Bridgewater Pure Alpha: How Much is Explained by Dynamic Beta?

Bridgewater Pure Alpha II Fund, the flagship fund of Bridgewater Associates – the world’s largest alternative investment management firm – has generated outstanding returns in the last twenty years with especially impressive performance since the Fall of 2008. Using MPI’s new Factor Search™ application, MPI’s endeavor is to capture dynamic betas embedded in Bridgewater fund’s returns and attempt to reproduce its systematic performance behavior using a basket of indices or exchange-traded funds. This case study reveals how quantitative analysis and beta modeling techniques can be used by institutional investors to better understand fund behavior, anticipate performance and improve due diligence, risk management and portfolio monitoring of investment funds.   Click here to download the PDF.

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