Alphacution has been quite busy developing its next case study focused on option market makers. To build context for that research, we have been expanding our understanding of institutional option traders. It turns out that there is a familiar cast of characters in this space, including some of the most legendary quantitative hedge fund managers...
Alphacution continues to expose breakthroughs from the development of its proprietary version of the 13F dataset. Our example comes from pioneer statistical arbitrage group D. E. Shaw & Co., Inc... The full Feed post is available to Silver and Premium subscribers...
Alphacution continues to expose breakthroughs from the development of its proprietary version of the 13F dataset. Our example comes from pioneer statistical arbitrage group D. E. Shaw & Co., Inc...
After years of development, Alphacution is on the verge of significant breakthroughs in research output given ongoing enhancements to its curated 13F dataset, including strategy sector bias. These are the first samples of those breakthroughs...
Alphacution is constantly surveilling the landscape for clues of strategy capacity constraints and opportunities for strategy capacity expansion - and the impacts that those constraints and opportunities are likely to have throughout the capital markets ecosystem. Here's one finding that we found fascinating...
Inspired by reading Igor Tulchinsky's books - albeit a couple years late - Alphacution digs into some modeling to uncover a real world application of The UnRules...
“The Initial Mystery that attends any journey is: how did the traveler reach his starting point in the first place?” - Louise Bogan, poet and author After 40 years, the Securities and Exchange Commission (SEC) announced on July 10, 2020 that it had proposed to amend Form 13F to update the reporting threshold for institutional investment managers and make other targeted changes. The proposal would "raise the reporting threshold to $3.5 billion, reflecting proportionally the same market value of U.S. equities that the current threshold - $100 million - represented in 1975, the time of the statutory directive." Furthermore, the new threshold is expected to "retain disclosure of over 90% of the dollar value of the holdings data currently reported while eliminating the Form 13F filing requirement and its attendant costs for the nearly 90% of filers that are smaller managers." Now, those of you who have been following Alphacution's work know that we have leveraged 13F data in ways that no one else has ever replicated, and therefore, has become [...]
“From the point of ignition to the final drive, the point of the journey is not to arrive.” - Neil Peart New clues are emerging on the nature and pace of change... Here's the setup: Unlikely and unexpected virtuosity often serves as the catalyst for a dynastic run of success. Moreover, legend has it, that it's usually the will over and above the skill that fuels the initiation and duration of that run. While skills eventually decay, it's the will to keep finding a way to win - to distinguish oneself or team relative to the competition - that's the defining factor. Of course, whether it be a football field or a market landscape, like a moving sidewalk, everything happens as the ground is constantly shifting below our feet. What happens to Tom Brady next, I'm not here to predict. He is merely a reliable hook to drag your attention to this point in the story because the debate about whether his game has changed to favor running, mobile [...]
“Even though the transformation of energy, in all of its various forms, is the very basis of all economic activity, only a tiny fraction of economists have even studied thermodynamics. And only a handful of individuals inside the profession have attempted to redefine economic theory and practice based on the energy laws.” - Jeremy Rifkin, The Third Industrial Revolution With this Feed post, Alphacution adds Balyasny Asset Management, LLC (BAM) to its growing roster of modelled trading firms. BAM is a multi-strategy multi-manager investment firm who is often compared to the likes of Millennium, Point72, and Citadel. We might go a bit further to add Two Sigma and AQR Capital Management to a broader description of other large hedge fund managers that operate in the active management zone of our ecosystem map. To more specifically define BAM's core strategy genre as statistical arbitrage is likely to go a bit too far on the active and automated strategy spectrum, as its material reliance on fundamental analysis would more accurately put it [...]
"The voyage of discovery is not in seeking new landscapes, but in having new eyes." - Marcel Proust I had hoped to be able to publish the executive summary to our latest case study on Two Sigma this week, however instead, here is one of the more fascinating findings from that research (that we explore in detail in that case study) in the form of a puzzle: In the chart below, Alphacution presents the average stock position by value for the 67-quarter period beginning Q4 2002 and ending Q2 2019 for the four legendary quant managers, Renaissance Technologies, Millennium Management, D. E. Shaw & Co., and Two Sigma Investments. What's fascinating here is how these four leaders, with their core strategies in equities, assembled their portfolios. Four managers with two methods for implementing position sizing; one method based on market capitalization weighting, the other based on liquidity weighting... Which manager is associated with which method? One more thing: If you think this is too deep in the weeds for where [...]
