Since its inception in 1991, Bridgewater’s Pure Alpha strategy has returned 13.2% annually, net of fees, through Dec. 31. That figure is 810 and 721 basis points higher annually than the MSCI ACWI and Barclays U.S. Aggregate indexes, respectively.
On a risk-adjusted basis, the strategy’s Sharpe ratio of 0.67 is 2.4 times higher than a model portfolio made up of 60% equities and 40% bonds (ACWI/U.S. Aggregate indexes).
Pure Alpha’s Sharpe ratio is 2.5 times that of an equal-weighted portfolio when adding the risk and return statistics of the Bloomberg Commodity index back to December 1991.