Dalio's Pure Alpha II Hedge Fund Gains 2.3% in First Quarter

  • Bridgewater’s All Weather fund said to rise about 3.6%
  • World’s biggest hedge fund manages about $160 billion

Bridgewater Associates, the world’s biggest hedge fund, extended gains in its main macro strategy in the first three months of the year.

Ray Dalio’s Pure Alpha II returned 2.3 percent this year through March, according to people familiar with the matter. The macro fund rose 2.4 percent last year and holds the majority of the assets in the firm’s hedge fund strategy. A version of the strategy that targets lower volatility gained about 1.6 percent this year, the people said.

Macro funds have suffered years of mediocre performance as low interest rates and interventions by central banks crimped their ability to make money. It was the worst-performing strategy in 2016 and continued to underperform through the first two months of the year, returning just 0.6 percent on an asset-weighted basis, according to data compiled by Hedge Fund Research Inc.

U.S. stocks jumped in the first quarter, with the S&P 500 Index returning 6.1 percent, while the 16 major currencies tracked by Bloomberg all rallied against the dollar. Investment-grade dollar bonds rose 0.8 percent, and junk bonds jumped 2.7 percent, according to Bloomberg Barclays U.S. indexes.

The risk-parity All Weather fund, which seeks protection from market turmoil by investing in a combination of stocks, bonds and currencies, rose about 3.6 percent this year, the people said. That strategy jumped 11.6 percent last year.

A representative for Westport, Connecticut-based Bridgewater, which manages about $160 billion, declined to comment.

— With assistance by Pierre Paulden

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