Talent Scouts: Look Who’s Reading Alphacution
"I'm watching intelligence." - Jeff Daniels (May 20, 2019) Alphacution is in the process of "making a market" for intelligence about some corners of the financial ecosystem where there has historically been very very little. Most of what can be learned about the companies we focus on - market makers, prop trading firms, and quant hedge funds - is anecdotal. Hearsay. Rumor. And, of course, the occasional sensationalistic newspaper riff about gargantuan pay days and trophy purchases of [...]
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 [...]
Fidelity’s Concentration Risk
Picking up where we left off with Fidelity's unprecedented shift in total (13F) position count in late 2018, we turn to another anomaly disclosed by our modeling: In the exhibit below, Alphacution presents its position concentration analysis for the entire 25-year 13F record for Fidelity. Here, we are not only looking at the value of the Top 10 positions as a percentage of all 13F positions, but also the fully-loaded Top 10 positions, which means across all reporting [...]
Virtu Financial: When Life Imitates Art
"Life's just this game of inches. And, the inches we need are everywhere around us." - Al Pacino If it's any consolation, the original version of this started with a shout-out to Doug with a tribute to Duncan Keith, former defenseman for the 2010 Stanley Cup champion Chicago Blackhawks, who lost 7 puck-stopping chicklets in their series-clinching win of that year's Western Conference run for Lord Stanley's cup. Hockey stud that he was, Duncan returned to finish the [...]
After 25 Years, Fidelity Shakes Things Up
“Learn how to see. Realize that everything connects to everything else.” ― Leonardo da Vinci While it is true that we spend alot of time and energy of late exploring certain deep-in-the-weeds aspects of the trading world, if you think that we are only interested in providing intelligence about that neck of the woods then you may have lost the plot here. What is going on deep in those weeds has impacts on what appears to be the wide [...]
Tower Research Capital: Keeping It Real…Tiny
“I can do this all day.” —Steve Rogers In honor of the big Avengers Endgame opening last week, I thought to pay a little tribute to Ant Man and the Wasp for this one... Like many of the trading firms we have been focusing on recently, Tower Research Capital (TRC) has a market making unit - Latour Trading - and a proprietary trading unit - Tower Research Capital Investments (TRCI), both of which are based on high-performance technologies, [...]
Susquehanna and the Option Gods: Hiding in Plain Sight
“The problems are solved, not by giving new information, but by arranging what we have known since long.” - Ludwig Wittgenstein Who are the buy-side's smartest and most powerful players today? Alphacution is working towards a clear answer to this question. Not just a list, but a ranking of the top players in global markets today - starting with the buy-side. Chances are high that the players that earn their way onto such a list - and, rise [...]
#ICYMI: The King of ETF Trading?
It was a holiday shortened week last week, and a lot of folks were OOO with brain settings dialed to low intensity. So, I thought we would try this one again, keep it short, tight and appropriately entertaining: With the heavy lift of the Citadel Securities case study ink (mostly) dry, we now turn our attention to the next series of puzzles. Generally speaking, the puzzles that captivate in the immediate future include 1) the rankings of market [...]
Deconstructing Citadel Securities: Overview and Expanded Executive Summary Available for Download
Image Credit: Fabian Oefner "Research is what I'm doing when I don't know what I'm doing..." - Wernher von Braun Overview It was July 18, 2018. The scene was the 8th annual CNBC- and Institutional Investor-sponsored Delivering Alpha Conference. One of the main highlights of the event is Andrew Ross Sorkin’s fireside chat-style interview with Citadel founder, Ken Griffin. Among the many topics covered, the discussion confirmed that “1 out of every 5 stocks is trading [...]
The King of ETF Trading?
It's a holiday shortened week and a lot of folks are OOO with brain settings dialed to low intensity. So, we will keep this one short, tight and appropriately entertaining: With the heavy lift of the Citadel Securities case study ink (mostly) dry, we now turn our attention to the next series of puzzles. Generally speaking, the puzzles that captivate in the immediate future include 1) the rankings of market makers, prop traders and quant players (both, buy-side [...]
