John Curtice, the 32-year-old macro trader who joined hedge fund Millennium earlier this year on a package allegedly worth $50m has left again. Bloomberg reports that his apparently inadvertent exit followed a ‘net low single digit loss,’ and claims that Curtice exceeded guidance on his risk limits. However, Bloomberg also says that Curtice’s trades didn’t hit a limit that would actually trigger a stock loss. Instead, the fund is said to have had multiple ‘discussions’ about risk limits with him before he left.
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Millennium didn’t respond to a request to comment for this article, and we didn’t approach Curtice for his perspective. His disappearance from Millennium follows an article in the Wall Street Journal last month highlighting Millennium’s strict approach to losses and its ‘unusually tight risk limits.’
The WSJ said Millennium portfolio managers (PMs) managing $1bn in assets can only lose $50m before half their AUM are removed by the fund. If Millennium PMs lose $75m, the WSJ said they will probably be fired.
Curtice was reportedly managing $2bn initially at Millennium, which was cut to $1.5bn as he fell out favour. If the WSJ is right, this would imply that he should have been able to lose $100m, or 5% of his initial assets. Bloomberg implies this wasn't the case.
Curtice’s ejection may dissuade other macro managers from joining Millennium. Macro can be a volatile asset class, as evinced by the wildly divergent annual returns at Rokos Capital Management. Macro portfolio managers who want the freedom to make long term bets can find it difficult to operate within the tight risk limits imposed by multistrategy funds like Millennium. As one portfolio manager told us
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