Sophos Alpha

We build models to answer the questions investors have about the market. Opinions based on data and math, not assumptions.

Independent quantitative research on hedge fund flows, systematic positioning and volatility.

Weekly research and daily notes on market microstructure, sector trends and economic data.

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Simulated price paths crossing the levels where trend followers change sidetimeprice
Monte Carlo simulation: many random price paths drawn from one starting point, to map the range of outcomes rather than predict one. The bold path is the median; the dots mark where it crosses the levels at which trend followers change side.
Scatter of next-day S&P 500 returns against dealer gamma: wide when gamma is negative, tight when positivedealer gammanext-day return
Dealer gamma: the S&P 500's next-day move against estimated dealer gamma. Short gamma on the left, wide. Long gamma on the right, tight.
Random portfolios of five assets forming a cloud, with the efficient frontier along its upper edgeUS equityIntl equityReal estateCommoditiesBondsvolatilityreturn
Efficient frontier: a sample of fifty thousand random portfolios of five assets, and the frontier none of them can cross.
Scatter of daily S&P 500 returns against daily VIX changes, with the fitted line sloping downVIX daily changeS&P 500 daily return
Linear regression: the S&P 500 against the VIX, one day at a time. The line is the relationship, the scatter is the risk.
Scatter of modelled CTA positioning in US equities against VIX futures, with the COVID, tariff shock and US-Iran war sessions markedCOVIDTariff shockUS-Iran warCTA positioning in US equitiesVIX futures
CTA positioning: modelled trend follower exposure in US equities against VIX futures, one point per session. The funds are longest when it is quiet, and get sold out as volatility spikes.
A year of price history, then a cone to the horizon marking the 85th, 50th and 15th percentiles of the options-implied distribution85th50th15thtimeprice
Options-implied probabilities: a year of price, then the range the options market prices for the year ahead. The cone's edges are the 85th and 15th percentiles, the middle line the median.
Histogram of one-day returns across the index's constituents, decliners left of zero and advancers right, with a density curve and the largest names markedGOOGLMETAMSFTAAPLNVDAAMZNTSLAone-day returnstocks
Market breadth: every stock in the index on one day, decliners left of zero and advancers right, the density over them and the largest names marked.
Scatter of the index's one-month return against the share of its members up over the same monthindex one-month returnmembers up over the month
Index and breadth: every session's one-month index return against the share of its members that rose over the same month. The dashed lines mark a flat index and half the members.

What you get every week

Where trend followers flip
The price levels that turn CTAs from buyers into sellers across equities, rates, currencies and commodities, and the flow each path produces.
Where dealer gamma turns
The flip level and the walls, how much hedging is pinning or amplifying the tape, and the move options price into every scheduled event.
What hedge funds bought
Leverage, long/short ratios, sector rotation, crowding and performance from the prime brokerage data.
How full the books are
Vol control, risk parity and futures positioning by cohort, against their own history, with the extremes and what followed them.

What we cover

Hedge fund flows
Gross and net leverage, long/short ratios, crowding and performance, read from the prime brokerage books every week.
Systematic positioning
CTA and trend following exposure, vol control and risk parity exposure, and the trigger levels that move them.
Dealer gamma and options
Skew, term structure, implied correlation and dispersion, single stock against index, vol of vol.
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 on record.
Cross-asset positioning
CFTC futures books across equities, rates, FX, gold, oil, copper and crypto.
Seasonality and market history
Calendar patterns, the midterm cycle and the analogs that matter, run on the full market history.
Rebalancing flows
Pension rebalancing at month end, vol control and risk parity adjustments, and levered ETF flows into the close: the money that moves on a schedule.

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.

Daily notes. One chart, one observation, what it means for the market.

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.

Models built from public and licensed data and checked against the published positions of the funds they track. How the research is made.

Know where the money is positioned before you take risk.

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