Citadel

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Frontrunning: April 26





  • The Fed Is Meeting in April to Talk About June (BBG)
  • Global stocks, oil prices climb as investors ready for Fed (Reuters)
  • Apple Results to Show How Far iPhone Sales Have Fallen  (BBG)
  • On Election Eve for five states, Trump rips Cruz and Kasich (Reuters)
  • President Xi Jinping’s Most Dangerous Venture Yet: Remaking China’s Military (WSJ)
  • Oil's Recovery Inches Higher as 'Fracklog' Awaits Price Trigger (BBG)
 
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In Shocking Finding, The Bank Of Japan Is Now A Top 10 Holder In 90% Of Japanese Stocks





The latest shocking example of just how intertwined central banks have become in all capital markets, comes courtesy of the Bank of Japan which days ahead of a move which may see it double its ETF purchases from the current run rate of JPY3.3 trillion to JPY7 trillion or more (if Goldman is correct), is revealed to be a top 10 holder in about 90% of all Japanese stocks. Crazier still, if as Goldman predicts the BOJ doubles its purchases of ETFs, the central bank could become the No. 1 shareholder in about 40 of the Nikkei 225’s companies by the end of 2017,

 
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April Cheers Bring May Tears - Something To Keep You Up At Night





"I’ve said it a thousand times, you can bend but cannot break natural laws.  And while technology and lack of broad participation in the markets can facilitate a bending of the natural laws at some point the fundamentals will release that grim swan upon the world.   And so if you are still buying into the idea that the worst is over and we are now bound for the next 7 year bull, let me give you something to think about as you lay in bed tonight."

 
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Swiss National Bank Admits It Spent $470 Billion On Currency Manipulation Since 2010





Swiss policy makers rarely state outright that they’ve intervened, and analysts use data on sight deposits and foreign currency reserves to gauge the scope of the central bank’s actions. Breaking with the usual protocol, Jordan said in June the SNB had acted to stabilize the franc amid the Greek debt crisis. The bottom line: CHF86.1 billion spent on FX intervention in 2015 and a whopping $470 billion since 2010.

 
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Citadel Down 8% In 2016 Due To Collapsing Liquidity, Forced Liquidations





Through march 11, or one month since the prior update, Citadel had lost another 1.5% and is now down 8% in its main hedge funds "as the $25 billion firm lost money in a unit that has helped drive profits in recent years." “Some managers were liquidating sizable portfolios in a short period of time into a market with challenging liquidity characteristics,” said Adam Blitz, chief investment officer at Evanston Capital Management. The sales were significant, he said, given the amount of leverage many of the firm firms use to amplify returns.

 
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Hartnett: "This Is The World's Most Painful Chart"





The World's Most Painful Chart...uncanny correlation between Chinese renminbi & Facebook/Petrobras pair-trade (Chart 1); few have been positioned for 2016's biggest pain trade...appreciation of the renminbi; CNH (China renminbi), CL1 (oil), H0A0 (high yield) = lead indicators of risk rally, drivers of performance pain.

 
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An Anti-HFT Success Story: European Exchange Bans Frontrunning Algos, Grows Dramatically





If anyone is still confused why the most predatory, parasitic, and in many case criminal, of HFT actors are so vehemently opposed to IEX's HFT-limiting exchange application, here is the reason. 

 
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Intraday Market Rescue Team Most Active Since 2011





It appears that whenever downsides to The Fed's "wealth creation" mandate begin to appear, something strange happens in the stock market...

 
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JPMorgan Head Quant Explains Why Most Hedge Funds Have Been Slammed In 2016





"YTD performance of equity long-short Hedge Funds was likely dragged down by their net long equity exposure and heavy exposure to popular growth and momentum stocks. As a result, the HFRXEH index performed in line with passive investors (S&P 500). The momentum selloff in the first week of February negatively impacted equity quants who are on average overweight  momentum/low volatility factors"

 
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Is Citadel Unwinding A $50 Billion Portfolio In The Aftermath Of The Surveyor Debacle





The WSJ writes that "through the second week of February, Citadel’s main fund is down 6.5% this year, a person familiar with the matter said." As Copeland notes, "Mr. Griffin grapples with a money-losing stretch unusual for one of the hedge-fund world’s marquee names." That is only part of the story. Here is what the WSJ missed. As our source reveals, Citadel is quietly trying to unwind the $50 billion leveraged Surveyor portfolio.

 
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IEX Strikes Back: Charges NYSE With "Tiering" Order Flow, Shows "Latency Arbitrage" Is Real





Since granting IEX exchange status would lead to an immediate market structure disruption, one which would impair such embedded HFT players as Citadel which, as we have explained previously is the NY Fed's preferred "arms length" intermediator in the market to ingite momentum at critical downward junctions, we are very skeptical that when all is said and done, the SEC will grant IEX what it wants: after all there are too many status quo revenue models at stake, not to mention a potential threat to the Fed's preferred market "intervention" pipeline.

 
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