Key Takeaways
- • Two Sigma's Shanghai-based Juliang Macro fund, its flagship onshore China macro strategy, fell 0.9% in April 2026 after a 7.9% loss in March, its worst monthly performance since launching in 2020, according to investor communications reviewed by Bloomberg.
- • The March drawdown was driven by Iran-related geopolitical volatility that sharply lifted crude oil and commodity prices while weighing on Chinese equities, hurting both short positions in industrial, energy and chemicals exposures and long equity index futures positions.
- • Juliang has generated annualised returns of 14.2% since inception through the end of April, despite the recent losses.
- • Two Sigma's Dingliang Index Enhanced Strategy, tracking the CSI Smallcap 500 Index, rebounded 15% in April after a 9% March decline, lifting year-to-date returns to 23% through April 30.
- • Two Sigma's mainland China local strategies surpassed RMB10bn in assets under management for the first time after additional fundraising last year.
Summary
Two Sigma Investments' primary onshore China macro strategy extended its losses in April after a sharp drawdown in March, according to a report by Bloomberg citing investor communications. The Shanghai-based Juliang Macro fund declined 0.9% in April following a 7.9% loss in March, which was its worst monthly performance since the fund launched in 2020. Despite the recent volatility, the strategy has delivered annualised returns of 14.2% since inception through the end of April.
In a letter to investors, the firm said escalating Middle East tensions drove an abrupt rally in crude oil and related commodity sectors while weighing heavily on Chinese equity markets. The dislocation hurt both sides of the portfolio: losses came from short positions tied to industrial, energy and chemicals exposures, as well as long positions in equity index futures. The turmoil affected macro managers broadly, with Bridgewater Associates' local business also under performance pressure in China.
The firm's second major onshore strategy, the Dingliang Index Enhanced Strategy, which tracks the CSI Smallcap 500 Index, fell 9% during the March turmoil before rising 15% in April. According to the materials, year-to-date returns through April 30 reached 23%, and the strategy has outperformed its benchmark by 11 percentage points this year. Since launch, it has delivered annualised returns of 24%, compared with 11.7% for the underlying index.
Two Sigma significantly expanded its mainland China footprint last year, with assets under management for its local strategies surpassing RMB10bn for the first time following additional fundraising.
In a letter to investors, the firm said escalating Middle East tensions drove an abrupt rally in crude oil and related commodity sectors while weighing heavily on Chinese equity markets. The dislocation hurt both sides of the portfolio: losses came from short positions tied to industrial, energy and chemicals exposures, as well as long positions in equity index futures. The turmoil affected macro managers broadly, with Bridgewater Associates' local business also under performance pressure in China.
The firm's second major onshore strategy, the Dingliang Index Enhanced Strategy, which tracks the CSI Smallcap 500 Index, fell 9% during the March turmoil before rising 15% in April. According to the materials, year-to-date returns through April 30 reached 23%, and the strategy has outperformed its benchmark by 11 percentage points this year. Since launch, it has delivered annualised returns of 24%, compared with 11.7% for the underlying index.
Two Sigma significantly expanded its mainland China footprint last year, with assets under management for its local strategies surpassing RMB10bn for the first time following additional fundraising.
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