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Waterfall Asset Management, LLC — 13F Filing & Top Stock Positions (Q2 2026)
Waterfall Asset Management, LLCCIK: 0001570717
Sector-focusedMomentum followerQuality / disciplined sizing
Total reported value
$163.4M
Reporting period: 2026-06-30 · Number of holdings: 18
Waterfall Asset Management, LLC disclosed 18 holdings in its latest 13F filing for the period ending 2026-06-30, with total reported value of $163.4M and a quarterly turnover rate of 42.9%.
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Personality snowflake
- Concentration
- 42.35
- Portfolio Stability
- 42.94
- Momentum
- 100
- Sector conviction
- 100
- Diversification
- 36
- Sizing Uniformity
- 90.21
Waterfall Asset Management, LLC's disclosed holdings carry a Herfindahl concentration index of 0.106 — mathematically equivalent to about 9 equally-sized positions, well below its 18 actual disclosed holdings. That gap points to a strategy built around a small core of high-conviction bets rather than broad diversification.
Position sizes are fairly uniform across the portfolio (a coefficient of variation of 0.98), suggesting a disciplined, rules-based approach to how much capital goes into each idea.
No strong tilt toward either adding to existing winners or initiating outsized new positions was observed in the latest reported quarter.
Sector classification currently covers about 45% of this portfolio's disclosed value; the remainder includes holdings (e.g. unmapped tickers, options, or other security types) not yet covered by our sector mapping.
Source and citation information
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Recent moves
View source Form 13F filing on SEC.govTrim PMT 8.5 06-01-29
-30.8% -$19.9M
New buy FBRT
New buy SVC
Sold out AAT
Sold out IVT
Add PK
+18.6% $3.7M
Holdings Map
New buyAddUnchangedTrim
* This report is exclusively curated by the AlphaSMO team. AlphaSMO is the web's most authoritative 13F / Inside Trader database, delivering precise insider trading and institutional holdings insights.
Top 10 holdings by weight
Full holdings list this quarter
| # | Ticker | Issuer | Asset Subclass | Weight | Weight Change | Shares Change | 4Q Trend |
|---|---|---|---|---|---|---|---|
| 1 | PMT 8.5 06-01-29Bond | Pennymac CORP | Bond | 25.51% | -8.95% | -30.85% | |
| 2 | AVB | Avalonbay Communities Inc | Stock-Real Estate | 7.93% | +1.06% | -8.65% | |
| 3 | CPT | Camden Property Trust | Stock-Real Estate | 7.83% | +0.64% | -15.19% | |
| 4 | MRP | Millrose Properties | Stock-Real Estate | 7.67% | +2.58% | +28.40% | |
| 5 | BRSP | Brightspire Capital Inc | Stock-Other | 6.93% | +2.32% | +41.00% | |
| 6 | RITM | Rithm Capital CORP | Stock-Real Estate | 6.48% | +1.04% | +9.86% | |
| 7 | PK | Park Hotels & Resorts Inc | Stock-Real Estate | 6.01% | +2.58% | +18.56% | |
| 8 | RC | Ready Capital CORP | Stock-Other | 4.19% | +0.65% | — | |
| 9 | APLE | Apple Hospitality Reit Inc | Stock-Real Estate | 3.87% | -2.15% | -59.81% | |
| 10 | FBRT | Franklin Bsp Realty Trust In | Stock-Other | 3.78% | +3.78% | NEW | |
| 11 | DRH | Diamondrock Hospitality Co | Stock-Other | 3.40% | +1.21% | +9.34% | |
| 12 | GNL | Global Net Lease Inc | Stock-Real Estate | 3.12% | +1.04% | +43.36% | |
| 13 | SVC | Service Properties Trust | Stock-Other | 2.97% | +2.97% | NEW | |
| 14 | DX | Dynex Capital Inc | Stock-Other | 2.59% | +0.48% | +9.32% | |
| 15 | ESRT | Empire State Realty Trust-a | Stock-Other | 2.28% | +0.20% | -3.50% | |
| 16 | RPT V9.875 PERPBond | Rithm Property Trust | Bond | 2.13% | +0.19% | — | |
| 17 | VNO | Vornado Realty Trust | Stock-Real Estate | 1.95% | -0.53% | -52.49% | |
| 18 | PMT | Pennymac Mortgage Investment | Stock-Other | 1.38% | +1.38% | NEW |
Portfolio Performance
Performance for Q3 2026
+5.4%
Performance Last 4 Quarters
+7%
Based on 62% of reported portfolio value with available pricing
- Stdev
- +10.7%
- Beta
- +0.82
- Alpha
- -1.4%
- Max Drawdown
- -8.6%
- Annualized Perf
- +7.6%
- Batting Avg vs S&P
- +11.1%
- Sortino
- +1.32
- Stutzer
- +0.22
- Treynor
- +0.1
- Sterling
- +0.65
- Calmar
- +0.89
- Information Ratio
- -0.47
- Tracking Error
- +7.2%
- Stdev Down
- +6%
- Winning Months %
- +50%
- Losing Months %
- +50%
- Best 12 Months
- +21.8%
- Worst 12 Months
- +5.3%
- Efficiency Ratio
- +0.28
- Sharpe
- +0.74
- Stdev Sectors
- 0%
- Skewness
- +0.01
- Kurtosis
- +0.31
- Upside Potential
- +2.99
Reported value over time
Sector allocation
Sector allocation over time
Quarterly history
Holding changes this quarter
Waterfall Asset Management, LLC's most significant position changes for 2026-06-30: New buy: Franklin Bsp Realty Trust In (FBRT); Sold out: American Assets Trust Inc (AAT); Sold out: Inventrust Properties CORP (IVT); New buy: Service Properties Trust (SVC); Sold out: Kkr Real Estate Finance Trus (KREF).
| # | Ticker | Issuer | Weight Change | Shares Change | Action |
|---|---|---|---|---|---|
| 1 | FBRT | Franklin Bsp Realty Trust In | +3.8% | NEW | New buy |
| 2 | SVC | Service Properties Trust | +3% | NEW | New buy |
| 3 | PK | Park Hotels & Resorts Inc | +2.6% | +18.56% | Add |
| 4 | MRP | Millrose Properties | +2.6% | +28.40% | Add |
| 5 | BRSP | Brightspire Capital Inc | +2.3% | +41.00% | Add |
| 6 | PMT | Pennymac Mortgage Investment | +1.4% | NEW | New buy |
| 7 | DRH | Diamondrock Hospitality Co | +1.2% | +9.34% | Add |
| 8 | AVB | Avalonbay Communities Inc | +1.1% | -8.65% | Trim |
| 9 | GNL | Global Net Lease Inc | +1% | +43.36% | Add |
| 10 | RITM | Rithm Capital CORP | +1% | +9.86% | Add |
| 11 | RC | Ready Capital CORP | +0.7% | — | Unchanged |
| 12 | CPT | Camden Property Trust | +0.6% | -15.19% | Trim |
| 13 | DX | Dynex Capital Inc | +0.5% | +9.32% | Add |
| 14 | ESRT | Empire State Realty Trust-a | +0.2% | -3.50% | Trim |
| 15 | RPT V9.875 PERPBond | Rithm Property Trust | +0.2% | — | Unchanged |
| 16 | VNO | Vornado Realty Trust | -0.5% | -52.49% | Trim |
| 17 | LINE | Lineage Inc | -1.5% | EXIT | Sold out |
| 18 | RWT 7.75 06-15-27Bond | Redwood Trust Inc | -1.6% | EXIT | Sold out |
| 19 | KREF | Kkr Real Estate Finance Trus | -1.7% | EXIT | Sold out |
| 20 | APLE | Apple Hospitality Reit Inc | -2.2% | -59.81% | Trim |
| 21 | IVT | Inventrust Properties CORP | -2.8% | EXIT | Sold out |
| 22 | AAT | American Assets Trust Inc | -2.9% | EXIT | Sold out |
| 23 | PMT 8.5 06-01-29Bond | Pennymac CORP | -9% | -30.85% | Trim |
Filing History
FAQ
What is Waterfall Asset Management, LLC and what type of investor is it?
Waterfall Asset Management, LLC is an investment manager that files SEC Form 13F quarterly, disclosing its U.S. public equity holdings to regulators. As of the most recent reporting period (2026-06-30), the firm manages a tracked equity portfolio valued at approximately $163.4M, spread across 18 disclosed positions.
What are Waterfall Asset Management, LLC's largest equity positions?
Based on the latest 13F filing, Waterfall Asset Management, LLC's top holdings by market value are:
1. Pennymac CORP (PMT 8.5 06-01-29) — $41.7M (25.5%)
2. Avalonbay Communities Inc (AVB) — $13.0M (7.9%)
3. Camden Property Trust (CPT) — $12.8M (7.8%)
4. Millrose Properties (MRP) — $12.5M (7.7%)
5. Brightspire Capital Inc (BRSP) — $11.3M (6.9%)
What changes did Waterfall Asset Management, LLC make in its most recent portfolio filing?
In the latest reported quarter, Waterfall Asset Management, LLC made 21 notable position adjustments: 3 new positions were initiated, 7 existing holdings were added to, 6 positions were partially reduced, and 5 were completely exited. The largest of these moves: New buy: Franklin Bsp Realty Trust In (FBRT); Sold out: American Assets Trust Inc (AAT); Sold out: Inventrust Properties CORP (IVT); New buy: Service Properties Trust (SVC); Sold out: Kkr Real Estate Finance Trus (KREF)
What sectors does Waterfall Asset Management, LLC focus on?
Waterfall Asset Management, LLC is concentrated in the following sectors based on its current disclosed equity portfolio:
• Real Estate: 100.0%
Investment Profile
Waterfall Asset Management, LLC returned an annualized 7.6% over the trailing 18 months — underperforming the S&P 500 by 1.4 points — based on a reconstructed track record of its disclosed 13F positions, with a beta of 0.82 (less volatile than the market) and a 11% quarterly batting average against the index.
Its portfolio is moderately concentrated and moderately active, with 100.0% of the portfolio concentrated in Real Estate.
Its concentration score has fallen from 100 to 42 over the past 4 quarters — a shift toward broader diversification.
It has added to its MRP position over the past two quarters (+$9.4M, now $12.5M), while trimming PMT 8.5 06-01-29 over the same stretch (-$38.0M, still holding $41.7M).
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Developer Access
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