Millennium Management shuttered two index-rebalancing pods in Asia this month, said a person with knowledge of the matter.
The first was led by Shao Ying and the second by Zachary Corones, said the source, who asked not to be identified discussing private information. Both Hong Kong-based portfolio managers are leaving the company.
The performance of both teams, their assets under management and details of the decisions to shutter them were not immediately clear. Markets whipsawed earlier this month amid concerns about a weakening US economic outlook and tighter Japanese monetary policy.
A Millennium representative declined to comment. Shao and Corones did not immediately reply to messages requesting comment via LinkedIn.
Hedge fund platforms like Millennium and Balyasny Asset Management allocate capital among pods trading with different strategies. They keep a close tab on the amount of losses each can sustain before its trading risk is curtailed or the team is shuttered. The approach allows the companies to post steady returns, even when individual pods suffer losses in times of market swings.
The Bank of Japan hiked interest rates for the second time in 17 years on Jul 31 and hinted at more increases to come. Combined with concerns about a weaker US economy, it let loose days of gyrations in global financial markets.
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Japan’s Topix index had the biggest three-day losing streak going back to 1959. The wild moves triggered circuit breakers that briefly halted index futures trading.
Index rebalancing as an investment strategy typically anticipates and wagers on stocks being added or removed from equity gauges. These changes affect share prices, as passive funds with trillion of dollars buy or sell those stocks. A niche area for perhaps a dozen companies in 1998, index rebalancing has now attracted more than 50 companies in recent years, including pods at the big multi-manager hedge fund firms, one fund manager told Bloomberg News late last year.
Shao, a well-regarded female senior portfolio manager in a world dominated by men, previously worked for Goldman Sachs Group and Squarepoint Capital. Before joining Millennium in 2021, Corones was a managing director of central risk and alpha strategies at Citigroup, indicated his LinkedIn profile.
Millennium, founded by Izzy Englander in 1989, manages more than US$68 billion, according to its website. Bloomberg
