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Image Credit: Fabian Oefner "The voyage of discovery is not in seeking new landscapes but in having new eyes." - Marcel Proust “Learn how to see. Realize that everything connects to everything else.” - Leonardo DaVinci In my mind, memories of the childhood home are dominated by those of vast spaces. A colossal stairway, a living room like a grand ballroom, the front and back yards both like baseball stadiums. My father is there - like a giant sitting at the head of the kitchen table - savoring his freshly unscrolled newspaper. And yet, upon visiting this place as an adult, it presents itself as your basic 3-bedroom layout - barely 2,000 square feet - with postage stamp yards. It turns out, my memories are somehow locked in when I was the size of a toddler. Perhaps, you share the experience of this illusionary twist of perspective... Recently, listed markets have started to mimic this duality of perspective for me. There was a time when the totality of stocks and [...]

Image Credit: John Rowady, Havana, Cuba "You can't connect the dots looking forward; you can only connect them looking backwards. So you have to trust that the dots will somehow connect in your future. You have to trust in something - your gut, destiny, life, karma, whatever. This approach has never let me down, and it has made all the difference in my life." - Steve Jobs There was a time, years ago, when I had a cigar attached to some part of my body pretty much 24/7. Like a disgustingly satisfying man-binky, if I wasn't smoking it, I was definitely chewing on it - and it didn't matter where I was. Polite company or public spaces did not deter the guile to sneak a chomp on the soggy end of a previously-lit robusto. And then, Cigar Aficionado magazine came along and ruined my enjoyment with the oncoming herd of the impending fad. Now, this is not to suggest that there aren't occasions - usually a golf outing or as an accompaniment to a fine bourbon - that [...]

"There's an old saying: If you want to hide the treasure, put it in plain sight. That way no one will see it." - Larry Dossey It was only a matter of time. Sooner or later, Alphacution would need take its analysis further out on the road. Sure, we recently sent a warm shoutout to the AmsterdamTrader with our article focused on Optiver and IMC, so this would not be the first time we ventured outside our own backyard. However, in this case, our storyline makes a long overdue heading for London, where fans of Alphacution - both high and low - help point out the next collection of raw grains for our growing sand castle of market intelligence... Today's subject is Marshall Wace Asset Management (MWAM), the $39 billion AUM systematic and quantitative hedge fund powerhouse based in London - and we set the stage for much deeper future analysis by presenting the following shape of the full history of net turnover: Note that the missing 2008 (for obvious [...]

Alphacution's Top 100 Players in US Listed Market Structure schematic (v1.0) was a huge hit last week; breaking almost all content engagement records on our various publishing channels to date. Apparently there is a demand for eye candy. Who knew? While we develop some of the specific underlying modeling that supports that vision, this is a quick teaser for how that schematic fits onto our asset management ecosystem map. It only appears complicated. We are working on some simpler illustrations. There is definitely a method to our madness...

"Laughter, tears, and dance moves are all things that should not be kept on the inside." - Denis Morton, Peloton Instructor It is as of the writing of this very short post - mid-afternoon on a lazy Friday - that we've just found that XTX Markets' very first US filing to the SEC database is not yet 24 hours old. We have been scratching our heads about this one for a little while now, wondering if and when we would ever receive any real evidence about this newish entrant to the market making landscape. After all, it does seem to us that a) we don't see many new players surviving in this neck of the jungle - Alphacution's structural alpha zone, and 2) ~100 employees and counting tends to suggest that there is something mildly sustainable going on here. Well, as of 16:17 (eastern time) on February 28, 2019, that evidence finally arrived; the equivalent of a DNA sample - the first X17A5 filing for this unique broker dealer - [...]

“Learn how to see. Realize that everything connects to everything else.” - Leonardo DaVinci How do listed markets actually work? And, how do players discover and capture opportunity from within that market structure? And, what impact - if any - does the proximity of certain players to the centers of market liquidity have to do with the capacity of opportunity that is left over for all others that operate downstream from these players? These are the kinds of questions that we ask ourselves all the time because if you were to adopt the perspective that markets - and the fortunes of market actors - are interconnected, then what happens in close proximity to liquidity is likely going to have an impact on those who operate farther afield from that liquidity. Layer on top of this the notion that all modern market ecosystems are in a constant state of evolution - whether by virtue of new products, new players, and/or new technologies and methods - and the puzzle-solving exercise for how [...]

If you've ever had the distinct pleasure of driving around downtown LA, particularly heading north on the 110 just past the famed Staples Center where the LA Kings hockey team and a couple little-known basketball teams play, then you can't help but be confronted by the sign at the top of the building just up ahead: Wedbush. Beyond the tony Wilshire Boulevard address, it is here - certainly more metaphorically than physically - that our fascination with the SEC's Form 13F reports truly began in the Spring of 2018 - and later, by extension, where our Hiding in Plain Sight (#HIPS) series was born in the Fall of 2018. Prior to stumbling over this data, I did not know Wedbush all that well beyond the fuzzy belief that it was mainly a brokerage operation. So, as a result, it did not dawn on me that brokerage firms would be accumulating positions that would ultimately trigger 13F filings. Of course, I was ill-informed about the scope of Wedbush's financial services offerings, [...]

"The problems are solved, not by giving new information, but by arranging what we have known since long." - Ludwig Wittgenstein Two brief teasers to share on our legendary friend, Izzy Englander and his Millennium Management trading operation. First, we modeled 72 quarterly 13F reports beginning Q4 2000 and ending Q3 2018, and the value of that piece of Izzy's portfolio puts him on the all-time buyside leaderboard in between Citadel and Jane Street: As per usual, we have stripped the numbers away from the vertical axis to focus in on the shapes for now. This picture brings up two additional thoughts: 1) How long are trajectories like these sustainable? - and, 2) Are there any players on the list below (of upcoming research targets) that will eclipse this current group? Our second teaser for now is an extension of the sustainability question above: In the exhibit below, Alphacution presents the time series of Millennium's average equity position value which is currently north of $24 million per: So, particularly given [...]

“Everything you need is already inside.” - Bill Bowerman, Track & Field Coach and Nike Co-Founder Apparently, there is this parallel universe wherein traders and asset managers are able to take each subsequent risk with the benefit of perfect information because there seems to be some implication in our feedback loop that relying on partial or even incomplete fragments of information is not worth the effort. Tsk tsk... Now, those of you who have been paying close attention at home already know how much I enjoy flogging my readers with the famed Al Pacino Game of Inches speech from the movie Any Given Sunday to within - uh - an inch of their attention spans, but the point should be fairly clear by now: There are tons of clues lying around in plain sight for those willing to occasionally perform the intellectual equivalent of a dumpster dive for new sources of intelligence... Maybe 13F reports just have a bad reputation for their poor impersonation of low hanging fruit. Anyway, here's [...]

“You can't connect the dots looking forward; you can only connect them looking backwards. So you have to trust that the dots will somehow connect in your future. You have to trust in something – your gut, destiny, life, karma, whatever." - Steve Jobs (2011) You've got to wonder if the founders of Jane Street Group, which began as a subsidiary of Henry Capital prior to 2001, had any inclination that the "dots" would connect as they have when they were first starting out. Certainly, looking backwards, what now amounts to 64 quarters of track record has produced a "shape" that we can confidently say is worthy of applause... Behind these scenes, Alphacution has nearly completed its initial modeling of Jane Street and the various legal entities that make up its track record, from a portfolio construction and positioning perspective. And, since we have done several of these modeling exercises so far among a roster of some of the more mythological managers and trading firms on record, it's natural that one begins to grow an intuition [...]