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EMG

Ellington Management Group Portfolio holdings

AUM $676M
1-Year Est. Return 23.65%
This Fund
S&P 500
This Quarter Est. Return
+7.9%
1 Year Est. Return
+23.65%
3 Year Est. Return
+16.06%
5 Year Est. Return
+95.65%
10 Year Est. Return
–
AUM
$470M
AUM Growth
-$83M
Cap. Flow
-$169M
Cap. Flow %
-35.86%
Top 10 Hldgs %
29.33%
Holding
852
New
288
Increased
88
Reduced
108
Closed
355

Top Buys

Rank Stock Value
1
RWT
Redwood Trust
RWT
+$4.31M
2
DAL icon
Delta Air Lines
DAL
+$3.72M
3
MTG icon
MGIC Investment
MTG
+$3.22M
4
DPZ icon
Domino's
DPZ
+$2.62M
5
SIX
Six Flags Entertainment Corp.
SIX
+$2.6M

Top Sells

Rank Stock Value
1
ARR
Armour Residential REIT
ARR
+$15.3M
2
AAIC
Arlington Asset Investment Corp.
AAIC
+$4.36M
3
EFC
Ellington Financial
EFC
+$3.26M
4
URBN icon
Urban Outfitters
URBN
+$3.2M
5
HTZ
Hertz Global Holdings, Inc.
HTZ
+$3.12M

Sector Composition

Rank Sector Weight
1 Consumer Discretionary 16.44%
2 Real Estate 9.6%
3 Financials 8.21%
4 Industrials 6.12%
5 Consumer Staples 5.69%
Name Market Value Portfolio Weight Shares or Principal Change
in Stake 		Capital Flow
CHK
826
DELISTED
Chesapeake Energy Corporation
CHK
– –
-1,210
Closed -$243K
CHK
827
PUT
DELISTED
Chesapeake Energy Corporation
CHK
– –
-1,419
Closed -$400K
TIVO
828
DELISTED
Tivo Inc
TIVO
– –
-23,500
Closed -$179K
ARCH
829
DELISTED
Arch Resources, Inc.
ARCH
– –
-4,300
Closed -$319K
TLRA
830
DELISTED
Telaria, Inc.
TLRA
– –
-11,300
Closed -$78K
INST
831
DELISTED
Instructure, Inc.
INST
– –
-18,900
Closed -$732K
CISN
832
DELISTED
Cision Ltd. Ordinary Share
CISN
– –
-15,800
Closed -$122K
HZNP
833
DELISTED
Horizon Therapeutics Public Limited Company Ordinary Shares
HZNP
– –
-11,700
Closed -$319K
TACO
834
DELISTED
Del Taco Restaurants, Inc. Common Stock
TACO
– –
-12,100
Closed -$124K
ATVI
835
DELISTED
Activision Blizzard
ATVI
– –
-4,200
Closed -$222K
HIBB
836
DELISTED
Hibbett, Inc. Common Stock
HIBB
– –
-14,200
Closed -$325K
SIVB
837
DELISTED
SVB Financial Group
SIVB
– –
-6,000
Closed -$1.25M
WLL
838
DELISTED
Whiting Petroleum Corporation
WLL
– –
-4,150
Closed -$2.5M
GRA
839
DELISTED
W.R. Grace & Co.
GRA
– –
-6,500
Closed -$434K
ORBC
840
DELISTED
ORBCOMM, Inc.
ORBC
– –
-19,300
Closed -$92K
CEO
841
DELISTED
CNOOC Limited
CEO
– –
-2,200
Closed -$335K
UN
842
DELISTED
Unilever NV New York Registry Shares
UN
– –
-4,800
Closed -$288K
FTR
843
DELISTED
Frontier Communications Corp.
FTR
– –
-191,508
Closed -$156K
WLH
844
DELISTED
WILLIAM LYON HOMES
WLH
– –
-16,100
Closed -$328K
DO
845
DELISTED
Diamond Offshore Drilling
DO
– –
-101,103
Closed -$562K
DO
846
PUT
DELISTED
Diamond Offshore Drilling
DO
– –
-260,000
Closed -$1.45M
CADE
847
DELISTED
Cadence Bancorporation
CADE
– –
-12,300
Closed -$216K
30 31 32 33
34

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Ellington Management Group's Q4 2019 Portfolio in Review

As of Q4 2019, Ellington Management Group held 852 positions worth $470M, down 15% from $553M the previous quarter. Its ten largest holdings account for 29% of the portfolio.

Ellington Management Group withdrew a net $169M in Q4 2019, closing 355 positions and reducing 108 holdings. Its most notable exit was Armour Residential REIT, an estimated $15.3M position sold in full.

By sector, the portfolio is most concentrated in Consumer Discretionary at 16% of assets, down from 19% a quarter earlier, followed by Real Estate and Financials.

Against the trend, Ellington Management Group opened a new position in Delta Air Lines worth $3.88M.

  • Ellington Management Group's largest Q4 2019 buy was Delta Air Lines: 66,400 shares worth $3.88M.
  • Ellington Management Group added most to Redwood Trust in Q4 2019, an estimated $4.31M increase.
  • Ellington Management Group's biggest Q4 2019 reduction was Arlington Asset Investment Corp., cutting an estimated $4.36M.
  • Ellington Management Group fully exited Armour Residential REIT in Q4 2019, selling an estimated $15.3M.
  • Ellington Management Group's ten largest holdings make up 29% of its $470M portfolio in Q4 2019.
  • Ellington Management Group opened 288 new positions and closed 355 in Q4 2019.
  • Ellington Management Group's portfolio value fell 15% quarter-over-quarter to $470M.

Based on Ellington Management Group's 13F filing for Q4 2019, filed 14 Feb 2020.