While Bridgewater is famous for leveraaging on low risk assets to acheive greater returns for a typical risk profile, This strategy does the opposite: deleverage on riskier assets.

This strategy is long QQQ and shorts SPY so that it has a beta of 1. This strategy historically outperforms the S&P by (1) earning an interest on short sale proceeds and (2) earning the QQQ alpha. This strategy is risky given that the alpha may not continue, or the beta may change.

Over the past 10 years QQQ has a larger downside deviation (beta of 2.05) compared to the upside deviation (beta of 1.09), meaning that this strategy would have a beta greater than 1. The BRIDGE2 strategy attempts to fix that using options (selling atm call options on SPY and buying atm puts). However, over the past 20 years this trend is reversed, so these options may not be necessary.

If beta is greater than 1.05, sell short additional SPY to return to 1.00.

If beta is less than 0.95, buy additional QQQ to return to 1.00.