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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
+6.4%
1 Year Est. Return
+21.96%
3 Year Est. Return
+132.64%
5 Year Est. Return
+157.1%
10 Year Est. Return
–
AUM
$246M
AUM Growth
-$27.4M
(-10%)
Cap. Flow
-$39.3M
Cap. Flow % of AUM
Cap. Flow %
-15.99%
Top 10 Holdings %
Top 10 Hldgs %
8.56%
Holding
491
New
126
Increased
67
Reduced
95
Closed
202
Avg Time Held
0.3
years
Top 10 Avg Time Held
0.1
years
Top 20 Avg Time Held
0.2
years
Top Buys
| Rank | Stock | Value |
|---|---|---|
| 1 |
Target
TGT
|
+$2.15M |
| 2 |
DuPont de Nemours
DD
|
+$1.84M |
| 3 |
Weyerhaeuser
WY
|
+$1.74M |
| 4 |
Vivmark Residential
VMRK
|
+$1.6M |
| 5 |
Whirlpool
WHR
|
+$1.59M |
Top Sells
| Rank | Stock | Value |
|---|---|---|
| 1 |
Visa
V
|
+$2.74M |
| 2 |
Corning
GLW
|
+$2.48M |
| 3 |
Yum! Brands
YUM
|
+$2.37M |
| 4 |
Tyson Foods
TSN
|
+$2.27M |
| 5 |
TJX Companies
TJX
|
+$2.18M |
Sector Composition
| Rank | Sector | Weight |
|---|---|---|
| 1 | Financials | 16.62% |
| 2 | Consumer Discretionary | 15.25% |
| 3 | Industrials | 14.68% |
| 4 | Real Estate | 12.09% |
| 5 | Healthcare | 10.39% |
| Name | Market Value | Portfolio Weight | Shares or Principal |
Change in Stake | Capital Flow | Held Since | |
|---|---|---|---|---|---|---|---|
1
Johnson Controls International
JCI
$85.7B
| $2.34M | 0.95% |
56,192
+26,660
| +90% | +$1.17M |
2016 Q3
1 quarter
|
|
2
Ametek
AME
$54.6B
| $2.19M | 0.89% |
45,018
+15,069
| +50% | +$714K |
2016 Q3
1 quarter
|
|
|
3
Target
TGT
$73.5B
| $2.16M | 0.88% |
+29,760
| New | +$2.15M |
2016 Q4
0 quarters
|
|
|
RPAI
4
DELISTED
RETAIL PROPERTIES OF AMERICA, INC.
RPAI
| $2.14M | 0.87% |
140,535
+20,181
| +17% | +$311K |
2016 Q3
1 quarter
|
|
5
Honeywell
HON
$72.6B
| $2.11M | 0.86% |
20,157
-4,839
| -19% | -$492K |
2014 Q1
11 quarters
|
|
6
General Motors
GM
$76.1B
| $2.1M | 0.86% |
59,849
+25,275
| +73% | +$850K |
2014 Q4
8 quarters
|
|
7
Abbott
ABT
$191B
| $2.05M | 0.84% |
53,577
+7,042
| +15% | +$279K |
2016 Q2
2 quarters
|
|
8
Microsoft
MSFT
$3.96T
| $2.03M | 0.83% |
32,226
-5,090
| -14% | -$306K |
2016 Q3
1 quarter
|
|
9
Alphabet (Google) Class A
GOOGL
$3.53T
| $1.95M | 0.79% |
48,480
-21,040
| -30% | -$841K |
2015 Q3
5 quarters
|
|
10
Qualcomm
QCOM
$186B
| $1.94M | 0.79% |
29,314
+12,140
| +71% | +$816K |
2016 Q3
1 quarter
|
|
|
11
DuPont de Nemours
DD
$20.6B
| $1.92M | 0.78% |
+13,242
| New | +$1.84M |
2016 Q4
0 quarters
|
|
|
HDS
12
DELISTED
HD Supply Holdings, Inc.
HDS
| $1.9M | 0.77% |
44,446
+35,488
| +396% | +$1.31M |
2016 Q3
1 quarter
|
|
13
Sherwin-Williams
SHW
$86.5B
| $1.84M | 0.75% |
20,349
+13,917
| +216% | +$1.23M |
2015 Q3
5 quarters
|
|
14
Boston Scientific
BSX
$64.8B
| $1.81M | 0.74% |
83,517
-11,548
| -12% | -$252K |
2014 Q1
11 quarters
|
|
|
DCT
15
DELISTED
DCT Industrial Trust Inc.
DCT
| $1.8M | 0.73% |
38,016
+14,246
| +60% | +$657K |
2016 Q2
2 quarters
|
|
16
S&P Global
SPGI
$137B
| $1.78M | 0.73% |
16,403
+282
| +2% | +$33.7K |
2016 Q2
2 quarters
|
|
|
GGP
17
DELISTED
GGP Inc.
GGP
| $1.78M | 0.73% |
72,681
-2,842
| -4% | -$72.7K |
2016 Q3
1 quarter
|
|
|
TWX
18
DELISTED
Time Warner Inc
TWX
| $1.76M | 0.72% |
18,157
+5,701
| +46% | +$508K |
2016 Q3
1 quarter
|
|
|
19
Whirlpool
WHR
$2.1B
| $1.76M | 0.71% |
+9,580
| New | +$1.59M |
2016 Q4
0 quarters
|
|
|
MJN
20
DELISTED
Mead Johnson Nutrition Company
MJN
| $1.74M | 0.71% |
24,531
+11,389
| +87% | +$849K |
2016 Q3
1 quarter
|
|
21
Dick's Sporting Goods
DKS
$14.6B
| $1.74M | 0.71% |
33,140
+5,830
| +21% | +$334K |
2016 Q3
1 quarter
|
|
22
Brown & Brown
BRO
$23.6B
| $1.73M | 0.71% |
+77,284
| New | +$1.57M |
2016 Q4
0 quarters
|
|
|
SHPG
23
DELISTED
Shire pic
SHPG
| $1.72M | 0.7% |
10,144
+2,857
| +39% | +$506K |
2015 Q4
4 quarters
|
|
|
24
Weyerhaeuser
WY
$14.9B
| $1.71M | 0.7% |
+56,409
| New | +$1.74M |
2016 Q4
0 quarters
|
|
25
Delta Air Lines
DAL
$60.7B
| $1.69M | 0.69% |
+34,305
| New | +$1.56M |
2016 Q4
0 quarters
|
|
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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.