Then I tried to calculate the profitability of individual stocks while they bounced in and out of Bridgewater. A difficult task as we really don't know what the entry and exit prices were. We did a little inferring and created a table like Sheet 10 which shows Forest Labs. You can see estimated average price, actual shares held, actual value and finally estimated investment. It's complicated for stocks with closed positions. If they bought something in Q2 and sold it in Q3, all we really know is what it the position was worth on June 30 from the 13f. It's easier for stocks they've held over time. You can see they built up a large position in FRX through 2007 and have gradually whittled it down since. It looks like they invested $12M in FRX and at today's price of 28 have about $5M to show for it. Doing this for all stocks over the past three years would be problematic. I did look at the large names that Bridgewater has held consistently since 2006. Though I am guessing, I think they did well on APOL, CPWR, CSC and BDX. Not too well on CVX, MHP, SUN, OKE, COP, SNPS and of course FRX. More losers than winners. The market has been lousy in this time period and I am sure they were well hedged through much of it. But I didn't see evidence of positive alpha on the long side.
We're working on a program to crunch through 3500 money managers 13fs in a more mechanized way. If you are interested, let us know.