Millennium Shuts Two Trading Pods in Asia, Managers to Leave

(Bloomberg) -- Millennium Management shuttered two investment teams in Asia that run index-rebalancing strategies and two managers are leaving the $68 billion hedge fund firm, said a person with knowledge of the matter.

One team was led by Shao Ying and the other by Zachary Corones, said the person, who asked not to be identified discussing private information. Both portfolio managers are based in Hong Kong.

The performance of both teams, their assets under management and details of the decisions to shutter them weren’t 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 didn’t immediately reply to messages requesting comment via LinkedIn. 

Index rebalancing has become a popular strategy for hedge funds, which bet on which companies may be added or removed from an equity gauge as stock exchanges revise index members. These changes, typically made quarterly or semi-annually, often affect share prices, as passive funds with trillions of dollars buy or sell stocks moving in or out of an index.

A niche area for just a dozen firms in 1998, index rebalancing has now attracted more than 50 companies in recent years, including pods at the big multi-manager hedge fund firms. 

Japan’s Topix Index this month suffered its biggest three-day losing streak going back to 1959, triggering circuit breakers that briefly halted index futures trading. The Bank of Japan hiked interest rates for the second time in 17 years on July 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 before stocks recovered. 

Hedge fund platforms like Millennium and Balyasny Asset Management LP 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 firms to post steady returns, even when individual pods suffer losses in times of market swings.

Shao, a well-regarded female senior portfolio manager in a world dominated by men, previously worked for Goldman Sachs Group Inc. and Squarepoint Capital LLP. Before joining Millennium in 2021, Corones was a managing director of central risk and alpha strategies at Citigroup Inc., according to his LinkedIn profile.

Millennium, founded by Izzy Englander in 1989, manages more than $68 billion, according to its website.

(Updates with more context on the Japan selloff from fifth paragraph.)

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