The Evolving Value of 13F Reporting: Building a Macro-Structure Cockpit

“The Initial Mystery that attends any journey is: how did the traveler reach his starting point in the first place?” - Louise Bogan, poet and author After 40 years, the Securities and Exchange Commission (SEC) announced on July 10, 2020 that it had proposed to amend Form 13F to update the reporting threshold for institutional investment managers and make other targeted changes. The proposal would "raise the reporting threshold to $3.5 billion, reflecting proportionally the same market value of U.S. equities that the current threshold - $100 million - represented in 1975, the time of the statutory directive." Furthermore, the new threshold is expected to "retain disclosure of over 90% of the dollar value of the holdings data currently reported while eliminating the Form 13F filing requirement and its attendant costs for the nearly 90% of filers that are smaller managers." Now, those of you who have been following Alphacution's work know that we have leveraged 13F data in ways that no one else has ever replicated, and therefore, has become a [...]

By | 2020-08-01T18:00:02-04:00 July 30th, 2020|Alphacution Feed|

@VirtuFinancial: Yes, There Are More Acquisitions on the Way!

No problem can be solved from the same level of consciousness that created it. - Albert Einstein On October 4, news broke on all the major market news outlets that - after feasting on a meal formerly known as KCG Holdings, Inc. (KCG) in 2017, which itself was a combo platter made up of GETCO and Knight Capital - Virtu Financial, Inc. (Virtu) was returning to the all-you-can-eat buffet to consider the total consumption of multinational agency brokerage and financial markets technology firm, Investment Technology Group, Inc. (ITG). Of course, this news generated a chuckle around here because it seemed that it was not too long ago that someone was predicting that this kind of pairing would make sense for Virtu - if conditions were such that they needed to bolt something else onto their expanded frame. Oh, wait a sec, that was us... To wit, from Alphacution's post "Virtu Financial: More Acquisitions on the Way, If..." (March 27, 2018): "One other notable move for significant growth for a firm [...]

By | 2018-11-01T18:53:18-04:00 October 31st, 2018|Alphacution Feed|

Operational Clues: Asset Managers Shifting Strategies

You can track shifting asset class and/or strategy allocations over several years for a long list of asset managers, and then add it all up to arrive at a data-driven industry trend. Easier said than done. This is an extremely heavy lift without the aid of a database that has already aggregated such information - if at all.  But, we think there is another way to generate such a signal that yields a similar conclusion (if you know how to read the tea leaves). Hint: As always, it still comes down to the people... That preamble aside for the moment, we will spare you the geek-speak and give you the cart before the horse: In the exhibit below, based on US Securities and Exchange Commission Form ADV data for 181 large asset managers (w/ AUM >$10 billion) over the 5 years ending March 2017, Alphacution's newest analytic - assets under management per employee, or AUM/e - indicates, upon calculation of total weighted average AUM/e for all reporting funds per period, that strategy trade durations have been lengthening. Translation: On average, asset [...]

By | 2018-02-28T16:31:46-05:00 June 28th, 2017|Alphacution Feed|