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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
+3.04%
1 Year Est. Return
+21.96%
3 Year Est. Return
+132.64%
5 Year Est. Return
+157.1%
10 Year Est. Return
–
AUM
$393M
AUM Growth
+$36.7M
(+10%)
Cap. Flow
+$29.5M
Cap. Flow % of AUM
Cap. Flow %
7.51%
Top 10 Holdings %
Top 10 Hldgs %
8.33%
Holding
565
New
216
Increased
111
Reduced
102
Closed
135
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 |
American Airlines Group
AAL
|
+$3.05M |
| 2 |
Dollar Tree
DLTR
|
+$3.01M |
| 3 |
Walt Disney
DIS
|
+$2.96M |
| 4 |
O'Reilly Automotive
ORLY
|
+$2.67M |
| 5 |
Garmin
GRMN
|
+$2.57M |
Top Sells
| Rank | Stock | Value |
|---|---|---|
| 1 |
Dover
DOV
|
+$2.75M |
| 2 |
United Airlines
UAL
|
+$2.39M |
| 3 |
Parker-Hannifin
PH
|
+$2.34M |
| 4 |
Weyerhaeuser
WY
|
+$2.33M |
| 5 |
Progressive
PGR
|
+$2.29M |
Sector Composition
| Rank | Sector | Weight |
|---|---|---|
| 1 | Consumer Discretionary | 16.56% |
| 2 | Financials | 15.67% |
| 3 | Industrials | 12.36% |
| 4 | Healthcare | 11.68% |
| 5 | Technology | 10.13% |
| Name | Market Value | Portfolio Weight | Shares or Principal |
Change in Stake | Capital Flow | Held Since | |
|---|---|---|---|---|---|---|---|
1
Oracle
ORCL
$375B
| $4.21M | 1.07% |
83,920
+29,567
| +54% | +$1.35M |
2016 Q4
2 quarters
|
|
2
Coca-Cola
KO
$412B
| $3.94M | 1% |
87,726
-11,179
| -11% | -$494K |
2016 Q4
2 quarters
|
|
3
Deere & Co
DE
$180B
| $3.45M | 0.88% |
28,302
-9,906
| -26% | -$1.16M |
2016 Q3
3 quarters
|
|
|
4
American Airlines Group
AAL
$9.03B
| $3.26M | 0.83% |
+65,666
| New | +$3.05M |
2017 Q2
0 quarters
|
|
5
CSX Corp
CSX
$96.4B
| $3.08M | 0.78% |
171,444
-54,453
| -24% | -$933K |
2016 Q3
3 quarters
|
|
6
Home Depot
HD
$355B
| $3M | 0.76% |
19,718
+2,139
| +12% | +$328K |
2017 Q1
1 quarter
|
|
7
Fifth Third Bancorp
FITB
$48.9B
| $3M | 0.76% |
115,048
+50,467
| +78% | +$1.25M |
2017 Q1
1 quarter
|
|
8
TJX Companies
TJX
$159B
| $3M | 0.76% |
83,650
+49,984
| +148% | +$1.88M |
2016 Q2
4 quarters
|
|
9
Stanley Black & Decker
SWK
$15.8B
| $2.93M | 0.75% |
20,998
+18,503
| +742% | +$2.54M |
2017 Q1
1 quarter
|
|
10
Alphabet (Google) Class A
GOOGL
$3.55T
| $2.86M | 0.73% |
61,060
+2,640
| +5% | +$123K |
2015 Q3
7 quarters
|
|
|
11
Walt Disney
DIS
$205B
| $2.86M | 0.73% |
+27,034
| New | +$2.96M |
2017 Q2
0 quarters
|
|
12
MetLife
MET
$64B
| $2.82M | 0.72% |
57,524
+4,470
| +8% | +$207K |
2016 Q1
5 quarters
|
|
13
PVH
PVH
$4.2B
| $2.82M | 0.72% |
24,810
+7,961
| +47% | +$825K |
2017 Q1
1 quarter
|
|
14
Old Republic International
ORI
$9.3B
| $2.78M | 0.71% |
141,470
+7,932
| +6% | +$158K |
2016 Q3
3 quarters
|
|
15
Citigroup
C
$206B
| $2.76M | 0.7% |
41,158
+24,548
| +148% | +$1.51M |
2016 Q4
2 quarters
|
|
|
16
Dollar Tree
DLTR
$27.6B
| $2.73M | 0.69% |
+39,015
| New | +$3.01M |
2017 Q2
0 quarters
|
|
17
Alaska Air
ALK
$4.46B
| $2.68M | 0.68% |
30,076
+979
| +3% | +$85.8K |
2017 Q1
1 quarter
|
|
|
MON
18
DELISTED
Monsanto Co
MON
| $2.64M | 0.67% |
22,390
-210
| -0.9% | -$24.5K |
2016 Q1
5 quarters
|
|
|
PF
19
DELISTED
Pinnacle Foods, Inc.
PF
| $2.64M | 0.67% |
43,983
+11,606
| +36% | +$694K |
2017 Q1
1 quarter
|
|
20
Chevron
CVX
$423B
| $2.63M | 0.67% |
25,265
+14,258
| +130% | +$1.51M |
2017 Q1
1 quarter
|
|
|
STAY
21
DELISTED
Extended Stay America, Inc. Paired Share Unit
STAY
| $2.57M | 0.65% |
134,092
+13,492
| +11% | +$242K |
2016 Q3
3 quarters
|
|
22
AutoZone
AZO
$51.5B
| $2.57M | 0.65% |
4,587
-1,483
| -24% | -$965K |
2016 Q4
2 quarters
|
|
23
Wendy's
WEN
$1.46B
| $2.57M | 0.65% |
+167,404
| New | +$2.54M |
2017 Q2
0 quarters
|
|
|
24
Garmin
GRMN
$52.3B
| $2.56M | 0.65% |
+50,220
| New | +$2.57M |
2017 Q2
0 quarters
|
|
25
Bristol-Myers Squibb
BMY
$131B
| $2.54M | 0.65% |
45,451
+13,323
| +41% | +$725K |
2016 Q4
2 quarters
|
|
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Quantitative Systematic Strategies's Q2 2017 Portfolio in Review
As of Q2 2017, Quantitative Systematic Strategies held 565 positions worth $393M, up 10% from $356M the previous quarter. Its ten largest holdings account for 8.3% of the portfolio.
Quantitative Systematic Strategies deployed $29.5M of net new capital in Q2 2017, opening 216 new positions and adding to 111 existing holdings. Its largest new stake was American Airlines Group: 65,666 shares worth $3.26M.
By sector, the portfolio is most concentrated in Consumer Discretionary at 17% of assets, down from 19% a quarter earlier, followed by Financials and Industrials.
On the sell side, the largest reduction was Dover, an estimated $2.75M trimmed.
- Quantitative Systematic Strategies's largest Q2 2017 buy was American Airlines Group: 65,666 shares worth $3.26M.
- Quantitative Systematic Strategies added most to O'Reilly Automotive in Q2 2017, an estimated $2.67M increase.
- Quantitative Systematic Strategies's biggest Q2 2017 reduction was Dover, cutting an estimated $2.75M.
- Quantitative Systematic Strategies fully exited United Airlines in Q2 2017, selling an estimated $2.39M.
- Quantitative Systematic Strategies's ten largest holdings make up 8.3% of its $393M portfolio in Q2 2017.
- Quantitative Systematic Strategies opened 216 new positions and closed 135 in Q2 2017.
- Quantitative Systematic Strategies's portfolio value rose 10% quarter-over-quarter to $393M.
Based on Quantitative Systematic Strategies's 13F filing for Q2 2017, filed 21 Jul 2017.