Armored Wolf LLC, the global macro hedge fund run by former Pimco Managing Director John Brynjolfsson, will be shuttering in the coming months and will become a small family office, Brynjolfsson said on Monday.

Armored Wolf, based in Irvine, California, has about $250 million in assets under management, down from roughly $1 billion in early 2013, Brynjolfsson said.

Global economic and financial market turmoil led to a rough quarter for investors, with U.S. hedge funds bracing for their worst year since the 2008 financial crisis. The average hedge fund lost 19 percent in 2008 when the credit crunch hit.

"We were short oil and long the U.S. dollar, so we fared better than the broad asset class, though the tide of broader market price declines ultimately left us swimming upstream," Brynjolfsson, Armored Wolf's chief investment officer, said in an interview.

"I am extremely grateful that I was given the opportunity to manage client assets, and that I was able to do it for as long as I have. I couldn't have done it without standing on the shoulders of giants, including my now deceased father, prior employers, clients and all those who worked and transacted with me."