Our recent foray into an analysis of the SEC’s Form 13F reporting continues to bear fruit; arguably more fruit than can unreasonably be consumed at even the most festive holiday feasts. And yet, we must soldier on, if for no other reason but curiosity…
Here’s the quick setup for this one:
Each quarter, the US Securities and Exchange Commission (SEC) publishes its list of equity and equity-linked securities for which certain asset managers (with aggregate holdings valued greater than $100 million) must report their gross notional long positions. (For more background, refer back to “Goldman Sachs’ Book: Hiding in Plain Sight.”) For all intents and purposes, this comprehensive list IS the quarterly rolling contents of the US “stock” market. In early 2010, this was a list containing nearly 15,000 unique CUSIP numbers.
So, it occurred to us take a closer look at how these contents – from plain vanilla equities to convertible preferred’s to options and, yes, to exchange traded funds (ETFs), among other product types – have migrated over the past several years. As a reminder, the motivation for our fascination with this piece of the broader research is to clarify and quantify that which ties market micro-structure (i.e. – liquidity formation) to market macro-structure (i.e. – asset managers and their strategies).
After all, the concentration of products, their respective liquidity formations, and the investment strategies made possible by market structures are all symbiotic. Leaving the “stock market’s” signals for the broader economy aside for the moment, investors (and traders), products, strategies and market structures are all interconnected.
Alphacution’s mission here is to quantify – and ultimately, predict – this interconnection phenomenon. Now, based on what we have assembled so far behind the scenes, a clean and organized dataset over several years is becoming quite valuable. The SEC doesn’t provide this. They only provide access to the raw data. The cleaning, organizing, and analyzing gets done by folks like us.
Anyway, I’m thinking the soup-to-nuts analysis belongs in a full report behind a paywall. So, for now, let’s start by taking some wagers on where a comparison of the total number of individual US stocks versus ETFs would be today given where we are showing them to be for the 10 quarters beginning Q1 2010 (below)…
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