Ellington Management Group LLC — Q3 2017 13F Holdings

Name: Ellington Management Group LLC — 13F Holdings, Q3 2017
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 597 total)

#	Ticker	Issuer	Asset Subclass	Weight	Weight Change	Shares Change
1	IWM	Ishares Russell 2000 ETF	ETF-Small Cap	17.87%	-8.97%	EXIT
2	SPY	Ss Spdr S&p 500 ETF Trust-us	ETF-Large Cap & Growth	9.17%	-10.24%	EXIT
3	HSBC	Hsbc Holdings Plc-spons Adr	Stock-Financials	5.08%	—	—
4	✓	Powershares Qqq Trust Ser 1	Stock-Other	4.47%	—	-87.77%
5	EEM	Ishares Msci Emerging Market	ETF-Emerging Markets	3.83%	—	—
6	EFC	Ellington Financial Inc.	Stock-Other	2.82%	—	—
7	HTZ-WEUR	Hertz Global Holdings INC	Stock-Other	1.34%	—	-58.59%
8	✓	Bonanza Creek Energy I Com	Stock-Other	0.97%	—	-53.97%
9	CJ1EUR	C&j Energy Services INC	Stock-Other	0.86%	—	-35.59%
10	MU	Micron Technology INC	Stock-Tech	0.64%	—	+24.25%
11	LOW	Lowe's Cos INC	Stock-Consumer Disc	0.52%	—	+59.66%
12	ULTA	Ulta Beauty INC	Stock-Consumer Disc	0.50%	—	+200.00%
13	KNX	Knight-swift Transportation	Stock-Industrials	0.47%	—	—
14	SIXEUR	Six Flags Entertainment CORP	Stock-Other	0.47%	—	—
15	HFCUSD	Hollyfrontier CORP	Stock-Other	0.46%	—	—
16	ORLY	O'reilly Automotive INC	Stock-Consumer Disc	0.45%	—	+210.26%
17	WSM	Williams-sonoma INC	Stock-Consumer Disc	0.44%	—	+94.70%
18	THO	Thor Industries INC	Stock-Consumer Disc	0.44%	—	+144.58%
19	HN9	Hanesbrands INC	Stock-Other	0.43%	—	+41.09%
20	TROW	T Rowe Price Group INC	Stock-Financials	0.42%	—	+42.41%
21	CASY	Casey's General Stores INC	Stock-Consumer Disc	0.41%	—	—
22	CHKEUR	Chesapeake Energy CORP	Stock-Other	0.41%	—	—
23	✓		Stock-Other	0.39%	—	—
24	RIG	Transocean Ltd.	Stock-Energy	0.39%	—	-8.31%
25	S9Q	Spirit Aerosystems Hold-cl A	Stock-Other	0.38%	-0.20%	EXIT
26	GME	Gamestop Corp-class A	Stock-Consumer Disc	0.36%	—	+21.67%
27	FIVE	Five Below	Stock-Consumer Disc	0.35%	—	-11.75%
28	TLRDQ	Tailored Brands INC	Stock-Other	0.34%	—	+695.40%
29	UAL	United Airlines Holdings INC	Stock-Industrials	0.33%	—	+223.23%
30	AMAT	Applied Materials INC	Stock-Tech	0.33%	—	+277.78%
31	VLO	Valero Energy CORP	Stock-Energy	0.31%	—	-14.03%
32	DISH	Dish Network Corp-a	Stock-Other	0.30%	—	—
33	PFSI	PennyMac Financial Services, Inc.	Stock-Other	0.30%	—	—
34	✓	Finish Line INC Cl A	Stock-Other	0.30%	—	—
35	✓	Nutri Sys INC New Com	Stock-Other	0.29%	—	-39.44%
36	LEA	Lear CORP	Stock-Consumer Disc	0.28%	—	—
37	SIG	Signet Jewelers Limited	Stock-Consumer Disc	0.28%	—	—
38	DECK	Deckers Outdoor CORP	Stock-Consumer Disc	0.27%	—	—
39	KBH	Kb Home	Stock-Consumer Disc	0.27%	—	+382.09%
40	ADBE	Adobe INC	Stock-Tech	0.26%	—	—
41	GPRO	Gopro Inc-class A	Stock-Other	0.26%	—	+53.95%
42	PBF	Pbf Energy Inc-class A	Stock-Energy	0.26%	—	—
43	✓	Delphi Automotive PLC	Stock-Other	0.26%	—	+181.48%
44	VMWEUR	Vmware Inc-class A	Stock-Other	0.25%	—	-18.56%
45	LSTR	Landstar System INC	Stock-Industrials	0.24%	—	—
46	KR	Kroger Co	Stock-Consumer Staples	0.24%	—	—
47	SHAK	Shake Shack INC - Class A	Stock-Consumer Disc	0.23%	—	-15.51%
48	GAP	Gap Inc/the	Stock-Consumer Disc	0.23%	—	+219.29%
49	PSX	Phillips 66	Stock-Energy	0.23%	—	—
50	RDS-A	Shell Plc-spon Adr-a	Stock-Other	0.22%	—	—

1–50 of 200

Holding changes this quarter

Position changes disclosed by Ellington Management Group LLC for the quarter ending Q3 2017, 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	+9.1%	+14139.40%	Add
2	IWM	Ishares Russell 2000 ETF	+3.6%	+0.86%	Add
3	ORLY	O'reilly Automotive INC	+0.3%	+210.26%	Add
4	ULTA	Ulta Beauty INC	+0.3%	+200.00%	Add
5	TLRDQ	Tailored Brands INC	+0.3%	+695.40%	Add
6	S9Q	Spirit Aerosystems Hold-cl A	+0.3%	+224.72%	Add
7	THO	Thor Industries INC	+0.3%	+144.58%	Add
8	MU	Micron Technology INC	+0.3%	+24.25%	Add
9	AMAT	Applied Materials INC	+0.3%	+277.78%	Add
10	HTZ-WEUR	Hertz Global Holdings INC	-0.1%	-58.59%	Trim
11	IVZ	Invesco Ltd.	-0.2%	-87.73%	Trim
12	CTRA	Coterra Energy INC	-0.2%	-84.34%	Trim
13	HRB	H&r Block INC	-0.3%	-79.64%	Trim
14	CJ1EUR	C&j Energy Services INC	-0.4%	-35.59%	Trim
15	✓	Bonanza Creek Energy I Com	-0.7%	-53.97%	Trim
16	✓	Powershares Qqq Trust Ser 1	-24.8%	-87.77%	Trim
17	HSBC	Hsbc Holdings Plc-spons Adr	—	NEW	New buy
18	EEM	Ishares Msci Emerging Market	—	NEW	New buy
19	XLF	Ss Financial Select Sector	—	EXIT	Sold out
20	FXI	Ishares China Large-cap ETF	—	EXIT	Sold out
21	✓	Chesapeake Energy CORP	—	EXIT	Sold out
22	KNX	Knight-swift Transportation	—	NEW	New buy
23	SIXEUR	Six Flags Entertainment CORP	—	NEW	New buy
24	HFCUSD	Hollyfrontier CORP	—	NEW	New buy
25	CASY	Casey's General Stores INC	—	NEW	New buy
26	CHKEUR	Chesapeake Energy CORP	—	NEW	New buy
27	JCPCHF	Old Copper Co INC	—	EXIT	Sold out
28	BURL	Burlington Stores INC	—	EXIT	Sold out
29	✓		—	NEW	New buy
30	SFM	Sprouts Farmers Market INC	—	EXIT	Sold out
31	AYI	Acuity INC	—	EXIT	Sold out
32	EXPE	Expedia Group INC	—	EXIT	Sold out
33	CMG	Chipotle Mexican Grill INC	—	EXIT	Sold out
34	OLLI	Ollie's Bargain Outlet Holdi	—	EXIT	Sold out
35	PRKS	United Parks & Resorts INC	—	EXIT	Sold out
36	DISH	Dish Network Corp-a	—	NEW	New buy
37	PFSI	PennyMac Financial Services, Inc.	—	NEW	New buy
38	LULU	Lululemon Athletica INC	—	EXIT	Sold out
39	✓	Finish Line INC Cl A	—	NEW	New buy
40	TIFEUR	Tiffany & Co	—	EXIT	Sold out
41	CBRL	Cracker Barrel Old Country	—	EXIT	Sold out
42	LEA	Lear CORP	—	NEW	New buy
43	SIG	Signet Jewelers Limited	—	NEW	New buy
44	VFC	Vf CORP	—	EXIT	Sold out
45	DECK	Deckers Outdoor CORP	—	NEW	New buy
46	ADBE	Adobe INC	—	NEW	New buy
47	TREE	Lendingtree INC	—	EXIT	Sold out
48	PBF	Pbf Energy Inc-class A	—	NEW	New buy
49	WIX	Wix.com Ltd.	—	EXIT	Sold out
50	LSTR	Landstar System INC	—	NEW	New buy