"It was a rough November for some of the biggest teams at a renowned hedge fund behemoth. Izzy Englander's $81 billion Millennium suffered significant losses in its index-rebalance portfolios last month, several people told Business Insider. Teams run by star money managers Glen Scheinberg and Pratik Madhvani were down hundreds of millions of dollars, these people said, though the final losses for the month are not clear, as the strategy had a small bounceback at the end of November."
"The index rebalance pain was a big reason why the firm posted November returns below those of its peers such as Citadel, Point72, and Balyasny. The firm was up 0.5% last month and 8.3% on the year, Business Insider previously reported. The index-rebalance strategy, in which portfolio managers bet on which stocks will be added to or removed from indexes such as the Russell 3000 or S&P 500 with the help of quantitative tools, has had a choppy year."
Millennium's index-rebalance portfolios suffered significant losses in November, with teams led by Glen Scheinberg and Pratik Madhvani down hundreds of millions before a small bounceback late in the month. The firm gained 0.5% in November and 8.3% year-to-date but lagged peers such as Citadel, Point72, and Balyasny. The index-rebalance strategy seeks to predict stocks added to or removed from benchmarks like the Russell 3000 and S&P 500 using quantitative tools and has produced volatile results this year. These teams experienced large prior losses in March, and many managers across the industry were caught off guard by MSCI's reconstitution in November.
Read at Business Insider
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