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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
+7.89%
1 Year Est. Return
+21.96%
3 Year Est. Return
+132.64%
5 Year Est. Return
+157.1%
10 Year Est. Return
–
AUM
$273M
AUM Growth
+$58.7M
(+27%)
Cap. Flow
+$46.7M
Cap. Flow % of AUM
Cap. Flow %
17.11%
Top 10 Holdings %
Top 10 Hldgs %
9.39%
Holding
604
New
195
Increased
84
Reduced
85
Closed
239
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 |
Merck
MRK
|
+$2.41M |
| 2 |
Corning
GLW
|
+$2.35M |
| 3 |
GGP
GGP Inc.
GGP
|
+$2.25M |
| 4 |
Tyson Foods
TSN
|
+$2.23M |
| 5 |
Cintas
CTAS
|
+$2.12M |
Top Sells
| Rank | Stock | Value |
|---|---|---|
| 1 |
RTX Corp
RTX
|
+$1.79M |
| 2 |
lululemon athletica
LULU
|
+$1.64M |
| 3 |
Bristol-Myers Squibb
BMY
|
+$1.62M |
| 4 |
BWLD
Buffalo Wild Wings, Inc.
BWLD
|
+$1.61M |
| 5 |
Las Vegas Sands
LVS
|
+$1.59M |
Sector Composition
| Rank | Sector | Weight |
|---|---|---|
| 1 | Financials | 16.45% |
| 2 | Consumer Discretionary | 16.39% |
| 3 | Industrials | 14.21% |
| 4 | Healthcare | 13.45% |
| 5 | Energy | 7.8% |
| Name | Market Value | Portfolio Weight | Shares or Principal |
Change in Stake | Capital Flow | Held Since | |
|---|---|---|---|---|---|---|---|
|
1
Merck
MRK
$363B
| $3.19M | 1.17% |
53,988
+41,153
| +321% | +$2.41M |
2015 Q4
3 quarters
|
|
2
Alphabet (Google) Class A
GOOGL
$3.47T
| $2.79M | 1.02% |
69,520
+48,580
| +232% | +$1.9M |
2015 Q3
4 quarters
|
|
3
Visa
V
$790B
| $2.74M | 1% |
33,433
+12,514
| +60% | +$1M |
2015 Q2
5 quarters
|
|
4
Honeywell
HON
$72.4B
| $2.61M | 0.96% |
24,996
+8,994
| +56% | +$940K |
2014 Q1
10 quarters
|
|
5
TJX Companies
TJX
$159B
| $2.48M | 0.91% |
67,194
+26,300
| +64% | +$1.03M |
2016 Q2
1 quarter
|
|
|
6
Corning
GLW
$89.1B
| $2.48M | 0.91% |
+105,219
| New | +$2.35M |
2016 Q3
0 quarters
|
|
7
Walmart Inc
WMT
$1.01T
| $2.4M | 0.88% |
101,481
+72,597
| +251% | +$1.76M |
2016 Q2
1 quarter
|
|
8
Yum! Brands
YUM
$44.7B
| $2.37M | 0.87% |
36,695
+24,330
| +197% | +$1.55M |
2016 Q2
1 quarter
|
|
9
T-Mobile US
TMUS
$169B
| $2.29M | 0.84% |
49,355
+11,387
| +30% | +$523K |
2016 Q2
1 quarter
|
|
|
10
Tyson Foods
TSN
$21.1B
| $2.27M | 0.83% |
+30,371
| New | +$2.23M |
2016 Q3
0 quarters
|
|
11
Boston Scientific
BSX
$64.7B
| $2.22M | 0.81% |
95,065
+22,906
| +32% | +$546K |
2014 Q1
10 quarters
|
|
|
12
Cintas
CTAS
$90.9B
| $2.16M | 0.79% |
+77,368
| New | +$2.12M |
2016 Q3
0 quarters
|
|
13
Microsoft
MSFT
$3.98T
| $2.14M | 0.78% |
+37,316
| New | +$2.11M |
2016 Q3
0 quarters
|
|
14
Lear
LEA
$5.72B
| $2.12M | 0.78% |
17,854
+10,193
| +133% | +$1.16M |
2015 Q4
3 quarters
|
|
|
GGP
15
DELISTED
GGP Inc.
GGP
| $2.08M | 0.76% |
+75,523
| New | +$2.25M |
2016 Q3
0 quarters
|
|
|
RPAI
16
DELISTED
RETAIL PROPERTIES OF AMERICA, INC.
RPAI
| $2.02M | 0.74% |
+120,354
| New | +$2.05M |
2016 Q3
0 quarters
|
|
17
SLB Ltd
SLB
$76.1B
| $2.02M | 0.74% |
+26,105
| New | +$2.07M |
2016 Q3
0 quarters
|
|
18
S&P Global
SPGI
$140B
| $2.02M | 0.74% |
16,121
+12,576
| +355% | +$1.51M |
2016 Q2
1 quarter
|
|
19
Abbott
ABT
$197B
| $1.93M | 0.71% |
46,535
+37,118
| +394% | +$1.59M |
2016 Q2
1 quarter
|
|
20
Hasbro
HAS
$17B
| $1.9M | 0.7% |
23,930
+9,152
| +62% | +$743K |
2016 Q2
1 quarter
|
|
21
Southwest Airlines
LUV
$22.7B
| $1.87M | 0.68% |
+48,899
| New | +$1.86M |
2016 Q3
0 quarters
|
|
22
Tapestry
TPR
$24.9B
| $1.85M | 0.68% |
51,063
+11,758
| +30% | +$466K |
2015 Q3
4 quarters
|
|
23
CSX Corp
CSX
$96.4B
| $1.85M | 0.68% |
+184,671
| New | +$1.75M |
2016 Q3
0 quarters
|
|
|
XL
24
DELISTED
XL Group Ltd.
XL
| $1.83M | 0.67% |
54,389
+47,520
| +692% | +$1.6M |
2016 Q2
1 quarter
|
|
25
AutoNation
AN
$5.87B
| $1.82M | 0.67% |
+38,410
| New | +$1.89M |
2016 Q3
0 quarters
|
|
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Quantitative Systematic Strategies's Q3 2016 Portfolio in Review
As of Q3 2016, Quantitative Systematic Strategies held 604 positions worth $273M, up 27% from $214M the previous quarter. Its ten largest holdings account for 9.4% of the portfolio.
Quantitative Systematic Strategies deployed $46.7M of net new capital in Q3 2016, opening 195 new positions and adding to 84 existing holdings. Its largest new stake was Corning: 105,219 shares worth $2.48M.
By sector, the portfolio is most concentrated in Financials at 16% of assets, down from 19% a quarter earlier, followed by Consumer Discretionary and Industrials.
On the sell side, the largest reduction was Norwegian Cruise Line, an estimated $1.15M trimmed.
- Quantitative Systematic Strategies's largest Q3 2016 buy was Corning: 105,219 shares worth $2.48M.
- Quantitative Systematic Strategies added most to Merck in Q3 2016, an estimated $2.41M increase.
- Quantitative Systematic Strategies's biggest Q3 2016 reduction was Norwegian Cruise Line, cutting an estimated $1.15M.
- Quantitative Systematic Strategies fully exited RTX Corp in Q3 2016, selling an estimated $1.79M.
- Quantitative Systematic Strategies's ten largest holdings make up 9.4% of its $273M portfolio in Q3 2016.
- Quantitative Systematic Strategies opened 195 new positions and closed 239 in Q3 2016.
- Quantitative Systematic Strategies's portfolio value rose 27% quarter-over-quarter to $273M.
Based on Quantitative Systematic Strategies's 13F filing for Q3 2016, filed 17 Nov 2016.