Bridgewater's Pure Alpha II Fund up 9.5 percent YTD: sources

By Jennifer Ablan

NEW YORK (Reuters) - Bridgewater Associates’ Pure Alpha II Fund, managed by Ray Dalio, Robert Prince and Greg Jensen, is up 1.97 percent so far in November for a year-to-date total return of 9.5 percent, two people familiar with the fund's performance said on Tuesday.

Pure Alpha has $81 billion in assets under management and employs a traditional hedge fund strategy that actively bets on the direction of various securities, including stocks, bonds, commodities and currencies, by predicting macroeconomic trends. The fund has returned 13 percent since inception in 1991.

A subset of the fund, Pure Alpha Major Markets, which has approximately $15 billion in assets rose 4 percent for the month and has returned 14.8 percent for the year, according to the sources.

Bridgewater has been faring better than many alternative asset managers that have struggled to perform during these rocky markets. For example, HFR’s global macro index so far this year is down 1.57 percent.

Hedge fund managers including Armored Wolf and Fortress Investment Group Inc as well as asset management firm BlackRock Inc have shuttered some macro funds as they have consistently underperformed their benchmarks.

Dalio is founder, chairman and co-chief investment officer of Bridgewater, the world's largest hedge fund with $155 billion in assets under management. Prince is co-chief investment officer and Jensen is co-CIO and co-CEO of the firm.

Bridgewater also manages the $70 billion All Weather fund which uses a "risk parity" strategy that attempts to balance risk across a variety of asset classes throughout various market conditions. That fund is down 1.10 percent so far in November and minus 4.50 percent for the year, the sources said.

All Weather’s annualized return since inception in 1996 is 8.2 percent.

Risk-parity managers allocate on an equal-risk-weighted basis to major asset classes that they believe will offer distinctive portfolio characteristics under different economic regimes. Risk-parity funds typically invest in at least global stocks, bonds, and inflation-hedging assets such as commodities.

In most cases, because the risk approach leads to a high nominal allocation to bonds, the managers use leverage to increase the volatility to a desired level and therefore improve the expected return of the portfolio.

(Reporting by Jennifer Ablan; Editing by Cynthia Osterman and Lisa Shumaker)

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