Navnoor Research Hedge funds, quant firms and market structure: every new note from Substack, Medium and Patreon. https://navnoorthapar.github.io/substack-trades/ 2026-11-03T15:05:45Z Navnoor Bawa https://navnoorthapar.github.io/substack-trades/favicon.svg How Quants Set the Kalman Filter, the 1960 Math Stanley Schmidt Aimed at the Moon https://navnoorthapar.github.io/substack-trades/a/how-quants-set-the-kalman-filter-the-1960-math-stanley-schmidt-aimed-at-the-moon-e7a7157c865c.html 2026-11-03T15:05:45Z 2026-11-03T15:05:45Z The textbook Kalman pairs setting trades a day’s noise and loses after costs; the slow one that earns has only tied a regression since How QRT Makes Its Money, and Why Its Funds Carry the Costs https://navnoorthapar.github.io/substack-trades/a/how-qrt-makes-its-money-and-why-its.html 2026-11-03T13:31:31Z 2026-11-03T13:31:31Z The quant firm's investors cover nearly all of its running costs before any fee. Its returns hide what that bill does in a weak year. QRT's 2024 Darktrace Short, Reconstructed https://navnoorthapar.github.io/substack-trades/a/qrts-2024-short-174223856.html 2026-11-03T00:00:00Z 2026-11-03T00:00:00Z How Jim Simons’s Medallion Hides in Renaissance’s 13F, Read With a Factor Model https://navnoorthapar.github.io/substack-trades/a/how-jim-simonss-medallion-hides-in-renaissance-s-13f-read-with-a-factor-model-1075838bd135.html 2026-11-02T15:02:06Z 2026-11-02T15:02:06Z Renaissance’s Form ADV (its SEC registration) leaves Medallion at least 45% of the 13F (its SEC stock list) that trackers read as picks. How Arini Lost Its Bets on Aston Martin's Junk Bonds, and Why Investors Still Gave It More Money https://navnoorthapar.github.io/substack-trades/a/how-arini-lost-its-bets-on-aston.html 2026-11-02T13:30:48Z 2026-11-02T13:30:48Z Sona filed about the same leverage and stayed flat. What sat under Arini's ratio decides when its investors are whole again. Paulson & Co. helped pick ABACUS's bonds, the SEC says https://navnoorthapar.github.io/substack-trades/a/paulson-co-pick-174131841.html 2026-11-02T00:00:00Z 2026-11-02T00:00:00Z Jim Simons’s Medallion Won Every Year, 1990 to 2018. Lo’s Sharpe Math Has a Blind Spot. https://navnoorthapar.github.io/substack-trades/a/jim-simonss-medallion-won-every-year-1990-to-2018-lo-s-sharpe-math-has-a-blind-spot-ad919e97813c.html 2026-11-01T15:04:20Z 2026-11-01T15:04:20Z Medallion’s streak of winning years points to a floor under its returns, a floor the Sharpe ratio everyone quotes cannot see. How Jump Trading Could Trade Trump's Truth Social Posts First https://navnoorthapar.github.io/substack-trades/a/how-jump-trading-could-trade-trumps.html 2026-11-01T14:03:59Z 2026-11-01T14:03:59Z Trump Media sells high-frequency traders up to 50 milliseconds on the president's posts. Every desk quoting when he posts is on one side. Pershing Square: credit hedges costing $27m sold for $2.6bn https://navnoorthapar.github.io/substack-trades/a/pershing-square-174030468.html 2026-11-01T00:00:00Z 2026-11-01T00:00:00Z How Jim Simons Decided to Sell in the 2007 Stat Arb Crash, Against Medallion’s Models https://navnoorthapar.github.io/substack-trades/a/how-jim-simons-decided-to-sell-in-the-2007-stat-arb-crash-against-medallions-models-7a1d78f28528.html 2026-10-31T15:05:53Z 2026-10-31T15:05:53Z Leverage sets a deadline, and since 1963 the stat arb trade’s crashes came half back within a week only 21 times in 76. How Man Group Got Meiji Yasuda to Back Its Private Credit and Plan to Buy a Stake https://navnoorthapar.github.io/substack-trades/a/how-man-group-got-meiji-yasuda-to.html 2026-10-31T13:30:36Z 2026-10-31T13:30:36Z The ¥200bn earns Man little in fees. What it bought on 26 October is a channel into a Japanese insurer and a planned shareholder. Archegos: the concentrated swap book that ended in default https://navnoorthapar.github.io/substack-trades/a/archegos-swap-in-173933781.html 2026-10-31T00:00:00Z 2026-10-31T00:00:00Z How Quants Test Ray Dalio’s Holy Grail: 20 Factors at 0.02 Correlation Still Lost a Quarter. https://navnoorthapar.github.io/substack-trades/a/how-quants-test-ray-dalios-holy-grail-20-factors-at-0-02-correlation-still-lost-a-quarter-45e97ddbb8a8.html 2026-10-30T15:02:22Z 2026-10-30T15:02:22Z Ray Dalio asked for good, uncorrelated streams; twenty public factors kept their correlation near zero and lost a quarter of their Sharpe. Situational Awareness Is Betting Twice on Anthropic Through Fluidstack https://navnoorthapar.github.io/substack-trades/a/situational-awareness-is-betting.html 2026-10-30T13:31:25Z 2026-10-30T13:31:25Z The leases under the round are Anthropic's buildout, so a client who buys in adds to the bet the fund already holds. Citadel: took Amaranth's book with a $2.1bn concession https://navnoorthapar.github.io/substack-trades/a/citadel-took-2-173818125.html 2026-10-30T00:00:00Z 2026-10-30T00:00:00Z Cliff Asness Built AQR With the Fama-French Value Factor. Its Size Twin Lived in January. https://navnoorthapar.github.io/substack-trades/a/cliff-asness-built-aqr-with-the-fama-french-value-factor-its-size-twin-lived-in-january-50a28a3b0c99.html 2026-10-29T15:04:16Z 2026-10-29T15:04:16Z The two premiums named for Fama and French were in print years before 1992, and only value kept paying for three decades after its paper. How Two Sigma Makes Money, and What Its Stake Sale Would Price https://navnoorthapar.github.io/substack-trades/a/how-two-sigma-makes-money-and-what.html 2026-10-29T13:31:42Z 2026-10-29T13:31:42Z The stake is reported as a cure for a founders' feud. It also buys a share of Two Sigma's incentive pay, and that sets its price. Long-Term Capital Management: recapitalised by 14 firms https://navnoorthapar.github.io/substack-trades/a/long-term-by-14-173726079.html 2026-10-29T00:00:00Z 2026-10-29T00:00:00Z How CFM, AQR, and Man AHL Tested Trend Following. AQR’s Own Century Says It Broke. https://navnoorthapar.github.io/substack-trades/a/how-cfm-aqr-and-man-ahl-tested-trend-following-aqrs-own-century-says-it-broke-6c91c64c1e89.html 2026-10-28T15:05:36Z 2026-10-28T15:05:36Z AQR’s own trend factor has run at a Sharpe of 0.34 since its 2012 paper, below every decade of AQR’s own century of data. How Citadel's Natural Gas Trading Arm Uses Lender Seats in Place of a Credit Rating https://navnoorthapar.github.io/substack-trades/a/how-citadels-natural-gas-trading.html 2026-10-28T13:31:17Z 2026-10-28T13:31:17Z Producers' bank filings put Citadel's trading arm beside their banks in the collateral, so the producer posts no margin. Citadel's four seated gas producers: a screen of what their hedge books do to noteholders https://navnoorthapar.github.io/substack-trades/a/citadels-four-of-173564586.html 2026-10-28T00:00:00Z 2026-10-28T00:00:00Z Nassim Taleb Called VaR Charlatanism. Benoit Mandelbrot Found Why in Cotton in 1963. https://navnoorthapar.github.io/substack-trades/a/nassim-taleb-called-var-charlatanism-benoit-mandelbrot-found-why-in-cotton-in-1963-51c2ffe0288a.html 2026-10-27T15:10:19Z 2026-10-27T15:10:19Z In December 1996 J.P. Morgan’s risk manual cited Mandelbrot’s fat tails and built its standard model on the bell curve anyway. Man Group's UK Short Positions Went Dark, but Its Own Fund Reports Still Show Some https://navnoorthapar.github.io/substack-trades/a/man-groups-uk-short-positions-went.html 2026-10-27T13:30:49Z 2026-10-27T13:30:49Z The FCA no longer names who is short a crowded stock. For the biggest named book, Man's own fund reports are the one regular window left. Man GLG's Vistry short and the 17 named beside it: a case study of 44 UK short crowds https://navnoorthapar.github.io/substack-trades/a/man-glgs-vistry-173508259.html 2026-10-27T00:00:00Z 2026-10-27T00:00:00Z Einstein Explained Brownian Motion in 1905. Bachelier Priced Options With It in 1900. https://navnoorthapar.github.io/substack-trades/a/einstein-explained-brownian-motion-in-1905-bachelier-priced-options-with-it-in-1900-00ccac0dc79c.html 2026-10-26T15:03:24Z 2026-10-26T15:03:24Z Louis Bachelier priced options with Brownian motion in 1900, and when oil fell below zero in 2020, Chicago went back to his formula. How Schonfeld's Pod Shop Bills Investors on Top of the Fee https://navnoorthapar.github.io/substack-trades/a/how-schonfelds-pod-shop-bills-investors.html 2026-10-26T13:30:46Z 2026-10-26T13:30:46Z The fee is one line of the price: what one London office costs Schonfeld's investors, and why it did not shrink when money left Eisler's bill against its return and six peers' cost clauses: a case study for Schonfeld holders https://navnoorthapar.github.io/substack-trades/a/eislers-bill-its-173390254.html 2026-10-26T00:00:00Z 2026-10-26T00:00:00Z Ed Thorp Published the Convertible Hedge in 1967. Ken Griffin Built Citadel on It. https://navnoorthapar.github.io/substack-trades/a/ed-thorp-published-the-convertible-hedge-in-1967-ken-griffin-built-citadel-on-it-9ed4f5f811e4.html 2026-10-25T15:14:50Z 2026-10-25T15:14:50Z Ed Thorp handed his cartons of convertible prospectuses to the young trader who would build Citadel on the hedge Thorp had run. How Optiver Pays Its Owners and Borrows to Grow Its Market Making https://navnoorthapar.github.io/substack-trades/a/how-optiver-pays-its-owners-and-borrows.html 2026-10-25T13:31:01Z 2026-10-25T13:31:01Z Optiver's owners take about half of every profit. Whether they take less once the debt arrives decides who pays for the growth. Optiver's October 2026 debt package: a Virtu case study, and how far its profit must fall https://navnoorthapar.github.io/substack-trades/a/optivers-october-173298956.html 2026-10-25T00:00:00Z 2026-10-25T00:00:00Z Claude Shannon Found Money in Stocks Going Nowhere. A Princeton Quant Proved Why. https://navnoorthapar.github.io/substack-trades/a/claude-shannon-found-money-in-stocks-going-nowhere-a-princeton-quant-proved-why-1dcfc06cd4c6.html 2026-10-24T15:02:19Z 2026-10-24T15:02:19Z Robert Fernholz founded the money manager INTECH in 1987 on an equation he published in 1982 that sizes the gain Shannon described. AQR's Hedge Funds of One Are Sold on Tax-Aware Long-Short, Not the Losses the IRS Is Reading https://navnoorthapar.github.io/substack-trades/a/aqrs-hedge-funds-of-one-are-sold.html 2026-10-24T13:01:48Z 2026-10-24T13:01:48Z If Treasury's guidance stays inside swaps and currency forwards, the newest funds behind AQR's rank sit outside it. AQR's Funds of One After the IRS Notice: The One-Investor Screen and the October Count https://navnoorthapar.github.io/substack-trades/a/aqrs-funds-of-173233701.html 2026-10-24T00:00:00Z 2026-10-24T00:00:00Z How Quants Read the Yield Curve in Three Numbers: PCA, From Goldman Sachs in 1991 https://navnoorthapar.github.io/substack-trades/a/how-quants-read-the-yield-curve-in-three-numbers-pca-from-goldman-sachs-in-1991-f5add0500421.html 2026-10-23T15:08:49Z 2026-10-23T15:08:49Z The three numbers quants use to read the Treasury curve are real, but a curve built from pure noise shows the same three shapes. Squarepoint Capital Keeps Shorter-Term Signals for Staff, and Some Principals Own a Market Maker https://navnoorthapar.github.io/substack-trades/a/squarepoint-capital-keeps-shorter.html 2026-10-23T13:31:20Z 2026-10-23T13:31:20Z Outside money in Squarepoint's Focus and Atlas funds, and perhaps Core, may sit behind the tier with higher fees and more staff money. Squarepoint's 2026 brochure and five rivals': a framework for how many advisers get half weight https://navnoorthapar.github.io/substack-trades/a/squarepoints-and-173145495.html 2026-10-23T00:00:00Z 2026-10-23T00:00:00Z How Jane Street Pays Its London Market Makers Through a Partnership https://navnoorthapar.github.io/substack-trades/a/how-jane-street-pays-its-london-market.html 2026-10-22T18:01:15Z 2026-10-22T18:01:15Z Jane Street's steady London return hides the trading year inside a bill whose formula no filing states. Warren Buffett Called Black-Scholes Prices Absurd in 2009. His Puts Proved Half of It. https://navnoorthapar.github.io/substack-trades/a/warren-buffett-called-black-scholes-prices-absurd-in-2009-his-puts-proved-half-of-it-af14ec633c36.html 2026-10-22T15:04:30Z 2026-10-22T15:04:30Z Buffett won his bet against Black-Scholes and lost the argument: the formula he mocked prices a hedge, and Berkshire did not hedge. Jane Street's 2025 London accounts: a five line screen for where the trading year shows up https://navnoorthapar.github.io/substack-trades/a/jane-streets-for-173083955.html 2026-10-22T00:00:00Z 2026-10-22T00:00:00Z Chris Rokos's Best Year Was Not His Firm's Best Payday https://navnoorthapar.github.io/substack-trades/a/chris-rokoss-best-year-was-not-his.html 2026-10-21T22:01:46Z 2026-10-21T22:01:46Z The fee Chris Rokos is raising keeps paying his firm while the fund sits below its high-water mark, and his investors pay it. Jim Simons’s First Hire Proved EM’s Maximum Likelihood Theorem. The 1977 Paper Admits It. https://navnoorthapar.github.io/substack-trades/a/jim-simonss-first-hire-proved-em-s-maximum-likelihood-theorem-the-1977-paper-admits-it-c8b89cfa85f3.html 2026-10-21T17:36:09Z 2026-10-21T17:36:09Z Leonard Baum proved in 1970 that an EM pass never lowers the likelihood, and the 1977 paper that named EM said so in its own text. Rokos's holders, 2019 to 2026: a case study of the fee saved by not selling below the mark https://navnoorthapar.github.io/substack-trades/a/rokoss-holders-173024266.html 2026-10-21T00:00:00Z 2026-10-21T00:00:00Z Steve Cohen's Point72 Turion Fund, Measured Against His Flagship https://navnoorthapar.github.io/substack-trades/a/steve-cohens-point72-turion-fund.html 2026-10-20T19:24:30Z 2026-10-20T19:24:30Z Morgan Stanley's richest clients can now buy Cohen's AI fund. UBS's books show whether they get the hedged Point72 or the AI trade. How Quants Bootstrap Warren Buffett for Luck: His Partnership Passes, Berkshire Since 2000 Fails. https://navnoorthapar.github.io/substack-trades/a/how-quants-bootstrap-warren-buffett-for-luck-his-partnership-passes-berkshire-since-2000-fails-630299a08658.html 2026-10-20T15:05:55Z 2026-10-20T15:05:55Z Buffett’s partnership clears the luck test quants run on backtests; Berkshire’s stock since 2000 does not. Point72's Turion on UBS's June 2026 ledger: a screen for which hedge funds are equity beta https://navnoorthapar.github.io/substack-trades/a/point72s-turion-172923139.html 2026-10-20T00:00:00Z 2026-10-20T00:00:00Z Claude Shannon Handed Ed Thorp the Kelly Criterion in 1960. Thorp Built a Hedge Fund on It. https://navnoorthapar.github.io/substack-trades/a/claude-shannon-handed-ed-thorp-the-kelly-criterion-in-1960-thorp-built-a-hedge-fund-on-it-a3acb7a8a28a.html 2026-10-19T15:04:22Z 2026-10-19T15:04:22Z At MIT in 1960, Claude Shannon handed Ed Thorp a betting rule that was Shannon’s own information rate, published by John Kelly. Millennium and Balyasny's Stop-Loss: How Pod Shops Cut a Losing Trader in Stages https://navnoorthapar.github.io/substack-trades/a/millennium-and-balyasnys-stop-loss.html 2026-10-19T13:31:20Z 2026-10-19T13:31:20Z The ladder caps most pods' losses and spares the books that earn most. October's returns, due by 10 November, test it. Millennium, Point72 and Balyasny's June Chip Books Through July 2026: A Model https://navnoorthapar.github.io/substack-trades/a/millennium-and-172700821.html 2026-10-19T00:00:00Z 2026-10-19T00:00:00Z How Quants Forecast Volatility: GARCH and the 1979 Test of Milton Friedman https://navnoorthapar.github.io/substack-trades/a/how-quants-forecast-volatility-garch-and-the-1979-test-of-milton-friedman-6030488647f4.html 2026-10-18T15:10:16Z 2026-10-18T15:10:16Z Robert Engle built ARCH in 1979 to test Milton Friedman on British inflation, and its heir GARCH is the volatility model quants learn. Coatue Bet on Micron in Its 13F, and Hedged It in the One Fund Whose Books Are Public https://navnoorthapar.github.io/substack-trades/a/coatue-bet-on-micron-in-its-13f-and.html 2026-10-17T18:59:22Z 2026-10-17T18:59:22Z A copy of the filing pays Friday's price. The one printed Coatue cost is far lower, and two November documents decide what the firm kept.