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Bridgewater Loss Stuck at 18.6% in Main Fund After Model Tweaks

(Bloomberg) — Ray Dalio’s Bridgewater Associates spent weeks earlier this year tweaking its investment models to account for unprecedented government stimulus and the worsening pandemic. That hasn’t helped performance.

The flagship Pure Alpha II fund has lost 18.6% through Thursday, according to a person familiar with the matter. That’s little changed from the decline it reported through the end of August.

This year’s loss in Dalio’s main fund is shaping up to be its worst ever, putting him far behind other macro managers who have posted strong gains in 2020.

Read more: Bridgewater’s Year of Losses, Withdrawals and Uneasy Staff

The fund has gained little ground since the end of March, despite a strong market rebound. It was down about 23% in the first quarter as the spread of Covid-19 brought much of the global economy to a standstill.

After central banks flooded markets with liquidity, Bridgewater investment managers spent more than a month turning off strategies they deemed to be ill-suited for the new environment, and adjusted others they believed would work. By August, a person close to the firm said risk levels, which had been cut earlier in the year, were back to historic norms.

Client Withdrawals

Bridgewater, which managed $148 billion as of September, also had at least one more client pull money from its hedge funds. The Delaware Public Employees’ Retirement System recently liquidated its $180 million investment in the firm’s Pure Alpha Major Markets fund, Bloomberg Intelligence analyst Alison Williams said in a note this week, citing data from Pensions & Investments. In the first seven months of the year, clients withdrew a net $3.5 billion from Bridgewater hedge funds.

A Bridgewater spokeswoman declined to comment, and a representative for Delaware’s pension fund didn’t immediately reply to a message seeking comment.

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