Ellington Management Group LLC — Q4 2016 13F Holdings

Name: Ellington Management Group LLC — 13F Holdings, Q4 2016
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 511 total)

#	Ticker	Issuer	Asset Subclass	Weight	Weight Change	Shares Change
1	SPY	Ss Spdr S&p 500 ETF Trust-us	ETF-Large Cap & Growth	13.04%	-10.24%	EXIT
2	CAT	Caterpillar INC	Stock-Industrials	11.34%	—	—
3	EWZ	Ishares Msci Brazil ETF	ETF-Other	9.96%	—	—
4	HAL	Halliburton Co	Stock-Energy	8.56%	—	—
5	CVX	Chevron CORP	Stock-Energy	5.63%	—	—
6	EEM	Ishares Msci Emerging Market	ETF-Emerging Markets	4.79%	—	—
7	TLT	Ishares 20+ Year Treasury Bd	ETF-Gov Bonds	3.63%	—	—
8	EFC	Ellington Financial Inc.	Stock-Other	2.47%	—	+6.73%
9	FXI	Ishares China Large-cap ETF	ETF-Emerging Markets	1.06%	—	—
10	HYG	Ishr Ibx Usd Hiyld Cb Etf-ui	ETF-High Yield	0.67%	-28.80%	EXIT
11	HTZ-WEUR	Hertz Global Holdings INC	Stock-Other	0.49%	—	—
12	✓	Forest City Realty Trust- A	Stock-Other	0.31%	—	—
13	FFIV	F5 INC	Stock-Tech	0.28%	—	+14.41%
14	HLT	Hilton Worldwide Holdings In	Stock-Consumer Disc	0.27%	—	—
15	SMG	Scotts Miracle-gro Co	Stock-Materials	0.25%	—	+56.88%
16	CX	Cemex Sab-spons Adr Part Cer	Stock-Other	0.25%	—	+832.56%
17	ALL	Allstate CORP	Stock-Financials	0.23%	—	—
18	VALE	Vale S.A.	Stock-Materials	0.22%	—	-11.87%
19	REG	Regency Centers CORP	Stock-Real Estate	0.22%	—	—
20	SNH1EUR	Senior Housing Prop Trust	Stock-Other	0.22%	—	—
21	COP	Conocophillips	Stock-Energy	0.21%	—	—
22	BNY	Bank Of New York Mellon CORP	Stock-Financials	0.21%	—	+67.82%
23	CSGP	Costar Group INC	Stock-Real Estate	0.21%	—	—
24	NRG	Nrg Energy INC	Stock-Utilities	0.21%	—	-32.01%
25	FRTEUR	Federal Realty Invs Trust	Stock-Other	0.21%	—	—
26	ETRA	E*trade Financial CORP	Stock-Other	0.20%	—	—
27	WCGEUR	Wellcare Health Plans INC	Stock-Other	0.20%	—	+227.59%
28	UNUSD	Unilever N V -ny Shares	Stock-Other	0.20%	—	—
29	UL	Unilever PLC	Stock-Consumer Staples	0.20%	—	—
30	SYF	Synchrony Financial	Stock-Financials	0.20%	—	—
31	MNST	Monster Beverage CORP	Stock-Consumer Staples	0.19%	—	—
32	NVO	Novo-nordisk A/s-spons Adr	Stock-Healthcare	0.19%	—	+231.13%
33	BAP	Credicorp Ltd.	Stock-Financials	0.19%	—	+113.51%
34	TOL	Toll Brothers INC	Stock-Consumer Disc	0.19%	—	—
35	SYTUSD	Syngenta Ag-adr	Stock-Other	0.19%	—	—
36	FNSR	Finisar Corporation	Stock-Other	0.19%	—	-17.83%
37	✓		Stock-Other	0.18%	—	-15.35%
38	APD	Air Products & Chemicals INC	Stock-Materials	0.18%	—	—
39	REFI	Chicago Atlantic Real Estate Finance, Inc.	Stock-Other	0.18%	—	+208.20%
40	SNPS	Synopsys INC	Stock-Tech	0.18%	—	—
41	✓		Stock-Other	0.17%	—	—
42	AIG	American International Group	Stock-Financials	0.17%	—	—
43	TRV	Travelers Cos Inc/the	Stock-Financials	0.17%	—	—
44	ALGN	Align Technology INC	Stock-Healthcare	0.17%	—	—
45	AME	Ametek INC	Stock-Industrials	0.17%	—	—
46	FLR	Fluor CORP	Stock-Industrials	0.17%	—	—
47	CRI	Carter's INC	Stock-Other	0.17%	—	—
48	VISN	Vistance Networks INC	Stock-Tech	0.17%	—	—
49	DCI	Donaldson Co INC	Stock-Industrials	0.17%	—	+72.00%
50	ODFL	Old Dominion Freight Line	Stock-Industrials	0.16%	—	—

1–50 of 200

Holding changes this quarter

Position changes disclosed by Ellington Management Group LLC for the quarter ending Q4 2016, including ticker, issuer, weight change, shares change, and action
#	Ticker	Issuer	Weight Change	Shares Change	Action
1	SPY	Ss Spdr S&p 500 ETF Trust-us	+11.3%	+1186.28%	Add
2	CX	Cemex Sab-spons Adr Part Cer	+0.2%	+832.56%	Add
3	CPRT	Copart INC	-0.4%	-87.22%	Trim
4	CAG	Conagra Brands INC	-0.9%	-81.98%	Trim
5	CAT	Caterpillar INC	—	NEW	New buy
6	EWZ	Ishares Msci Brazil ETF	—	NEW	New buy
7	HAL	Halliburton Co	—	NEW	New buy
8	CVX	Chevron CORP	—	NEW	New buy
9	EEM	Ishares Msci Emerging Market	—	NEW	New buy
10	TLT	Ishares 20+ Year Treasury Bd	—	NEW	New buy
11	FXI	Ishares China Large-cap ETF	—	NEW	New buy
12	HYG	Ishr Ibx Usd Hiyld Cb Etf-ui	—	NEW	New buy
13	HTZ-WEUR	Hertz Global Holdings INC	—	NEW	New buy
14	✓	Forest City Realty Trust- A	—	NEW	New buy
15	HSIC	Henry Schein INC	—	EXIT	Sold out
16	TAP	Molson Coors Beverage Co - B	—	EXIT	Sold out
17	PVH	Pvh CORP	—	EXIT	Sold out
18	FITB	Fifth Third Bancorp	—	EXIT	Sold out
19	BKR	Baker Hughes Company	—	EXIT	Sold out
20	✓	Scana CORP New	—	EXIT	Sold out
21	HPQ	Hp INC	—	EXIT	Sold out
22	HLT	Hilton Worldwide Holdings In	—	NEW	New buy
23	MAT	Mattel INC	—	EXIT	Sold out
24	ACN	Accenture plc	—	EXIT	Sold out
25	UAL	United Airlines Holdings INC	—	EXIT	Sold out
26	KSS	Kohls CORP	—	EXIT	Sold out
27	ALL	Allstate CORP	—	NEW	New buy
28	✓	Finish Line INC Cl A	—	EXIT	Sold out
29	APC3EUR	Anadarko Petroleum CORP	—	EXIT	Sold out
30	PYPL	Paypal Holdings INC	—	EXIT	Sold out
31	CTRA	Coterra Energy INC	—	EXIT	Sold out
32	POOL	Pool CORP	—	EXIT	Sold out
33	SUI	Sun Communities INC	—	EXIT	Sold out
34	MAR	Marriott International -cl A	—	EXIT	Sold out
35	QCOM	Qualcomm INC	—	EXIT	Sold out
36	ROST	Ross Stores INC	—	EXIT	Sold out
37	REG	Regency Centers CORP	—	NEW	New buy
38	SNH1EUR	Senior Housing Prop Trust	—	NEW	New buy
39	COP	Conocophillips	—	NEW	New buy
40	CCK	Crown Holdings INC	—	EXIT	Sold out
41	CSGP	Costar Group INC	—	NEW	New buy
42	FRTEUR	Federal Realty Invs Trust	—	NEW	New buy
43	NBR	Nabors Industries Ltd.	—	EXIT	Sold out
44	IFF	Intl Flavors & Fragrances	—	EXIT	Sold out
45	ED	Consolidated Edison INC	—	EXIT	Sold out
46	ETRA	E*trade Financial CORP	—	NEW	New buy
47	LVS	Las Vegas Sands CORP	—	EXIT	Sold out
48	THO	Thor Industries INC	—	EXIT	Sold out
49	FLT1EUR	Fleetcor Technologies INC	—	EXIT	Sold out
50	UNUSD	Unilever N V -ny Shares	—	NEW	New buy