Mount Lucas Management LP — Q2 2018 13F Holdings

Name: Mount Lucas Management LP — 13F Holdings, Q2 2018
Creator: AlphaSMO
License: https://www.sec.gov/forms

CIK: 0001185072

Total reported value

$270.8M

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Full holdings list this quarter

#	Ticker	Issuer	Asset Subclass	Weight	Weight Change	Shares Change
1	SHY	Ishares 1-3 Year Treasury Bo	ETF-Gov Bonds	34.06%	+1.11%	+112.28%
2	M	Macy's INC	Stock-Consumer Disc	4.26%	—	-2.25%
3	KSS	Kohls CORP	Stock-Consumer Disc	3.81%	—	-1.66%
4	F	Ford Motor Co	Stock-Consumer Disc	2.77%	+0.46%	NEW
5	EWJ	Ishares Msci Japan ETF	ETF-Other	2.22%	—	+0.35%
6	XLY	Ss Consumer Disc Select Sect	ETF-Other	1.99%	—	-26.16%
7	XLRE	Ss Real Estate Select Sector	ETF-Other	1.97%	—	—
8	XLV	Ss Health Care Select Sector	ETF-Other	1.95%	—	-22.67%
9	XLB	Ss Materials Select Sector	ETF-Other	1.93%	—	-21.64%
10	XLK	Ss Technology Select Sector	ETF-Tech	1.92%	—	-26.75%
11	✓	Andeavor Logistics LP	Stock-Other	1.91%	—	-2.04%
12	✓	Xl Group LTD Com	Stock-Other	1.80%	—	-2.07%
13	VLO	Valero Energy CORP	Stock-Energy	1.78%	—	-1.78%
14	BBY	Best Buy Co INC	Stock-Consumer Disc	1.78%	—	-1.76%
15	XLI	Ss Industrial Select Sector	ETF-Other	1.78%	—	-25.98%
16	CTLEUR	Centurylink INC	Stock-Other	1.75%	—	+1.14%
17	PSX	Phillips 66	Stock-Energy	1.73%	—	-1.11%
18	GAP	Gap Inc/the	Stock-Consumer Disc	1.50%	—	-1.69%
19	MPC	Marathon Petroleum CORP	Stock-Energy	1.43%	+0.45%	NEW
20	PRU	Prudential Financial INC	Stock-Financials	1.35%	—	-0.91%
21	WRKUSD	Westrock Co	Stock-Other	1.33%	—	-1.05%
22	EG	Everest Group, Ltd.	Stock-Financials	1.30%	—	-1.88%
23	NAVI	Navient CORP	Stock-Other	1.21%	—	-1.35%
24	REM	Ishares Mortgage Real Estate	ETF-Other	1.14%	-0.69%	—
25	BKLN	Invesco Senior Loan ETF	ETF-Other	1.13%	—	—
26	CWB	Ss Spdr Bb Conv Sec ETF	ETF-Other	1.12%	—	-6.69%
27	LNC	Lincoln National CORP	Stock-Financials	1.10%	—	-2.00%
28	UNM	Unum Group	Stock-Financials	0.95%	—	-1.90%
29	VYM	Vanguard High Dvd Yield ETF	ETF-Other	0.79%	—	-1.84%
30	PBP	Invesco S&p 500 Buywrite ETF	ETF-Large Cap & Growth	0.79%	—	—
31	PGR	Progressive CORP	Stock-Financials	0.76%	-0.48%	-2.28%
32	SHYG	Ishares 0-5 Yr Hy CORP Bond	ETF-Corp Bonds	0.75%	—	-3.86%
33	EWU	Ishares Msci United Kingdom	ETF-Other	0.75%	—	-4.06%
34	HYG	Ishr Ibx Usd Hiyld Cb Etf-ui	ETF-High Yield	0.75%	—	+190.08%
35	ROP	Roper Technologies INC	Stock-Tech	0.72%	—	-2.12%
36	PFF	Ishares Preferred & Income S	ETF-Other	0.57%	—	+306.45%
37	UPS	United Parcel Service, Inc.	Stock-Industrials	0.51%	—	-11.08%
38	VNQ	Vanguard Real Estate ETF	ETF-Other	0.47%	—	—
39	UGA	United States Gas Fund LP	ETF-Other	0.45%	—	-12.86%
40	✓	United Sts Diesel Heating Oi	Stock-Other	0.45%	—	-16.61%
41	MA	Mastercard INC - A	Stock-Financials	0.44%	—	-2.44%
42	VRSN	Verisign INC	Stock-Tech	0.43%	—	-1.90%
43	EPU	Ishares Msci Peru And Global	ETF-Other	0.43%	—	-38.85%
44	BA	Boeing Co/the	Stock-Industrials	0.42%	—	-2.19%
45	V	Visa Inc-class A Shares	Stock-Financials	0.41%	—	-1.80%
46	UNH	Unitedhealth Group INC	Stock-Healthcare	0.40%	—	-2.30%
47	EWQ	Ishares Msci France ETF	ETF-Other	0.40%	—	-47.28%
48	VNQI	Vanguard Glbl Ex-us Real Est	ETF-Other	0.39%	—	-31.53%
49	MCO	Moody's CORP	Stock-Financials	0.39%	—	-1.70%
50	VRSK	Verisk Analytics INC	Stock-Industrials	0.39%	—	-1.92%

1–50 of 74

Holding changes this quarter

Position changes disclosed by Mount Lucas Management LP for the quarter ending Q2 2018, including ticker, issuer, weight change, shares change, and action
#	Ticker	Issuer	Weight Change	Shares Change	Action
1	SHY	Ishares 1-3 Year Treasury Bo	+17%	+112.28%	Add
2	M	Macy's INC	+0.6%	-2.25%	Trim
3	HYG	Ishr Ibx Usd Hiyld Cb Etf-ui	+0.5%	+190.08%	Add
4	PFF	Ishares Preferred & Income S	+0.4%	+306.45%	Add
5	✓	Andeavor Logistics LP	+0.3%	-2.04%	Trim
6	VLO	Valero Energy CORP	+0.2%	-1.78%	Trim
7	PSX	Phillips 66	+0.1%	-1.11%	Trim
8	CTLEUR	Centurylink INC	+0.1%	+1.14%	Add
9	KSS	Kohls CORP	+0.1%	-1.66%	Trim
10	CPER	United States Copper Index	-0.4%	-84.29%	Trim
11	EPU	Ishares Msci Peru And Global	-0.4%	-38.85%	Trim
12	UNM	Unum Group	-0.4%	-1.90%	Trim
13	EWQ	Ishares Msci France ETF	-0.4%	-47.28%	Trim
14	EWN	Ishares Msci Netherlands ETF	-0.6%	-65.62%	Trim
15	FXI	Ishares China Large-cap ETF	-0.6%	-75.14%	Trim
16	XLB	Ss Materials Select Sector	-0.6%	-21.64%	Trim
17	XLY	Ss Consumer Disc Select Sect	-0.7%	-26.16%	Trim
18	XLV	Ss Health Care Select Sector	-0.7%	-22.67%	Trim
19	THD	Ishares Msci Thailand ETF	-0.7%	-83.23%	Trim
20	XLK	Ss Technology Select Sector	-0.7%	-26.75%	Trim
21	EWM	Ishares Msci Malaysia ETF	-0.7%	-83.15%	Trim
22	EWT	Ishares Msci Taiwan ETF	-0.7%	-86.02%	Trim
23	EWY	Ishares Msci South Korea ETF	-0.8%	-95.34%	Trim
24	XLI	Ss Industrial Select Sector	-0.9%	-25.98%	Trim
25	XLRE	Ss Real Estate Select Sector	—	NEW	New buy
26	✓	Powershares	—	EXIT	Sold out
27	REM	Ishares Mortgage Real Estate	—	NEW	New buy
28	BKLN	Invesco Senior Loan ETF	—	NEW	New buy
29	PBP	Invesco S&p 500 Buywrite ETF	—	NEW	New buy
30	EWI	Ishares Msci Italy ETF	—	EXIT	Sold out
31	EWO	Ishares Msci Austria ETF	—	EXIT	Sold out
32	GHYG	Ishares Us&intl High Yield C	—	EXIT	Sold out
33	PBPUSD	Invesco S&p 500 Buywrite ETF	—	EXIT	Sold out
34	ECH	Ishares Msci Chile ETF	—	EXIT	Sold out
35	EWZ	Ishares Msci Brazil ETF	—	EXIT	Sold out
36	EZA	Ishares Msci South Africa Et	—	EXIT	Sold out
37	DWX	State Street Spdr S&p Intern	—	EXIT	Sold out
38	GREKUSD	Global X Msci Greece ETF	—	EXIT	Sold out
39	EWG	Ishares Msci Germany ETF	—	EXIT	Sold out
40	TUR	Ishares Msci Turkey ETF	—	EXIT	Sold out
41	VNQ	Vanguard Real Estate ETF	—	NEW	New buy
42	GLD	Spdr Gold Shares	—	EXIT	Sold out
43	SOYB	Teucrium Soybean Fund	—	EXIT	Sold out
44	EWL	Ishares Msci Switzerland ETF	—	EXIT	Sold out
45	EPI	Wisdomtree India Earnings	—	EXIT	Sold out
46	IPFFEUR	Ishares International Prefer	—	EXIT	Sold out
47	EPOL	Ishares Msci Poland ETF	—	EXIT	Sold out
48	EIDO	Ishares Msci Indonesia ETF	—	EXIT	Sold out
49	EWP	Ishares Msci Spain ETF	—	EXIT	Sold out
50	WIP	State Street Spdr Ftse Inter	—	EXIT	Sold out