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Ellington Management Group Portfolio holdings
AUM
$676M
Turnover
38.76%
1-Year Est. Return
23.65%
This Fund
S&P 500
This Quarter Est. Return
+1.14%
1 Year Est. Return
+23.65%
3 Year Est. Return
+16.06%
5 Year Est. Return
+95.66%
10 Year Est. Return
–
AUM
$676M
AUM Growth
-$137M
(-17%)
Cap. Flow
-$43.2M
Cap. Flow % of AUM
Cap. Flow %
-6.39%
Top 10 Holdings %
Top 10 Hldgs %
58.7%
Holding
209
New
48
Increased
8
Reduced
6
Closed
33
Avg Time Held
Equity + Options
0.3
years
Top 10 Avg Time Held
Equity + Options
0.8
years
Top 20 Avg Time Held
Equity + Options
0.6
years
Avg Time Held Equity only
0.3
years
Top 10 Avg Time Held Equity only
1.1
years
Top 20 Avg Time Held Equity only
0.7
years
Top Buys
| Rank | Stock | Value |
|---|---|---|
| 1 |
Rithm Capital
RITM
|
+$18.7M |
| 2 |
iShares iBoxx $ High Yield Corporate Bond ETF
HYG
|
+$11.5M |
| 3 |
Mr. Cooper
COOP
|
+$9.9M |
| 4 |
PennyMac Financial
PFSI
|
+$7.65M |
| 5 |
Kohl's
KSS
|
+$6.32M |
Top Sells
| Rank | Stock | Value |
|---|---|---|
| 1 |
AGNC Investment
AGNC
|
+$13.1M |
| 2 |
Essent Group
ESNT
|
+$5.7M |
| 3 |
MGIC Investment
MTG
|
+$5.59M |
| 4 |
VPCC.U
VPC Impact Acquisition Holdings III, Inc. Units, each consisting of one share of Class A common stoc
VPCC.U
|
+$4.94M |
| 5 |
Ready Capital
RC
|
+$2.41M |
Sector Composition
| Rank | Sector | Weight |
|---|---|---|
| 1 | Miscellaneous | 81.02% |
| 2 | Real Estate | 7.77% |
| 3 | Financials | 4.77% |
| 4 | Consumer Discretionary | 3.12% |
| 5 | Communication Services | 1.02% |
| Name | Market Value | Portfolio Weight | Shares or Principal |
Change in Stake | Capital Flow | Held Since | |
|---|---|---|---|---|---|---|---|
|
1
PUT
iShares iBoxx $ High Yield Corporate Bond ETF
HYG
$17B
| $107M | 15.9% |
1,220,100
-1,463,700
| -55% | -$128M |
2020 Q4
2 quarters
|
|
2
PUT
AMC Entertainment Holdings
AMC
$2.59B
| $69.4M | 10.28% |
+122,500
| New | +$32.5M |
2021 Q2
0 quarters
|
|
3
PUT
Avis
CAR
$3.58B
| $24.6M | 3.64% |
+315,400
| New | +$26.1M |
2021 Q2
0 quarters
|
|
4
PUT
Invesco QQQ Trust
QQQ
$475B
| $23M | 3.41% |
65,000
-160,000
| -71% | -$53.8M |
2021 Q1
1 quarter
|
|
5
PUT
State Street SPDR S&P Regional Banking ETF
KRE
$3.55B
| $22.2M | 3.28% |
+338,000
| New | +$23.1M |
2021 Q2
0 quarters
|
|
6
PUT
iShares Preferred and Income Securities ETF
PFF
$11.9B
| $21.2M | 3.14% |
540,000
| – | – |
2021 Q1
1 quarter
|
|
|
7
Rithm Capital
RITM
$5.24B
| $18.6M | 2.76% |
+1,759,306
| New | +$18.7M |
2021 Q2
0 quarters
|
|
8
Ellington Financial
EFC
$1.51B
| $16.3M | 2.41% |
850,887
+637
| +0.1% | +$11.8K |
2013 Q2
32 quarters
|
|
9
PUT
iShares Russell 2000 ETF
IWM
$79.1B
| $16.1M | 2.38% |
+70,000
| New | +$15.7M |
2021 Q2
0 quarters
|
|
10
PUT
State Street SPDR S&P 500 ETF Trust
SPY
$810B
| $13.7M | 2.03% |
32,000
-148,000
| -82% | -$61.8M |
2020 Q4
2 quarters
|
|
|
11
DELISTED
Mr. Cooper
COOP
| $13M | 1.93% |
393,763
+297,566
| +309% | +$9.9M |
2020 Q3
3 quarters
|
|
|
12
iShares iBoxx $ High Yield Corporate Bond ETF
HYG
$17B
| $11.6M | 1.72% |
+132,076
| New | +$11.5M |
2021 Q2
0 quarters
|
|
|
13
PennyMac Financial
PFSI
$3.31B
| $11.6M | 1.71% |
187,278
+125,935
| +205% | +$7.65M |
2020 Q4
2 quarters
|
|
14
MFA Financial
MFA
$673M
| $6.48M | 0.96% |
352,992
+195,684
| +124% | +$3.46M |
2020 Q2
4 quarters
|
|
|
15
Kohl's
KSS
$2.79B
| $6.06M | 0.9% |
+109,995
| New | +$6.32M |
2021 Q2
0 quarters
|
|
16
DELISTED
Paramount Global Class B
PARA
| $5.97M | 0.88% |
+132,172
| New | +$5.46M |
2021 Q2
0 quarters
|
|
17
PUT
News Corp Class A
NWSA
$16.6B
| $5.5M | 0.81% |
+213,500
| New | +$5.63M |
2021 Q2
0 quarters
|
|
18
Rithm Property Trust
RPT
$88M
| $5.08M | 0.75% |
65,283
-1,400
| -2% | -$103K |
2020 Q1
5 quarters
|
|
|
VPCBU
19
DELISTED
VPC Impact Acquisition Holdings II Unit
VPCBU
| $5.02M | 0.74% |
500,000
| – | – |
2021 Q1
1 quarter
|
|
|
AAC.U
20
DELISTED
Ares Acquisition Corporation Units, each consisting of one Class A ordinary share, and one-fifth of one redeemable warrant
AAC.U
| $5M | 0.74% |
500,000
| – | – |
2021 Q1
1 quarter
|
|
21
CALL
BorgWarner
BWA
$11.2B
| $4.9M | 0.73% |
+114,736
| New | +$5.05M |
2021 Q2
0 quarters
|
|
22
Lear
LEA
$5.76B
| $4.82M | 0.71% |
+27,528
| New | +$5.09M |
2021 Q2
0 quarters
|
|
23
DELISTED
Nordstrom
JWN
| $4.05M | 0.6% |
110,714
+54,593
| +97% | +$1.99M |
2021 Q1
1 quarter
|
|
|
ANZUU
24
DELISTED
Anzu Special Acquisition Corp I Units
ANZUU
| $4M | 0.59% |
399,700
| – | – |
2021 Q1
1 quarter
|
|
|
CTAC
25
DELISTED
Cerberus Telecom Acquisition Corp.
CTAC
| $3.97M | 0.59% |
+400,000
| New | +$3.97M |
2021 Q2
0 quarters
|
|
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Ellington Management Group's Q2 2021 Portfolio in Review
As of Q2 2021, Ellington Management Group held 209 positions worth $676M, down 17% from $813M the previous quarter. Its ten largest holdings account for 59% of the portfolio.
Ellington Management Group withdrew a net $43.2M in Q2 2021, closing 33 positions and reducing 6 holdings. Its most notable exit was AGNC Investment, an estimated $13.1M position sold in full.
By sector, the portfolio is most concentrated in Miscellaneous at 81% of assets, down from 91% a quarter earlier, followed by Real Estate and Financials.
Against the trend, Ellington Management Group opened a new position in Rithm Capital worth $18.6M.
- Ellington Management Group's largest Q2 2021 buy was Rithm Capital: 1,759,306 shares worth $18.6M.
- Ellington Management Group added most to Mr. Cooper in Q2 2021, an estimated $9.9M increase.
- Ellington Management Group's biggest Q2 2021 reduction was Ready Capital, cutting an estimated $2.41M.
- Ellington Management Group fully exited AGNC Investment in Q2 2021, selling an estimated $13.1M.
- Ellington Management Group's ten largest holdings make up 59% of its $676M portfolio in Q2 2021.
- Ellington Management Group opened 48 new positions and closed 33 in Q2 2021.
- Ellington Management Group's portfolio value fell 17% quarter-over-quarter to $676M.
Based on Ellington Management Group's 13F filing for Q2 2021, filed 16 Aug 2021.