Bridgewater to close All Weather strategy but will offer a variation

Bridgewater Associates will close its All Weather risk-parity strategy later this year in order to preserve performance.

Assets managed in the global strategy now total $65 billion with another $15 billion pledged in new commitments, said a source with knowledge of the firm's plans who asked for anonymity.

Although the timing has not been set, when the global version of All Weather is closed at $80 billion, Bridgewater will open a new variation, All Weather Major Markets, exclusively for institutional investors, the source said.

“You can scale the risk-parity strategy to really big asset levels, but Bridgewater wants to be conservative and make sure that tiny tweaks to the asset mix don't turn into small tweaks that would reduce the Sharpe ratio,” the source said.

The source said the introduction of the new All Weather variation is similar to Bridgewater's introduction of a more liquid, major markets version of its hedge fund strategy, Pure Alpha, in 2010.

Bridgewater managed a total of $120 billion as of Dec. 31.

Parag Shah, senior management associate at Bridgewater, declined to comment.