(March 8): Millennium Management lost about US$900 million (RM3.97 billion) so far this year from two teams focused on index rebalancing, a strategy recently upended by global stock market volatility, according to people familiar with the matter.

Glen Scheinberg runs the larger of the two index-rebalancing teams, a group known as SRBL, while Dubai-based Pratik Madhvani manages the other crew focused on the strategy, the people said. A representative for Millennium declined to comment.

Index rebalancing — often highly leveraged — involves betting on which companies enter or exit various stock indexes, and it can be lucrative for giant multimanager hedge funds like Millennium.

Yet bouts of market unrest combined with the crowded nature of the trades can also trigger significant losses — even if portfolio managers bet on the right stocks.  

Hong Kong-based senior portfolio manager Jeremy Ma, who also specialised in index-rebalancing trades, has left Millennium, according to a person with knowledge of the matter. Ma didn’t reply to a social media message seeking comment.

Index rebalancing has soured returns before, including in 2022.

One fund manager estimated that just a dozen firms deployed the trade in 1998. That number ballooned to at least 50 firms in more recent years — including various pods at the big multimanagers — before deteriorating returns drove some traders away.

The upside can be significant, though. Scheinberg and Madhvani’s groups were both profitable last year.  

Millennium, which manages about US$75 billion, was down less than 1% this year through February, even with the losses.

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