Millennium Management Funds Lose 2.1% in July as AI Stock Volatility Hits Hedge Funds Hard

Sharp volatility in artificial intelligence stocks led to a marked divergence in hedge fund performance in July, hurting multi-strategy giants while quantitative funds strengthened against the trend.

On August 3, Bloomberg cited sources familiar with the matter as revealing that the net asset value of Millennium Management funds cumulatively fell 2.1% in July, compressing their year-to-date cumulative return to 8.2%.

The multi-manager equity fund North Rock also fell 2.1% over the same period, narrowing its year-to-date gain to 4.8%; the multi-strategy fund LMR saw a relatively smaller decline of 0.48%, still recording a positive return of 6% for the year.

Declines in the AI and semiconductor sectors were the primary reason dragging down equity portfolios. Among them, the Situational Awareness fund was forced to sell most of its public market stock positions to Citadel under pressure from margin calls, which helped narrow some of the sector's previous declines.

Quantitative Strategies Lead Against the Trend

In contrast, systematic trading strategies across asset classes demonstrated significant resilience.

Quantedge, with $7.2 billion in assets under management, rose 7.8% in July, lifting its year-to-date cumulative gain to 34.6%, standing out in the current market environment.

Macro fund Pharo Macro edged up 0.23% over the same period, bringing its year-to-date cumulative return to 9.9%.

Beyond stock market volatility, the correlation between commodity and fixed income markets also constituted an important market backdrop in July.

The rapid rise in oil prices sparked concerns about inflation prospects, further pushing up yields on 30-year U.S. Treasury bonds, putting pressure on fixed income assets and testing the overall allocation of cross-asset portfolios.