Much of what moves markets each day is mechanical: trend followers, vol control funds, dealers hedging their option books, pensions rebalancing at month end. Sophos Alpha models what that capital is forced to do next, before the flow arrives.
Independent quantitative research on hedge fund flows, systematic positioning, dealer gamma and volatility.
The Institutional Monitor every week, and a daily note with one chart and what it means for the market.
What you receive
The Institutional Monitor, weekly
Hedge fund flows, systematic positioning, dealer gamma and liquidity across the largest market participants, and what they are mechanically set up to do next.
Read the issuesWhat we cover
- Hedge fund flows and positioning
- Leverage, long/short ratios, sector rotation, crowding and performance from the prime brokerage data, every week.
- Systematic positioning
- CTA and trend following exposure across global equities, rates, currencies and commodities, vol control and risk parity exposure, and the trigger levels that turn these funds from buyers into sellers.
- Dealer gamma and options
- The gamma flip, the walls, the move options price into every scheduled event, skew, term structure, implied correlation and dispersion.
- Market microstructure and liquidity
- Order book depth in S&P and Nasdaq futures, funding spreads, intraday against overnight behaviour, and what thin or deep markets do to the tape.
- Sector trends and breadth
- Rotation, factor crowding, breadth, earnings revisions, and the AI trade against the rest of the index.
- Economic data and rates
- Fed cycles, inflation, growth and yields, and what each has done to equities in every cycle since the 1960s.
- Cross-asset positioning
- CFTC futures books across equities, rates, FX, gold, oil, copper and crypto, with the extremes and what followed them.
- Seasonality and market history
- Calendar patterns, the midterm cycle and the analogs that matter, run on data back to 1928.
How we work
Proprietary models built from public and licensed data and checked against the published positions of the funds they track. Where a claim depends on history, we run the history and show it. We show the test. We do not show the parameters.
Who it is for
Portfolio managers, traders, analysts and quantitative researchers who want the flow and positioning picture before they take risk, and independent investors who want institutional research in plain language.