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Last week, in timely fashion, the SEC published the 13F securities list for Q4 2018. Here is our breakdown of the quarterly change in product categories. Refer to the original US Stock Market Made of These! (or below) for the full history:   In August 2018, I did what I rarely do anymore: Cut an article out of a newspaper. The title and topic caught my eye, and eventually became the catalyst for some of the analysis presented here. Amongst all the digital gear, I still needed a physical marker to remind me... "The Stock Market Is Shrinking. That's a Problem For Everyone." (Jeff Sommer, New York Times, 8/4/2018) It turns out that if you search on a title like this, the story comes up several times over the past couple years. Forbes actually did a similar story after the NYT did the one above. Barron's did one before that, in mid-2017. In any case, the articles from 2018 are both based on a report by Rene Stulz of the [...]

Image Credit: Liu Bolin, Museo Enzo Ferrari ~ There is infinitely more than just the devil in the details. ~ Ludwig Mies van der Rohe It is so often said, offhandedly and seemingly without much regard for the underlying meaning, that the devil is in the details. Ever wonder about the origin of this saying? I suppose this might be a silly question for those of you who commonly say things without thinking, but it's still one worth pondering... Famed architect, Mies van der Rohe, is credited with the origin of the quote, but this is not his original version. The original quote, which I have further paraphrased in our opening for purposes that you will soon understand, was: "God is in the details."  Now, as someone who has always thrived on the value of details - and sometimes criticized for getting stuck in the weeds - this last version of the quote, which I reinterpret for my own purposes as "opportunity is in the details," has always come naturally. [...]

"Study the science of art. Study the art of science. Develop your senses — especially learn how to see. Realize that everything connects to everything else.” — Leonardo Da Vinci (~1500) "The real voyage of discovery consists, not in seeking new landscapes, but in having new eyes." - Marcel Proust (1923) In August 2018, I did what I rarely do anymore: Cut an article out of a newspaper. The title and topic caught my eye, and eventually became the catalyst for some of the analysis presented here. Amongst all the digital gear, I still needed a physical marker to remind me... "The Stock Market Is Shrinking. That's a Problem For Everyone." (Jeff Sommer, New York Times, 8/4/2018) It turns out that if you search on a title like this, the story comes up several times over the past couple years. Forbes actually did a similar story after the NYT did the one above. Barron's did one before that, in mid-2017. In any case, the articles from 2018 are both based on a report by Rene Stulz of [...]

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 [...]

"Not that the story need be long, but it will take a long while to make it short." - Henry David Thoreau With the help of our ITG modeling - and a recently discovered S-1 filing for Liquidnet from 2008 - we present the following storyboard. Though some of you will miss the lyrical wordsmithing, this one is presented without the usual auditory accompaniment. Perhaps this will help lubricate some questions from the audience... Using data from our ITG model, and some old financial data from Liquidnet's S-1 filing in 2008, we were able to leverage current headcount and contextual revenue per employee (RPE) estimates to update the current revenue estimate for Liquidnet. This is one small example of the benefit of Alphacution's "Sudoku Puzzle" modeling methodology. As always, if you value this work: Like it, share it, comment on it – or discuss amongst your colleagues –  and then send us feedback@alphacution.com. As our “feedback loop” becomes more vibrant – given input from clients and other members of our [...]

"Don't get involved in partial problems, but always take flight to where there is a free view over the whole single great problem, even if this view is not a clear one." - Ludwig Wittgenstein For once, there might not be much more to say after a title like this one - and I'm not getting paid to offer strategic advice to the players on this rink - so I will be brief. First and foremost, my hometown Red Wings have recently been replaced in the sub-basement of the NHL's Atlantic Division by the Panthers, so hopefully some things have changed for the better for the boys in the D. Just sayin'. Second, we did a little work to update our Virtu + GETCO + Knight Capital + ITG pro forma modeling, and - uh - how about the good news first? Picking up from where we left off in the most recent post, Virtu, ITG: Much More Than Meets The Eye, which focused mainly on Virtu's Q3 print of [...]