Millennium Management has shut down a quant hedge fund founded by two acclaimed physicists that suffered only one losing year since it began trading in the early 1990s.
The closing of Prediction Company, which Millennium bought in 2013, came as a surprise to employees because the firm was profitable, according to a person familiar with the matter. The hedge fund was started by Doyne Farmer and Norm Packard, who were known for their seminal work in developing chaos theory and managed about $4 billion at its peak.
Izzy Englander’s Millennium shuttered Prediction, a statistical arbitrage fund, at a time when that strategy is struggling to make money. Returns for the approach are down less than one per cent so far this year, according to a Scientific Investments index of 160 funds, marking its first year-to-date loss since 2010. Prediction, which is based in Santa Fe, New Mexico, outperformed the average stat-arb fund, the person said.
Millennium, which manages $35 billion, operates a multi-strategy fund that deploys capital to numerous teams. Prediction labored under the shadow of Millennium’s bigger systematic hedge fund WorldQuant, which also runs a stat-arb strategy. WorldQuant invests about $5 billion for Millennium and raised $2.3 billion in its first fund for outside clients earlier this year.
A spokesman for Millennium declined to comment.