Millennium Management, the $68bn hedge fund multi-strategy major, has closed two of its investment teams in Asia, leading to the departure of two portfolio managers, according to a report by Bloomberg citing an unnamed source familiar with the situation.
The two teams, led by Shao Ying and Zachary Corones, were both based in Hong Kong and focused on index-rebalancing strategies. The specific performance metrics of these teams, the assets they managed, and the reasons behind the decision to close them were not immediately disclosed. The closure comes amid a period of market volatility triggered by concerns over the US economic outlook and tighter monetary policy in Japan.
From a niche strategy pursued by a few firms back in 1998, Index rebalancing has become a favoured strategy among hedge funds, with over 50 firms now engaging in the practice, which involves betting on stock movements based on changes in equity indexes. These adjustments, made quarterly or semi-annually by stock exchanges, can significantly impact share prices as passive funds adjust their holdings accordingly.
The decision to close the teams comes after Japan’s Topix Index experienced its steepest three-day decline since 1959 earlier this month. The drop, spurred by the Bank of Japan’s decision to hike interest rates for only the second time in 17 years, caused significant fluctuations in global markets, exacerbated by concerns over a weakening US economy.
Millennium and similar hedge fund platforms like Balyasny Asset Management typically allocate capital to various pods with distinct strategies, closely monitoring each team’s performance. If a pod incurs substantial losses, its trading activity may be curtailed, or the team may be shut down, a strategy that allows these firms to maintain overall steady returns despite individual setbacks.
Shao, a well-regarded senior portfolio manager in a predominantly male industry, previously worked at Goldman Sachs and Squarepoint Capital before joining Millennium. Corones, meanwhile, who joined Millennium in 2021, was formerly a managing director focused on central risk and alpha strategies at Citigroup.
