Citadel Securities

"Above all else, show the data." - Edward Tufte "Torture the data, and it will confess to anything." - Ronald Coase   While a lot of folks are allowing their attention to be hacked by the latest tweet, squirrel or AI-vowel combo to float by - and the entire landscape begins to suffer from an increasing left-brain imbalance - let's not forget the value of authorship. You know, the thing that reminds you that your "AI" is still just a bunch of nested if-then statements - and can't possibly solve the puzzle you are about to solve for the distant foreseeable future. That kind of "AI" is a snob that can only function on data that is somehow cleaner than reality... Turns out, there remains a ton of valuable data lying around - as I have been saying on our Feed lately - hiding in plain sight. And, it turns out, that that data has been disclosed in small, hard-to-reach, chunks precisely because it's quite valuable once distilled properly, like [...]

Image Credit: Liu Bolin “The problems are solved, not by giving new information, but by arranging what we have known since long.” – Ludwig Wittgenstein It is said that the best way to eat an elephant is one bite at a time. And, since the aggregated 13F filings of Citadel Securities represent such an elephant-sized trove of delicacies - not to mention the contextual value it brings relative to so many other players - we are only going to chew on a couple new bites for right now. First, we recently made a splash about the product composition of the US "stock" market, and the fact that it's mostly made up of derived products, in the post, US Stock Market is Made of These! More specifically, it should come as no surprise that the product class with the highest growth (since we started our indexing in Q1 2010) is ETFs - followed predictably by ETF options (see chart below). So, one factoid that may be worth further contemplation is the point at [...]

Image Credit: Liu Bolin “The problems are solved, not by giving new information, but by arranging what we have known since long.” – Ludwig Wittgenstein Like discovering a secret doorway into a long-forgotten section of the Great Library of Alexandria, our recent focus on the data contained in the SEC's Form 13F has been nothing short of captivating. Yes, one interpretation of these reports - the most common interpretation - is that these reports merely represent a fleeting and illusory fragment of an asset manager's holdings. However, if you were hunting for puzzle pieces (to reverse-engineer the inner workings of a complex system) in the equivalent of a sensory deprivation chamber, and then someone lit a match for a split second, the amount of information you could collect off the back of that spark would be profound. In other words, the findings so far from this foray of ours into the 13F analysis has been quite valuable. As we will begin to demonstrate, even fragments of position- and portfolio-level attribution data can [...]