the "risk parity" world of the world's largest hedge fund Bridgewater.

As we reported then, citing sources, the fund had lost over 4% in the subsequent week ending February 5 when it was suddenly down 3.8% YTD, and was down more than 5% in the next week, pushing its total MTD loss to -10.0% as of February 12, and -9.3% YTD. This meant that in just 2 weeks, the fund which prides its lack of volatility and its Sharpe ratio, suffered a multiple-sigma volatility event, one which has seen it lose over 10%. With the fund's AUM around $81 billion, it means Pure Alpha has lost over $8 billion through the middle of February, and is on deck for one of its worst months in recent history.

As we further noted, while we don't know if this was directly related, the sudden hit to Bridgewater performance may be linked to the unexpected blow up across the market neutral hedge fund space that had taken place in early February, which as we showed at the time had suffered a dramatic hit to performance, one comparable to the market volatility in the aftermath of the Lehman failure and the August 2007 quant crash.

A quick refresh of the recent performance of Market-Neutrals shows that despite the broader market trading just shy of all time highs, M/Ns have had a very tough time in recent months, and while not as sharp as the early February plunge, the index has been sliding progressively lower.

And while this may well be unrelated, Bridgewater is having another ugly month: in fact it may be one of the worst months in the hedge fund's history. According to sources, in June Bridgewater's Pure Alpha suffered a -6.1% net drop in the month through to June 17th, a drop which is largely unprecedented for the fund. As a result, Pure Alpha's YTD, which through the end of May was -9.1%, has since deteriorated even further and is now -14.6 YTD.

It is unclear what drove the fund's performance so negative, however Pure Alpha lists the following key factors as affecting performance, both positive and negative: Looking at their winners and losers through May: Aussie bonds, GBP bonds, Mexico Peso, EM equities, and African Rand.

It us unclear precisely what dislocation caused the sharp drop in June, although it most likely was impacted by the record drop in bond yields which however has little impact on US equities.

It remains to be seen if following a purported Remain vote in the Brexit vote if Bridgewater will recoup some or all of its June losses.

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NoDebt's picture

Pay 2 and 20 for somebody to do (badly) what the Fed is already doing for you free of charge.  Brilliant.


jcaz's picture

Hey,  Gartman was up 4.7% during the same period, just ask him.....

remain calm's picture

Dalio is a gold proponent, he just needed to place his bets in line with his convictions, like us ZH who know the system is F ed up and own the metal and the stocks.

Pladizow's picture

Silly humans, Skynet runs bartertown!

ParkAveFlasher's picture

I'm up 250% on my miners since November, and I'd be up 350% if I had any conviction.  Where's my hedge fund?

drivenZ's picture

meanwhile all the gold bugs that bought miners the last time ZH touted gold "to the moon" are still down 75%. 

Life of Illusion's picture



Beautiful deleveraging …right

TradingIsLifeBrah's picture
TradingIsLifeBrah (not verified) Coldfire Jun 23, 2016 10:55 AM

If we have Bremain, markets will open at S&P 2200 tomorrow morning

Quantum Bunk's picture

These cowards like Dalio don't beleive a fucking word of Keynes. But they are in it for the bailouts and the trend till the end. Fuck off and shut your mouth you bullshitter Dalio.

asteroids's picture

I wonder who Dalio places his orders with? That person is "one of the boyz". He's the one that's making money as Ray flounders.

LawsofPhysics's picture

LOL! Does it matter when you still have access to free money (ZIRP)?  No. It's not like these fuckers are giving back the money the have stolen through the ongoing financial fraud.

Remember new money creation has not required real collateral for 40+ years!!

Joe Cool's picture

How can all these "Genius" Hedge Fund Managers be down at all...

I'm an Idiot and I'm up pretty good so far this year!

NoDebt's picture

Non-correlated returns is their pitch.  When the market is straight up for 5 years do you really want ANYTHING that is "non-correlated"?


Joe Cool's picture

What the F@$k are these jokers doing...Free Money and they're still down...

Emergency Ward's picture

The hedge-fund geniuses can afford to be idiots because they are smart enough to collect their fees, regardless of performance.

101 years and counting's picture

since the lowly peasants of the country have no money to buy stocks, wall st simply targeted the top 5-10% earners in the country to steal from.  ie, billionaires stealing from millionaires.  

NEOSERF's picture

These things are bound to happen after you turn off your market rigging, momentum creating algos. 

TradingIsLifeBrah's picture
TradingIsLifeBrah (not verified) Jun 23, 2016 10:52 AM

Artist Redention of June Performance Results

lester1's picture

It looks like the NY Fed's PPT is kicking their butts !!


Audit the Fed !!

Dragon HAwk's picture

But how is his ( Personal ) portfolio doing?

nicollimassachi's picture

Just water under the bridge?

inosent's picture

Everybody like to think these hedge fund 'gurus' are the big s-. But the fact is they just swallow up a lot of cash and buy s-. Spread it all out all over the place. Wow. Genius.

Guess what? These fuggas cant make a dime when the market collapses.

Pliskin's picture

My heart bleeds for them!

chomu's picture

write covered calls on high div stocks and you'll beat the 2&20 crowd. No BBG terminal or Wharton grads required.


Ray will bounce back. The CB's have thoroughly effed everything

1980XLS's picture

He'll be OK

He got an extra $22M fron the Connecticut Libtards

CHX's picture

Poor Ray did not have a big enough allocation to gold me thinks. Couldn't care less about them hedgies loosing their bets and getting a wedgie. 

chindit13's picture

Ray always beats the market.  Since this year the marketplace seems to love negative rates, Ray is giving it to them in spades.

With a 2% management fee on $158 billion AUM, even after SG&A Ray will take home a billion and a half for his efforts.

DipshitMiddleClassWhiteKid's picture

hes a goy


even he must know the market is a sham these days. no participants, just big funds and insurance companies buying and selling shit

Running_Trillion's picture

Just like 99% of hfunds. which are total fucking scams, simply as that. What are bridgewaters too largest holdings? dow and sp500. Asset allocation hfunds tend to perfrom rather long rather well but then they go bust completely from the dark, usually at the worst possible timing as the funds have gathered rather many investors and grown very large.