Millennium是Multi-strat做的最好的HF, index rebalancing 賠了900M

Millennium Management sees $900 million loss from index rebalancing teams - Bloomberg
 

Investing.com -- Millennium Management, a global hedge fund, has reported a loss of around $900 million this year from two teams focused on index rebalancing, according to a report from Bloomberg, citing sources. This strategy, which involves betting on which companies enter or exit various stock indexes, has been disrupted by recent global stock market volatility.

The larger of the two index-rebalancing teams is managed by Glen Scheinberg and is known as SRBL. The other team is managed by Dubai-based Pratik Madhvani. Both teams have been impacted by the market unrest and the crowded nature of their trades, leading to significant losses.

Jeremy Ma, a senior portfolio manager based in Hong Kong who also specialized in index-rebalancing trades, has left Millennium, according to a person with knowledge of the matter.

Index rebalancing has previously had a negative impact on returns, including in 2022. The practice, which was once limited to about a dozen firms in 1998, has expanded to at least 50 firms in recent years. This includes various pods at large multimanagers, such as Millennium. However, deteriorating returns have led some traders to abandon the strategy.

Despite the losses, both the teams led by Scheinberg and Madhvani were profitable last year. Millennium, which manages approximately $75 billion, was down less than 1% this year through February, even taking into account the losses from the index rebalancing teams.