Re:Dalio Exits: Hedge Fund Billionaire Extracts Billions Mor...
by smabie on Thursday February 23, 2023 @11:46PM
(#34920893)
Not really appropriate to compare a market neutral product's Sharpe with the S&P.
That said, Bridgewater hasn't done that great for awhile.
Re:Dalio Exits: Hedge Fund Billionaire Extracts Billions Mor...
by Galanwe on Friday February 24, 2023 @12:49AM
(#34921316)
> Not really appropriate to compare a market neutral product's Sharpe with the S&P
Why?
I tend to find it okay to compare Sharpes so long that the returns exhibit a somewhat close distribution.
I would expect both the S&P and an equity market neutral L/S to have normally distributed returns.
From mid 2017:
https://www.bloomberg.com/news/features/2017-08-10/bridgewat...
> Since the beginning of 2012, Bridgewater’s Pure Alpha II has posted an annualized return of 2.5 percent, according to a document reviewed by Bloomberg Markets, a far cry from its historic average of 12 percent. It’s down 2.8 percent this year through July. (A smaller Bridgewater hedge fund, Pure Alpha Major Markets, has fared better, as has the company’s long-only product.)