Ellington Management Group LLC — Q3 2015 13F Holdings

Name: Ellington Management Group LLC — 13F Holdings, Q3 2015
Creator: AlphaSMO
License: https://www.sec.gov/forms

CIK: 0001098490

Total reported value

$675.6M

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Full holdings list this quarter

Showing top 200 holdings (of 676 total)

#	Ticker	Issuer	Asset Subclass	Weight	Weight Change	Shares Change
1	EFC	Ellington Financial Inc.	Stock-Other	4.89%	—	-52.32%
2	CIEN	Ciena CORP	Stock-Tech	0.93%	—	+215.83%
3	CALM	Cal-maine Foods INC	Stock-Consumer Staples	0.64%	—	+20.43%
4	✓		Stock-Other	0.63%	—	+765.31%
5	MAR	Marriott International -cl A	Stock-Consumer Disc	0.59%	—	—
6	TECD1USD	Tech Data CORP	Stock-Other	0.59%	—	+7.05%
7	SPY	Ss Spdr S&p 500 ETF Trust-us	ETF-Large Cap & Growth	0.58%	-10.24%	EXIT
8	LULU	Lululemon Athletica INC	Stock-Consumer Disc	0.58%	—	+164.13%
9	ETRA	E*trade Financial CORP	Stock-Other	0.58%	—	—
10	AZPNUSD	Aspen Technology INC	Stock-Other	0.56%	—	+39.37%
11	PBF	Pbf Energy Inc-class A	Stock-Energy	0.53%	—	+306.91%
12	AXP	American Express Company	Stock-Financials	0.52%	—	+474.47%
13	CRUS	Cirrus Logic INC	Stock-Tech	0.51%	—	+403.66%
14	EXC	Exelon CORP	Stock-Utilities	0.51%	—	—
15	✓		Stock-Other	0.51%	—	—
16	JAHEUR	Jarden CORP	Stock-Other	0.49%	—	—
17	MAS	Masco CORP	Stock-Industrials	0.49%	—	—
18	CNC	Centene CORP	Stock-Healthcare	0.48%	—	—
19	HLF	Herbalife Ltd.	Stock-Other	0.47%	—	—
20	TNK	Teekay Tankers Ltd.	Stock-Other	0.46%	—	—
21	BC	Brunswick CORP	Stock-Consumer Disc	0.45%	—	—
22	✓	Newfield Expl Co	Stock-Other	0.44%	—	+459.88%
23	SRE	Sempra	Stock-Utilities	0.44%	—	—
24	CTRPUSD	Ctrip.com International-adr	Stock-Other	0.43%	—	—
25	BR	Broadridge Financial Solutio	Stock-Tech	0.42%	—	+453.06%
26	HAIN	Hain Celestial Group INC	Stock-Other	0.42%	—	—
27	VLO	Valero Energy CORP	Stock-Energy	0.41%	—	+562.16%
28	EXPD	Expeditors Intl Wash INC	Stock-Industrials	0.41%	—	+6.53%
29	MPC	Marathon Petroleum CORP	Stock-Energy	0.41%	—	+414.75%
30	VC	Visteon CORP	Stock-Other	0.40%	—	+132.98%
31	✓	Tessera Technologies INC Com	Stock-Other	0.40%	—	+172.96%
32	PLAY	Dave & Buster's Entertainmen	Stock-Other	0.39%	—	+121.00%
33	CBRL	Cracker Barrel Old Country	Stock-Other	0.38%	—	+437.36%
34	✓		Stock-Other	0.38%	—	+616.86%
35	CAH	Cardinal Health INC	Stock-Healthcare	0.38%	—	+250.00%
36	LDOS	Leidos Holdings INC	Stock-Tech	0.38%	—	+186.73%
37	SDRL	Seadrill Limited	Stock-Other	0.37%	—	+2.70%
38	JACK	Jack In THE Box INC	Stock-Other	0.37%	—	+49.92%
39	CXOEUR	Concho Resources INC	Stock-Other	0.37%	—	—
40	EAT	Brinker International INC	Stock-Consumer Disc	0.37%	—	+151.02%
41	CMC	Commercial Metals Co	Stock-Industrials	0.36%	—	+68.83%
42	S9Q	Spirit Aerosystems Hold-cl A	Stock-Other	0.36%	-0.20%	EXIT
43	C	Citigroup INC	Stock-Financials	0.36%	—	—
44	NE	Noble Corporation plc	Stock-Energy	0.35%	—	+9.73%
45	✓	Yrc Worldwide INC	Stock-Other	0.35%	—	—
46	HPP	Hudson Pacific Properties, Inc.	Stock-Other	0.34%	—	—
47	BLMN	Bloomin' Brands INC	Stock-Other	0.34%	—	+208.53%
48	RGCGBP	Regal Entertainment Group-a	Stock-Other	0.34%	—	—
49	✓	Tesoro CORP	Stock-Other	0.34%	—	+24.24%
50	WT	Wisdomtree INC	Stock-Other	0.33%	—	-11.81%

1–50 of 200

Holding changes this quarter

Position changes disclosed by Ellington Management Group LLC for the quarter ending Q3 2015, including ticker, issuer, weight change, shares change, and action
#	Ticker	Issuer	Weight Change	Shares Change	Action
1	CIEN	Ciena CORP	+0.6%	+215.83%	Add
2	✓		+0.6%	+765.31%	Add
3	AXP	American Express Company	+0.4%	+474.47%	Add
4	MCK	Mckesson CORP	-0.3%	-65.93%	Trim
5	AEO	American Eagle Outfitters	-0.3%	-75.07%	Trim
6	PBR	Petroleo Brasileiro-spon Adr	-0.4%	-73.38%	Trim
7	PTEN	Patterson-uti Energy INC	-0.4%	-88.33%	Trim
8	OIS	Oil States International INC	-0.4%	-74.63%	Trim
9	WGO	Winnebago Industries	-0.4%	-74.66%	Trim
10	PPC	Pilgrim's Pride CORP	-0.5%	-79.15%	Trim
11	✓	Invensense INC	-0.5%	-79.69%	Trim
12	✓	Integrated Device Technology INC	-0.6%	-68.27%	Trim
13	EFC	Ellington Financial Inc.	-4.3%	-52.32%	Trim
14	LBEUR	L Brands INC	—	EXIT	Sold out
15	UVV	Universal Corp/va	—	EXIT	Sold out
16	CENX	Century Aluminum Company	—	EXIT	Sold out
17	VRSK	Verisk Analytics INC	—	EXIT	Sold out
18	MAR	Marriott International -cl A	—	NEW	New buy
19	AANUSD	Aaron's INC	—	EXIT	Sold out
20	CSIQ	Canadian Solar INC	—	EXIT	Sold out
21	ETRA	E*trade Financial CORP	—	NEW	New buy
22	LOW	Lowe's Companies, Inc.	—	EXIT	Sold out
23	HN9	Hanesbrands INC	—	EXIT	Sold out
24	INTU	Intuit INC	—	EXIT	Sold out
25	✓		—	NEW	New buy
26	EXC	Exelon CORP	—	NEW	New buy
27	JAHEUR	Jarden CORP	—	NEW	New buy
28	MAS	Masco CORP	—	NEW	New buy
29	PBR-A	Petroleo Brasil-sp Pref Adr	—	EXIT	Sold out
30	CNC	Centene CORP	—	NEW	New buy
31	BG	Bunge Global SA	—	EXIT	Sold out
32	HLF	Herbalife Ltd.	—	NEW	New buy
33	LTH	Life Time Group Holdings, Inc.	—	EXIT	Sold out
34	✓	Gigamon INC	—	EXIT	Sold out
35	TNK	Teekay Tankers Ltd.	—	NEW	New buy
36	✓	Outerwall INC	—	EXIT	Sold out
37	BC	Brunswick CORP	—	NEW	New buy
38	SRE	Sempra	—	NEW	New buy
39	ROST	Ross Stores INC	—	EXIT	Sold out
40	CTRPUSD	Ctrip.com International-adr	—	NEW	New buy
41	XXI	Twenty One Capital, Inc.	—	EXIT	Sold out
42	GDOT	Green Dot Corp-class A	—	EXIT	Sold out
43	✓	Agl Res INC	—	EXIT	Sold out
44	HAIN	Hain Celestial Group INC	—	NEW	New buy
45	✓		—	EXIT	Sold out
46	CF	Cf Industries Holdings INC	—	EXIT	Sold out
47	WRLD	World Acceptance CORP	—	EXIT	Sold out
48	✓	General Cable INC Com	—	EXIT	Sold out
49	WTW	Willis Towers Watson Public Limited Company	—	EXIT	Sold out
50	BAP	Credicorp Ltd.	—	EXIT	Sold out