Bridgewater's $70 billion 'All Weather Fund' down 6 percent in 2015: sources

[October 21, 2015]  By Jennifer Ablan

NEW YORK (Reuters) - The $70 billion Bridgewater All Weather Fund, managed by hedge fund titan Ray Dalio, was down 1.9 percent in September and is down 6 percent through the first nine months of the year, three people familiar with the fund's performance said on Tuesday.

The All Weather Fund is one of two big portfolios managed by Bridgewater Associates and uses a so-called "risk parity" strategy that is supposed to make money for investors if bonds or stocks sell off, though not simultaneously.

Bridgewater is the latest in a series of alternative asset managers that have struggled to outperform rocky markets this year, dashing their investors' hopes that their strategies would provide a safe haven. Hedge fund managers including Armored Wolf and Fortress Investment Group Inc, have shuttered some macro funds as they have consistently underperformed their benchmarks.

Some other hedge funds who have struggled with poor performance in recent months, including Leon Cooperman's and Steven Einhorn's Omega Advisors, have even accused "risk parity" strategies of contributing to wider market volatility and forced selling that drove stocks down 10 percent in five sessions near the end of August.

Dalio strenuously denied that contention in a 17-page research note released last month.

So far in October, the All Weather portfolio is up 3.7 percent as of Friday, Oct. 16, an improvement, but still short of the S&P 500, which has rallied 5.8 percent over the same period. Bridgewater, the world's largest hedge fund, manages approximately $154 billion in assets and the All Weather Fund is one of its two big portfolios.

The Pure Alpha II Fund, which was down 6.9 percent in August, posted a loss of 0.10 percent last month for a year-to-date total return of 3.9 percent through September, the sources said. Pure Alpha, including Pure Alpha Major Markets, has $81 billion in assets under management.

Pure Alpha is a traditional hedge fund strategy that actively bets on the direction of various types of securities, including stocks, bonds, commodities and currencies, by predicting macroeconomic trends.

Equity markets worldwide stumbled in August and September, driven lower by concerns about China's growth and worries the U.S. Federal Reserve will soon raise interest rates. The moves, coupled with weakness in commodities and bonds, wreaked havoc on hedge funds that use risk-parity strategies.

Omega's funds fell between 9 percent and 11 percent in August.

(Reporting by Jennifer Ablan; editing by Lisa Shumaker and Christian Plumb)

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