In this 34-page, 36-exhibit, 6,400-word Focus Note, “European ETP Spread Analysis For Systematic Internalisers,” Alphacution publishes its findings from the core research objectives of this project: 1) credibly quantify the theoretical “gross” spread value for ETPs traded on LSEG, 2) credibly quantify the portion of this value for SIs, and 3) illuminate or elevate any other clues about the trading preferences of SIs. To our delight, this research produced an outline for a composite model of SI/wholesaler trading preferences – given that the underlying techniques are portable. Check it out…

This and related case studies are available to premium and enterprise subscribers or via individual document purchase.

In this 87-page, 83-exhibit, 22,700-word case study, “XTX [Invades] Markets,” Alphacution publishes its findings – a truly incredible story – about the youngest proprietary trading company to cross the $1 billion revenue threshold in the modern markets era – and the founder, Alex Gerko, who has led that run. Based in London and breaking into the top 10 ranks of overall FX traders before its second birthday, conventional reporting states that XTX Markets Limited was spun out of quant hedge fund manager, GSA Capital Partners, in 2015. This is mostly true. However, the full story of Gerko and his XTX group has never properly been told. In this case study, Alphacution has gone further than it’s ever gone before. Finding data in places like Singapore, France, and India – places where XTX has staked satellites of Gerko’s vision – to paint a clearer picture of how, and maybe why, the company has managed to become so expansive in such a short period of time. Alphacution will not be the last to tell a more complete version of XTX’s story, but we may be the first to attempt it. Our version of that story, the beginnings of which are known to very few insiders, starts in October 2010…

This and related case studies are available to premium subscribers or via individual document purchase.

In this 87-page, 83-exhibit, 22,700-word case study, “XTX [Invades] Markets,” Alphacution publishes its findings – a truly incredible story – about the youngest proprietary trading company to cross the $1 billion revenue threshold in the modern markets era – and the founder, Alex Gerko, who has led that run. Based in London and breaking into the top 10 ranks of overall FX traders before its second birthday, conventional reporting states that XTX Markets Limited was spun out of quant hedge fund manager, GSA Capital Partners, in 2015. This is mostly true. However, the full story of Gerko and his XTX group has never properly been told. In this case study, Alphacution has gone further than it’s ever gone before. Finding data in places like Singapore, France, and India – places where XTX has staked satellites of Gerko’s vision – to paint a clearer picture of how, and maybe why, the company has managed to become so expansive in such a short period of time. Alphacution will not be the last to tell a more complete version of XTX’s story, but we may be the first to attempt it. Our version of that story, the beginnings of which are known to very few insiders, starts in October 2010…

This and related case studies are available to premium subscribers or via individual document purchase.

In this 19-page, 15-exhibit, 2,800-word case study, “The Proprietary Traders, Part I – Global Roster and Select Rankings,” Alphacution publishes the first installment of its research series designed to explore the secretive yet influential community of nearly 100 proprietary trading firms spread across the world today, from traditional cash equities market makers to cryptocurrency market makers and liquidity providers. In Part I, Alphacution presents its global roster of proprietary trading firms – including rankings from select perspectives – set against the backdrop of its foundational market ecosystem map and illustrations of the unique importance of this community of “structural alpha’ trading firms. Subsequent installments of this research series will focus on themes like revenue estimation, financial asset rankings, strategy mix, portfolio construction parameters, competitive analyses and related topics. This and related case studies are available to premium subscribers or via individual document purchase.

In this updated 75-page, 77-exhibit chart book, “The Chicago Trading Company with Appendix on European Trading,” Alphacution continues its focus on the explosion of activity in US option markets with a deep dive into another leading option trading firm, CTC, LLC.  In this report, Alphacution leverages evolving modeling capabilities to explore its first example of a proprietary trading firm with core concentration in index options along with the peripheral suite of cash, futures and other option products used to capture volatility arbitrage opportunities. In addition, this version of the report is published with an appendix that details key aspects of the firm’s London-based affiliate, CTC London Limited. Furthermore, this research sets the stage to potentially identify (and rank) other large index option players with similar strategies where the regulatory data is not specifically disclosing exposures to index options. The complete chart book is available to premium subscribers or via individual document purchase.

In this 71-page, 69-exhibit chart book, “The Chicago Trading Company,” Alphacution continues its focus on the explosion of activity in US option markets with a deep dive into another leading option trading firm, CTC, LLC.  In this report, Alphacution leverages evolving modeling capabilities to explore its first example of a proprietary trading firm with core concentration in index options along with the peripheral suite of cash, futures and other option products used to capture volatility arbitrage opportunities. Furthermore, this research sets the stage to potentially identify (and rank) other large index option players with similar strategies where the regulatory data is not specifically disclosing exposures to index options. The complete chart book is available to premium subscribers or via individual document purchase.

In this 67-page, 64-exhibit chart book, “Simplex Trading, Unadjusted,” Alphacution borrows the spotlight from the record-setting volumes in the US options market for 2021 and focuses it in on one of the key – yet, relatively little known – players in the space, option market maker, Simplex Trading, LLC. Taking some of its recent modeling upgrades for an initial spin, Alphacution performs its unique brand of visual display on regulatory data to present what is likely to be an unprecedented review of such a secretive player like Simplex. The complete chart book is available to premium subscribers or via individual document purchase.

In this 198-page, 273-exhibit, 33,000-word case study, “The Robinhood Effect,” Alphacution brings together data and modeling from 25 entities – 11 retail brokers and 14 wholesale market makers – to explain a new phenomenon that now lives at the center of the US capital markets ecosystem. Alphacution’s most ambitious research project to date, this report covers the governing liquidity economics framework that defines PFOF rates, the mechanics of Robinhood’s aggressive retail brokerage model, the transformation of the retail brokerage industry, the sophisticated strategy architectures of wholesale market makers, and the “retail flow factors” that impact all market actors in the ecosystem – among many other themes and avenues for future research. An executive summary is available for review and download by open subscribers (w/ free registration). The complete case study is available to premium subscribers or via individual report purchase.

In this 198-page, 273-exhibit, 33,000-word case study, “The Robinhood Effect,” Alphacution brings together data and modeling from 25 entities – 11 retail brokers and 14 wholesale market makers – to explain a new phenomenon that now lives at the center of the US capital markets ecosystem. Alphacution’s most ambitious research project to date, this report covers the governing liquidity economics framework that defines PFOF rates, the mechanics of Robinhood’s aggressive retail brokerage model, the transformation of the retail brokerage industry, the sophisticated strategy architectures of wholesale market makers, and the “retail flow factors” that impact all market actors in the ecosystem – among many other themes and avenues for future research. An executive summary is available for review and download by open subscribers (w/ free registration). The complete case study is available to premium subscribers or via individual report purchase.

In this 17-page, 21-exhibit presentation – Part III of Alphacution’s case study on payment for order flow (PFOF) – we present our preliminary development of the “retail flow factor” for 2020 based largely on a reconciliation of 606 data (from 10 retail brokers / 11 entities) and 605 data (from 7 wholesale market makers). The results include estimated monthly penetration of retail order flow relative to the full U.S. cash equities market for 2020 – including estimated breakdowns of odd lots and round lots – as well as some hints on where we will need to look next to further refine this factor in preparation for extending this analysis throughout 2021 and beyond…

In Part I of Alphacution’s case study on payment for order flow (PFOF), we focused mainly on the rates paid by wholesale market makers to retail brokers under a full range of securities categories and order type scenarios. In this 22-page, 20-exhibit deck, Alphacution presents PART II of its upcoming comprehensive case study, The Robinhood Effect, with a focus on a concept called broker personas. Alphacution’s working hypothesis on this topic is that each retail broker – in fact, all order flow intermediaries – have a unique persona. This persona – a unique pattern formed by order type distributions – is a distillation of client trading behaviors. In this presentation, Alphacution demonstrates that broker personas are partly due to investor demographics and, more interestingly, partly due to broker influence. Furthermore, when we broaden our perspective to consider that retail brokers are now compensated for trade flows largely by their wholesaler counterparts, we see a clearer picture of how desired outcomes could be manufactured…

2020 will be remembered for many reasons. In the context of Alphacution’s ongoing research focus, we want to remember 2020 as the first full year of enhanced transparency into the mechanics and impacts of the long-held practice of payment for order flow (PFOF). It turns out, enhanced use of PFOF as the linchpin in a new zero-commission brokerage framework for retail investors (pioneered by Robinhood) sets a series of dominoes in motion that ultimately influence, to some degree, all stakeholders and all products in US listed markets. The question now is: To what end? In this 23-page, 20-exhibit deck, Alphacution presents PART I of its upcoming comprehensive case study, The Robinhood Effect, with a focus on order routing rate heatmaps.

In this 91-page, 102-exhibit case study, “The Rise of Hudson River Trading,” Alphacution adds another leading proprietary trading firm – and recent entrant to the $1 billion+ trading revenue club (2020e) – to its library focused on the most secretive and consequential players in the global markets ecosystem. Notable highlights include the history of Sun Trading and the impacts of its acquisition by Hudson River Trading (HRT) in Q1 2018, and explorations into the firm’s European trading operations, US equity and equity option strategies, comparative analysis with select competitors, and revenue estimation, among many other details. An executive summary is available for review and download by open subscribers (w/ free registration). The complete case study is available to premium subscribers or via individual report purchase.

In this 91-page, 102-exhibit case study, “The Rise of Hudson River Trading,” Alphacution adds another leading proprietary trading firm – and recent entrant to the $1 billion+ trading revenue club (2020e) – to its library focused on the most secretive and consequential players in the global markets ecosystem. Notable highlights include the history of Sun Trading and the impacts of its acquisition by Hudson River Trading (HRT) in Q1 2018, and explorations into the firm’s European trading operations, US equity and equity option strategies, comparative analysis with select competitors, and revenue estimation, among many other details. An executive summary is available for review and download by open subscribers (w/ free registration). The complete case study is available to premium subscribers or via individual report purchase.

This is the presentation given at the 2020 IEX ARC.IO virtual conference on November 19, 2020. It outlines the research vision and mission for Alphacution’s research, lists core data sources (to date), provides an overview of our asset management ecosystem thesis (including capacity of alpha), and draws specifically from notable exhibits in our comprehensive cases studies on the likes of Citadel Securities, Susquehanna International Group (SIG), Two Sigma Investments (including certain comparisons to D. E. Shaw), and Jane Street Group.

Full Title – Hiding in Plain Sight: Business and Trading Strategy Intelligence from Slow Data

In this 125-page, 149-exhibit, 26,000-word case study, “History of Jane Street,” Alphacution sets a new bar for the scope of a case study focused one of the leading proprietary trading and market making firms in the world, with notable expansions relative to prior cases studies into regional, US option strategy, revenue estimation, and comparative analysis details (including Citadel Securities, Susquehanna International Group (SIG) and affiliates, and Two Sigma Investments and affiliates). The complete case study is available to premium subscribers or via individual report purchase.

In this 125-page, 149-exhibit, 26,000-word case study, “History of Jane Street,” Alphacution sets a new bar for the scope of a case study focused one of the leading proprietary trading and market making firms in the world, with notable expansions relative to prior cases studies into regional, US option strategy, revenue estimation, and comparative analysis details (including Citadel Securities, Susquehanna International Group (SIG) and affiliates, and Two Sigma Investments and affiliates). The complete case study is available to premium subscribers or via individual report purchase.

In this 51-page, 61-exhibit case study on one of the most successful quantitative trading firms launched since the dawn of the 21st century  – Two Sigma Investments, LP – Alphacution presents the next in its series of unprecedented reports based on its modeling of many of the most mythological players and impactful themes operating within the current global asset management ecosystem. Of particular note, this report includes a groundbreaking comparative analysis of key strategy parameters between Two Sigma and D. E. Shaw, with additional analytical comparisons that include Millennium Management and Renaissance Technologies; together a grouping of the most revolutionary asset managers in the large-scale quantitative domain. The complete case study is available to premium subscribers or via individual report purchase.

In this 51-page, 61-exhibit case study on one of the most successful quantitative trading firms launched since the dawn of the 21st century – Two Sigma Investments, LP – Alphacution presents the next in its series of unprecedented reports based on its modeling of many of the most mythological players and impactful themes operating within the current global asset management ecosystem. Of particular note, this report includes a groundbreaking comparative analysis of key strategy parameters between Two Sigma and D. E. Shaw, with additional analytical comparisons that include Millennium Management and Renaissance Technologies; together a grouping of the most revolutionary asset managers in the large-scale quantitative domain. The complete case study is available to premium subscribers or via individual report purchase.

In this 55-page, 64-exhibit case study on one of the most legendary proprietary option trading firms of all time – Susquehanna International Group, LLP – Alphacution publishes the next installment in its unprecedented Hiding in Plain Sight series that leverages an assembly of publicly-available data and a growing library of models based on some of the most impactful market participants in the global asset management ecosystem today. The complete case study is available to premium subscribers or via individual report purchase.