Wisconsin picks pair for $600 million in risk parity

Wisconsin State Investment Board, Madison, hired AQR and Bridgewater to run $300 million each as part of its risk parity strategy, according to Vicki Hearing, public information officer at the board, which oversees a total of $74.4 billion.

Bridgewater will run the assets in its All Weather portfolio, Ms. Hearing said in an e-mailed response to questions.

The new portfolios are part of a risk parity strategy SWIB adopted in January 2010 “to help provide additional diversification” for its $64.6 billion core fund “with investments that provide attractive returns with better diversified risk,” Ms. Hearing wrote.

Funding for AQR and Bridgewater came from cash and a multiasset liquidity fund SWIB manages internally, Ms. Hearing wrote in the e-mail.

Hewitt EnnisKnupp assisted with the search.

Under the risk parity strategy, SWIB plans to leverage the core fund to achieve an asset allocation of 104% and possibly to a 120% allocation in 2012.

The initial target allocation is 28% U.S. equities, 25% international equities, 26% fixed income, 7% TIPS, and 6% each private equity, real estate and absolute return.