Millennium Management’s Book: Hiding in Plain Sight (Teaser #1)

“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 what Alphacution has exposed in the recent post, US Stock Market is Made of These and the Q4 2018 update that went with it – where the portion of stocks to ETFs in the US market are on long term trends in opposite directions – we can’t help but wonder about a number of ideas that we have been proposing within many of our posts:

1) Are successful trading firms, like Millennium and others, capturing the alpha that might historically be harvested by a more diverse group of (smaller) managers? And, if so, do they contribute to “downstream” consolidation – or, thinning out – of the hedge fund and traditional asset management communities?

2) Are there market boundaries that impede the long term trajectory of factors like Millennium’s average equity position value? OR,

3) Is it the funding being accumulated by the likes of Millennium, Citadel, Jane Street, Bridgewater and others – along with occasional support from Mr./Mrs. Volatility – that is what is actually driving this market higher and higher?

Food for thought…

We will have much more to share on Izzy and Millennium soon…

Thanks for your attention…


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By | 2019-04-03T20:54:55+00:00 February 21st, 2019|Alphacution Feed|

About the Author:

Paul Rowady is the Director of Research for Alphacution Research Conservatory, the first digitally-oriented research and strategic advisory platform uniquely focused on modeling and benchmarking the impacts of technology on global financial markets and the businesses of trading, asset management and banking. He is a 30-year veteran of the proprietary, quantitative and derivatives trading arenas with specific expertise in strategy research, risk management, and techno-operational development. Contact: feedback@alphacution.com; Follow: @alphacution.