The hedge fund industry has been abuzz this summer about the fate of Millennium’s index-rebalance king

• The hedge fund industry has been abuzz about SRBL, a Millennium pod led by star PM Glen Scheinberg.
• SRBL is the goliath of index-rebalance trading, a strategy that has been hammered industry-wide.
• Intense speculation has surrounded the team’s performance and future at Millennium. 

One corner of hedge fund land has been abuzz this summer with chatter about the fate of one of the most prominent trading teams at Millennium Partners, Izzy Englander’s $57 billion multi-strategy leviathan.

In June, Glen Scheinberg, the star portfolio manager whose team has minted billions for Millennium, became the most talked about name on Wall Street. According to profile views on the Bloomberg Terminal, the financial data platform ubiquitous across financial services, searches for Scheinberg — few and far between on a typical day — spiked to 1,300 one early Thursday afternoon.

The source of the intrigue was likely spurred by the carnage then enveloping the index-rebalance trading complex, a once sleepy strategy that has surged in popularity in recent years.

Scheinberg and the Millennium team he leads — known as SRBL for the initials of its founders — are the Goliaths of the trade. They’ve reaped eye-popping profits for Millennium in recent years taking massive, multi-billion dollar swings on the periodic reshuffling of indexes like the S&P 500 or the Russell 3000. The success of SRBL spawned copycat efforts, and the strategy of betting on which stocks will be added and removed from indexes has grown increasingly crowded over the past two years. 

But index-rebalance trading got a lot messier in recent months, and the trade was walloped in the lead up to the annual late-June reshuffling of the Russell indexes — one of the hottest trading events of the year. The trade turned upside down, with the nearly 300 stocks scheduled to join the index, which would typically see a price run-up, falling a combined 58% over the first two weeks of June.

The losses breached drawdown limits and capsized a number of teams at firms including, but not limited to, Millennium and ExodusPoint, each of which started the year with a slew of pods involved in index arbitrage.

The fallout also unleashed intense speculation around the fate of the biggest player in the strategy. Given the sheer size of Millennium’s prized team, which has been known to amass tens of billions of dollars for its trades, industry participants suspected enormous losses, and rumors swirled that Scheinberg might decamp for a rival or to start his own fund. 

Scheinberg’s team did lose money amid the Russell turbulence. But its book was well hedged and the losses through mid-June were not substantial, especially compared with the capital it puts to work, people close to the firm told Insider. But given the pod’s heft and the sharp movements in the Russell trade, the team nonetheless experienced dramatic swings in performance in excess of half a billion dollars from peak to trough, sources told Insider.

It’s unclear how the fund’s marquee team has performed since, but Millennium overall gained 0.4% in July. It is up 6.6% year-to-date — a solid performance given the market turbulence that also puts it ahead of peers like ExodusPoint and Balyasny, albeit well behind Citadel.

Several hedge fund professionals said they’d heard talk that SRBL could spinout, or partially spinout, in an arrangement that would allow Millennium to continue to invest along with outside investors. Two said they’d heard about the discussions directly from people inside Millennium.

Such deliberations are not uncommon among portfolio managers at multi-strategy hedge funds and often result in no change to the status quo. Scheinberg remains at Millennium and SRBL remains intact, and no signs have emerged of imminent change.

A Millennium spokesman had no comment. 

However, any change in structure at SRBL would be closely watched given the team’s stature and import at one of the world’s largest funds.

Hedge fund investors would be especially eager to grab exposure to the team, further stoking interest in its fate. 

Do you know more about the index-rebalance trade? Get in touch with the author at amorrell@insider.com or via encrypted chat on Signal, Telegram, or WhatsApp at +1-262-573-1023.