Millennium Management suffered significant losses in its index rebalance strategy in November, according to a report by Business Insider, weighing on performance at the $81bn multi-strategy hedge fund. At one point during the month, teams led by senior portfolio managers Glen Scheinberg and Pratik Madhvani were reportedly down hundreds of millions of dollars, although some losses were recovered toward month-end.

Index rebalance strategies involve betting on which stocks will be added or removed from indexes such as the S&P 500. The setbacks contributed to Millennium trailing rivals including Citadel, Point72 and Balyasny during the period. The fund was up approximately 0.5% in November and 8.3% year-to-date.

Several industry participants said the losses stemmed from volatility surrounding the reconstitution of MSCI’s major indices, one of the largest annual rebalancing events. On 5 November, MSCI announced the addition of 69 stocks and the removal of 64 from its Global Standard indices, sparking sharp price moves. The index dropped by close to 5% during a week in the middle of November, before recovering.

Index rebalance strategies have become increasingly crowded in recent years. Millennium remains one of the largest global players in the trade, though the strategy has experienced uneven performance across the industry following strong gains earlier in the cycle.