Millennium Management Fund lost 2.1% in July, AI stock volatility severely impacted hedge funds

The sharp fluctuations in artificial intelligence stocks have led to significant divergence in hedge fund industry performance in July, with multi-strategy giants suffering losses while quantitative funds defied the trend and strengthened.

On August 3, according to Bloomberg quoting sources, Millennium Management's net asset value in July fell by a cumulative 2.1%, compressing its year-to-date return to 8.2%.

Multi-manager equity fund North Rock also dropped 2.1% during the same period, narrowing its year-to-date gain to 4.8%. Multi-strategy fund LMR saw a relatively smaller decline of 0.48% and still recorded a positive return of 6% for the year.

The decline in AI and semiconductor sectors was the main reason dragging down equity portfolios. Among them, the Situational Awareness fund, under margin call pressure, was forced to sell most of its public market equity positions to Citadel, which somewhat narrowed the previous losses in that sector.

In contrast, cross-asset systematic trading strategies demonstrated notable resilience against declines.

Quantedge, with $720 million in assets under management, rose 7.8% in July, with its year-to-date increase climbing to 34.6%, delivering outstanding performance in the current market environment.

Macro fund Pharo Macro posted a small gain of 0.23% in the same period, bringing its cumulative return for the year to 9.9%.

In addition to stock market volatility, the linkage between the commodities and fixed income markets also formed an important market backdrop for July.

The rapid rise in oil prices triggered concerns about inflation prospects, further pushing the yield on 30-year US Treasuries higher. This put pressure on fixed income assets and posed new challenges for the overall allocation of cross-asset portfolios.