Virtu

The Evolving Value of 13F Reporting: Building a Macro-Structure Cockpit

“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 [...]

By |2020-10-01T21:33:33-04:00July 30th, 2020|For Subscribers|

Virtu Financial: More Acquisitions on the Way, If…

When we launched our first trading program at Quantlab in the late 90's, we didn't have direct market access yet. We generated an order list (overnight) that was worked throughout the subsequent market session at the discretion of an algo-equipped executing broker; some of whom now roam the halls at Jefferies / Leucadia. This was the era when 1- to 3-day portfolio turnover was considered fast - SOES bandits were still a thing - and Schwab would soon acquire electronic trading pioneer, CyBerCorp, from Philip Berber - a short drive down the road from our Houston headquarters in Austin, TX. Of course, everyone had nicknames then - as I suspect they still do now. Ed Bosarge, founder of what eventually became Quantlab (after at least 3 prior related incarnations that began for me around 1996), was known as Dr. Evil. Let's just say it's a hair-raising story about a swashbuckling pioneer of applied math involving a hideous toupee... I was known as Mr. Bigglesworth - or, "Bigsy" for short. No [...]

By |2020-10-05T21:19:11-04:00March 27th, 2018|Open|

Broker Tech Spend Speaks Volumes

Broker spending on technology is one of those topics that rises to the top of the headlines from time to time, particularly given how much the market landscape has shifted in the past several years - and how competitive, regulatory, and new market drivers threaten to change that landscape even more along the road ahead. So, during the course of developing research on a related topic, we had occasion to expand our modeling in the area of market makers, broker-dealers, and related specialist execution technologies - and stumbled upon a different lens through which to evaluate "broker" spending patterns. In the following chart, we share a common format for presenting these kinds of figures; a ranking of 5-year average total technology spending by 9 public broker and broker-like companies. Simple output.  Mildly interesting. Ten's or hundred's of millions of dollars spent on technology is notable. But, not particularly illuminating. However, as we benchmarked technology spending using employee headcounts - a technique we use regularly - the picture packs an entirely [...]

By |2020-08-17T07:14:08-04:00October 19th, 2017|For Subscribers|