Vanguard

According to D. E. Shaw, RenTech and Other Legends: Hindsight is Not 2020

"Quality means doing it right when no one is looking."Henry Ford I couldn't find the exact reference, but sometime between about 2010 and 2015 I wrote (for TABB Group) that when the market regime eventually shifted from the core drivers of the long, low volatility period of the post-GFC era, many quant models would become disoriented and their performance would suffer. This is simply because the behavioral cues of the new chapter would not be embedded in the historical market data of the prior period upon which those models had been trained. Well, that scenario finally played out this year... So, instead of following the well-worn tradition of preparing a lengthy "Year in Review" post on market highlights and lowlights as we bring this historically bizarre and disorienting year to a close, I thought to let a series of illustrations from some of the world's most legendary players show you symbols for how their year appears to have gone (through Q3 2020) and, by implication, how broad groupings of strategies [...]

By |2020-12-23T21:35:10-05:00December 22nd, 2020|For Subscribers|

Fidelity, Wellington, and Vanguard: Mega-Manager Comparative Analysis

"The greatest risk is to risk nothing at all." - Leo Buscaglia If you think we are only interested in the machinations of those mythological creatures that lurk in the mysterious and complex depths of market microstructure, then you may be missing the plot here. While we do tend to wallow in the weeds from time to time in an unprecedented way, you may have noticed the steady drumbeat of the DaVinci quote that "everything connects to everything else." No, that redundancy is not laziness to find a new quote. It's a purposeful reminder that there is a feedback loop going on here where all the species of "trees" - from the Citadel and Virtu trees to the Vanguard and BlackRock trees and all the flora in between - offer clues for the evolution of the "forest." If you didn't catch it in a previously published post, the exhibit below is the latest incarnation of Alphacution's asset management ecosystem map that is intended to depict the reverberations of new information [...]

By |2020-10-14T21:48:44-04:00May 16th, 2019|For Subscribers|

Those Fees Are No Laughing Matter!

Image Credit: Arpad Busson and actress Uma Thurman attend the premiere of Zulu during the 66th Cannes International Film Festival  - Hubert Boesl/DPA/Alamy He pressed "record" on the cassette machine, leaned back and took a long, deep drag from a cigarette. "Let's begin," he said with a heavy accent. In a risky break from protocol, and much to the frustration of my partner - Quantlab co-founder and chief scientist, Ed Bosarge - I asked if I could bum one of his smokes. "But, of course," the Frenchman said with a smirk... Scene: Swanky leather-drenched, art-stuffed office, midtown Manhattan, 1998. Arpad "Arki" Busson, then already at 35 a legendary rainmaker for legendary hedge fund managers, like Tudor Investment's Paul Tudor Jones, had agreed to meet with two of the top geeks from a quant trading upstart to pitch their new strategy to his EIM Group, a prestigious fund of funds (FoFs) platform of the era. In a bizarre twist of unacknowledged credentials, it was difficult to pretend to ignore the fact [...]

By |2021-02-05T15:28:55-05:00September 16th, 2018|Open|

Riffs Ep 4 – What Do Hedge Fund Managers Spend on Technology?

Set aside some time to watch Alphacution Riffs Ep 4 wherein we walk through the foundational hypothesis; key highlights; an extraordinary case study involving Citadel, Millennium Management, Point72 and Vanguard (teaser); and, the strategy behind the release of our latest - and, most impactful - study to date, "The Context Machine: Estimating Asset Manager Technology Spending" (April 2018). And, for those of you with a slightly longer attention span, stick around for another "public service announcement" at the end of this one (starting around 11:17) - as we did in the Director's Cut for  Ep 3 - Proprietary Trading, Extreme Automation. The urge to provide value to the human capital component (i.e. - you, me, and everyone in our audience and beyond) - which is actually coming to life as a direct result of our technology focus - seems to be gaining momentum... Enjoy... And, as always, if you value this work: Like it, share it, comment on it - or discuss amongst yourselves -  and then send us feedback@alphacution.com. [...]

By |2020-10-05T21:19:41-04:00April 17th, 2018|Video|