![]() ![]() ![]() We generated an order list (overnight) that was worked throughout the subsequent market session at the discretion of an algo-equipped executing broker some of whom now roam the halls at Jefferies / Leucadia. When we launched our first trading program at Quantlab in the late 90's, we didn't have direct market access yet. And, of course, some of the most brilliant and creative companies of all time have been named after it! - and, I'm not necessarily talking about firms like Visible Alpha or AlphaSense or the defunct quant strategy development platform, Alphacet. There are conferences named after it, like the CNBC and Institutional Investor ANNUAL Delivering Alpha Conference, now apparently in its 8th year. (Not gonna go there right now.) And, my personal favorite (for its level of misguidedness), generating alpha. (A strategy that had its heyday around 2006 and has recently tried to make a comeback.) Tainted alpha. ![]() We hear it everywhere, at all times, and in numerous forms: Achieving alpha. Rightly or wrongly, there isn't an investment or trading context into which it is not shoehorned. Like the financial markets equivalent of "dude", or "bro" or the many satisfying derivations of "F**K," the term "alpha" seems to pepper our market discourse in a way that has few peers. Which manager is associated with which method? One more thing: If you think this is too deep in the weeds for where Four managers with two methods for implementing position sizing one method based on market capitalization weighting, the other based on liquidity weighting. What's fascinating here is how these four leaders, with their core strategies in equities, assembled their portfolios. "The voyage of discovery is not in seeking new landscapes, but in having new eyes." - Marcel Proust I had hoped to be able to publish the executive summary to our latest case study on Two Sigma this week, however instead, here is one of the more fascinating findings from that research (that we explore in detail in that case study) in the form of a puzzle: In the chart below, Alphacution presents the average stock position by value for the 67-quarter period beginning Q4 2002 and ending Q2 2019 for the four legendary quant managers, Renaissance Technologies, Millennium Management, D. ![]() To more specifically define BAM's core strategy genre as statistical arbitrage is likely to go a bit too far on the active and automated strategy spectrum, as its material reliance on fundamental analysis would more accurately put it We might go a bit further to add Two Sigma and AQR Capital Management to a broader description of other large hedge fund managers that operate in the active management zone of our ecosystem map. BAM is a multi-strategy multi-manager investment firm who is often compared to the likes of Millennium, Point72, and Citadel. And only a handful of individuals inside the profession have attempted to redefine economic theory and practice based on the energy laws.” - Jeremy Rifkin, The Third Industrial Revolution With this Feed post, Alphacution adds Balyasny Asset Management, LLC (BAM) to its growing roster of modelled trading firms. “Even though the transformation of energy, in all of its various forms, is the very basis of all economic activity, only a tiny fraction of economists have even studied thermodynamics. 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 The proposal would "raise the reporting threshold to $3.5 billion, reflecting proportionally the same market value of U.S. “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 Jthat it had proposed to amend Form 13F to update the reporting threshold for institutional investment managers and make other targeted changes. ![]()
0 Comments
Leave a Reply. |
AuthorWrite something about yourself. No need to be fancy, just an overview. ArchivesCategories |