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Quantitative Systematic Strategies Portfolio holdings
AUM
$11.5M
Turnover
0%
1-Year Est. Return
21.96%
This Fund
S&P 500
This Quarter Est. Return
+0.76%
1 Year Est. Return
+21.96%
3 Year Est. Return
+132.64%
5 Year Est. Return
+157.1%
10 Year Est. Return
–
AUM
$258M
AUM Growth
-$110M
(-30%)
Cap. Flow
-$115M
Cap. Flow % of AUM
Cap. Flow %
-44.6%
Top 10 Holdings %
Top 10 Hldgs %
8.27%
Holding
1,037
New
163
Increased
114
Reduced
123
Closed
636
Avg Time Held
0.3
years
Top 10 Avg Time Held
0.1
years
Top 20 Avg Time Held
0.1
years
Top Buys
| Rank | Stock | Value |
|---|---|---|
| 1 |
Foot Locker
FL
|
+$2.13M |
| 2 |
WFM
Whole Foods Market Inc
WFM
|
+$2.03M |
| 3 |
GoPro
GPRO
|
+$1.96M |
| 4 |
Amazon
AMZN
|
+$1.95M |
| 5 |
Pfizer
PFE
|
+$1.95M |
Top Sells
| Rank | Stock | Value |
|---|---|---|
| 1 |
Spirit Airlines, Inc.
SAVE
|
+$1.7M |
| 2 |
American Express
AXP
|
+$1.49M |
| 3 |
Allstate
ALL
|
+$1.4M |
| 4 |
Uniti Group
UNIT
|
+$1.28M |
| 5 |
Verizon
VZ
|
+$1.23M |
Sector Composition
| Rank | Sector | Weight |
|---|---|---|
| 1 | Consumer Discretionary | 18.72% |
| 2 | Industrials | 18.64% |
| 3 | Financials | 16.48% |
| 4 | Technology | 12.14% |
| 5 | Healthcare | 8.47% |
| Name | Market Value | Portfolio Weight | Shares or Principal |
Change in Stake | Capital Flow | Held Since | |
|---|---|---|---|---|---|---|---|
1
Alphabet (Google) Class A
GOOGL
$3.71T
| $2.25M | 0.87% |
58,540
+36,220
| +162% | +$1.33M |
2015 Q3
2 quarters
|
|
2
Trane Technologies
TT
$93.1B
| $2.16M | 0.84% |
34,880
+6,108
| +21% | +$333K |
2014 Q1
8 quarters
|
|
|
3
DELISTED
Foot Locker
FL
| $2.16M | 0.84% |
+32,879
| New | +$2.13M |
2016 Q1
0 quarters
|
|
4
RTX Corp
RTX
$268B
| $2.16M | 0.84% |
34,198
+14,617
| +75% | +$848K |
2014 Q4
5 quarters
|
|
5
DELISTED
Interpublic Group of Companies
IPG
| $2.13M | 0.83% |
93,167
+80,343
| +627% | +$1.74M |
2015 Q2
3 quarters
|
|
6
Himax Technologies
HIMX
$1.57B
| $2.11M | 0.82% |
184,227
+83,752
| +83% | +$735K |
2015 Q4
1 quarter
|
|
7
Tapestry
TPR
$26.2B
| $2.11M | 0.82% |
52,255
+4,518
| +9% | +$164K |
2015 Q3
2 quarters
|
|
8
Honeywell
HON
$71.2B
| $2.1M | 0.81% |
20,880
+4,775
| +30% | +$447K |
2014 Q1
8 quarters
|
|
9
Southwest Airlines
LUV
$22.2B
| $2.1M | 0.81% |
46,692
+13,776
| +42% | +$561K |
2015 Q2
3 quarters
|
|
10
Abercrombie & Fitch
ANF
$6.42B
| $2.08M | 0.81% |
65,744
+47,917
| +269% | +$1.35M |
2015 Q1
4 quarters
|
|
|
MHFI
11
DELISTED
MCGRAW-HILL FINANCIAL INC COM
MHFI
| $2.08M | 0.81% |
21,044
+16,357
| +349% | +$1.47M |
2015 Q4
1 quarter
|
|
|
MXIM
12
DELISTED
Maxim Integrated Products
MXIM
| $2.08M | 0.8% |
56,776
+48,617
| +596% | +$1.63M |
2015 Q4
1 quarter
|
|
|
WFM
13
DELISTED
Whole Foods Market Inc
WFM
| $2.07M | 0.8% |
+65,007
| New | +$2.03M |
2016 Q1
0 quarters
|
|
|
14
Amazon
AMZN
$2.91T
| $2.05M | 0.79% |
+68,560
| New | +$1.95M |
2016 Q1
0 quarters
|
|
15
General Motors
GM
$73.6B
| $2.05M | 0.79% |
66,125
+45,895
| +227% | +$1.38M |
2014 Q4
5 quarters
|
|
|
16
Pfizer
PFE
$166B
| $1.94M | 0.75% |
+68,099
| New | +$1.95M |
2016 Q1
0 quarters
|
|
17
Magna International
MGA
$16.2B
| $1.93M | 0.75% |
44,802
+25,440
| +131% | +$947K |
2014 Q4
5 quarters
|
|
18
Kohl's
KSS
$2.73B
| $1.93M | 0.75% |
41,871
+20,300
| +94% | +$953K |
2015 Q4
1 quarter
|
|
|
19
GoPro
GPRO
$129M
| $1.92M | 0.75% |
+158,306
| New | +$1.96M |
2016 Q1
0 quarters
|
|
20
Johnson & Johnson
JNJ
$683B
| $1.92M | 0.75% |
17,664
+13,292
| +304% | +$1.38M |
2015 Q2
3 quarters
|
|
21
Mattel
MAT
$4.51B
| $1.92M | 0.75% |
57,308
+31,470
| +122% | +$956K |
2015 Q4
1 quarter
|
|
22
American Airlines Group
AAL
$9B
| $1.89M | 0.73% |
45,673
+29,288
| +179% | +$1.18M |
2015 Q3
2 quarters
|
|
23
McDonald's
MCD
$193B
| $1.89M | 0.73% |
15,020
+8,557
| +132% | +$1.02M |
2014 Q4
5 quarters
|
|
24
AutoNation
AN
$5.83B
| $1.85M | 0.71% |
+38,502
| New | +$1.86M |
2016 Q1
0 quarters
|
|
25
Under Armour
UAA
$2.13B
| $1.81M | 0.7% |
+42,292
| New | +$1.67M |
2016 Q1
0 quarters
|
|
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Quantitative Systematic Strategies's Q1 2016 Portfolio in Review
As of Q1 2016, Quantitative Systematic Strategies held 1,037 positions worth $258M, down 30% from $369M the previous quarter. Its ten largest holdings account for 8.3% of the portfolio.
Quantitative Systematic Strategies withdrew a net $115M in Q1 2016, closing 636 positions and reducing 123 holdings. Its most notable exit was Spirit Airlines, Inc., an estimated $1.7M position sold in full.
By sector, the portfolio is most concentrated in Consumer Discretionary at 19% of assets, up from 13% a quarter earlier, followed by Industrials and Financials.
Against the trend, Quantitative Systematic Strategies opened a new position in Foot Locker worth $2.16M.
- Quantitative Systematic Strategies's largest Q1 2016 buy was Foot Locker: 32,879 shares worth $2.16M.
- Quantitative Systematic Strategies added most to Interpublic Group of Companies in Q1 2016, an estimated $1.74M increase.
- Quantitative Systematic Strategies's biggest Q1 2016 reduction was Navient Holdings, Inc. Common Stock, cutting an estimated $848K.
- Quantitative Systematic Strategies fully exited Spirit Airlines, Inc. in Q1 2016, selling an estimated $1.7M.
- Quantitative Systematic Strategies's ten largest holdings make up 8.3% of its $258M portfolio in Q1 2016.
- Quantitative Systematic Strategies opened 163 new positions and closed 636 in Q1 2016.
- Quantitative Systematic Strategies's portfolio value fell 30% quarter-over-quarter to $258M.
Based on Quantitative Systematic Strategies's 13F filing for Q1 2016, filed 22 Apr 2016.