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QSS

Quantitative Systematic Strategies Portfolio holdings

AUM $11.5M
1-Year Est. Return 21.96%
This Fund
S&P 500
This Quarter Est. Return
+6.4%
1 Year Est. Return
+21.96%
3 Year Est. Return
+132.64%
5 Year Est. Return
+157.08%
10 Year Est. Return
–
AUM
$246M
AUM Growth
-$27.4M
Cap. Flow
-$39.3M
Cap. Flow %
-15.99%
Top 10 Hldgs %
8.56%
Holding
491
New
126
Increased
67
Reduced
95
Closed
202

Top Buys

Rank Stock Value
1
TGT icon
Target
TGT
+$2.15M
2
DD icon
DuPont de Nemours
DD
+$1.84M
3
WY icon
Weyerhaeuser
WY
+$1.74M
4
EQR icon
Equity Residential
EQR
+$1.6M
5
WHR icon
Whirlpool
WHR
+$1.59M

Top Sells

Rank Stock Value
1
V icon
Visa
V
+$2.74M
2
GLW icon
Corning
GLW
+$2.48M
3
YUM icon
Yum! Brands
YUM
+$2.37M
4
TSN icon
Tyson Foods
TSN
+$2.27M
5
TJX icon
TJX Companies
TJX
+$2.18M

Sector Composition

Rank Sector Weight
1 Financials 16.52%
2 Consumer Discretionary 14.81%
3 Industrials 14.68%
4 Real Estate 11.83%
5 Healthcare 10.39%
Name Market Value Portfolio Weight Shares or Principal Change
in Stake 		Capital Flow
KSU
451
DELISTED
Kansas City Southern
KSU
– –
-13,332
Closed -$1.24M
GWPH
452
DELISTED
GW Pharmaceuticals Plc American Depositary Shares
GWPH
– –
-4,363
Closed -$572K
MIK
453
DELISTED
Michaels Stores, Inc
MIK
– –
-61,879
Closed -$1.49M
PE
454
DELISTED
PARSLEY ENERGY INC
PE
– –
-10,915
Closed -$361K
LM
455
DELISTED
Legg Mason, Inc.
LM
– –
-8,390
Closed -$277K
JMEI
456
DELISTED
Jumei International Holding Limited American depositary shares, each representing ten Class A ordina
JMEI
– –
-1,314
Closed -$73K
RTN
457
DELISTED
Raytheon Company
RTN
– –
-3,985
Closed -$544K
S
458
DELISTED
Sprint Corporation
S
– –
-37,179
Closed -$248K
ZAYO
459
DELISTED
Zayo Group Holdings, Inc.
ZAYO
– –
-20,031
Closed -$597K
SFS
460
DELISTED
Smart & Final Stores, Inc.
SFS
– –
-13,773
Closed -$173K
WFT
461
DELISTED
Weatherford International plc
WFT
– –
-28,477
Closed -$162K
ARRS
462
DELISTED
ARRIS International plc Ordinary Shares
ARRS
– –
-7,307
Closed -$207K
ELGX
463
DELISTED
Endologix Inc
ELGX
– –
-1,303
Closed -$161K
SIR
464
DELISTED
SELECT INCOME REIT
SIR
– –
-17,988
Closed -$215K
OCLR
465
DELISTED
Oclaro Inc.
OCLR
– –
-17,436
Closed -$150K
FCE.A
466
DELISTED
Forest City Realty Trust, Inc.
FCE.A
– –
-18,698
Closed -$436K
PF
467
DELISTED
Pinnacle Foods, Inc.
PF
– –
-12,198
Closed -$607K
KLXI
468
DELISTED
KLX Inc.
KLXI
– –
-7,950
Closed -$232K
ANDV
469
DELISTED
Andeavor
ANDV
– –
-4,104
Closed -$319K
CAFD
470
DELISTED
8point3 Energy Partners LP
CAFD
– –
-41,472
Closed -$601K
BBG
471
DELISTED
Bill Barrett Corp
BBG
– –
-13,528
Closed -$77K
LVNTA
472
DELISTED
Liberty Interactive Corporation Series A Liberty Ventures
LVNTA
– –
-5,302
Closed -$209K
SYT
473
DELISTED
Syngenta Ag
SYT
– –
-3,437
Closed -$302K
GLBL
474
DELISTED
TerraForm Global, Inc. Class A Common Stock
GLBL
– –
-90,000
Closed -$357K
BRCD
475
DELISTED
Brocade Communications Systems, Inc. NEW
BRCD
– –
-13,891
Closed -$127K
16 17 18
19
20

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CBT
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FSCP
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RG
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Quantitative Systematic Strategies's Q4 2016 Portfolio in Review

As of Q4 2016, Quantitative Systematic Strategies held 491 positions worth $246M, down 10% from $273M the previous quarter. Its ten largest holdings account for 8.6% of the portfolio.

Quantitative Systematic Strategies withdrew a net $39.3M in Q4 2016, closing 202 positions and reducing 95 holdings. Its most notable exit was Visa, an estimated $2.74M position sold in full.

By sector, the portfolio is most concentrated in Financials at 17% of assets, up from 16% a quarter earlier, followed by Consumer Discretionary and Industrials.

Against the trend, Quantitative Systematic Strategies opened a new position in Target worth $2.16M.

  • Quantitative Systematic Strategies's largest Q4 2016 buy was Target: 29,760 shares worth $2.16M.
  • Quantitative Systematic Strategies added most to HD Supply Holdings, Inc. in Q4 2016, an estimated $1.31M increase.
  • Quantitative Systematic Strategies's biggest Q4 2016 reduction was TJX Companies, cutting an estimated $2.18M.
  • Quantitative Systematic Strategies fully exited Visa in Q4 2016, selling an estimated $2.74M.
  • Quantitative Systematic Strategies's ten largest holdings make up 8.6% of its $246M portfolio in Q4 2016.
  • Quantitative Systematic Strategies opened 126 new positions and closed 202 in Q4 2016.
  • Quantitative Systematic Strategies's portfolio value fell 10% quarter-over-quarter to $246M.

Based on Quantitative Systematic Strategies's 13F filing for Q4 2016, filed 26 Jan 2017.