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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
+5.19%
1 Year Est. Return
+21.96%
3 Year Est. Return
+132.64%
5 Year Est. Return
+157.1%
10 Year Est. Return
–
AUM
$378M
AUM Growth
-$15.6M
(-4%)
Cap. Flow
-$31.1M
Cap. Flow % of AUM
Cap. Flow %
-8.24%
Top 10 Holdings %
Top 10 Hldgs %
7.86%
Holding
615
New
185
Increased
116
Reduced
133
Closed
179
Avg Time Held
0.4
years
Top 10 Avg Time Held
0.1
years
Top 20 Avg Time Held
0.1
years
Top Buys
| Rank | Stock | Value |
|---|---|---|
| 1 |
British American Tobacco
BTI
|
+$2.78M |
| 2 |
Boeing
BA
|
+$2.5M |
| 3 |
Keurig Dr Pepper
KDP
|
+$2.46M |
| 4 |
VIAB
Viacom Inc. Class B
VIAB
|
+$2.45M |
| 5 |
Crown Castle
CCI
|
+$2.36M |
Top Sells
| Rank | Stock | Value |
|---|---|---|
| 1 |
Deere & Co
DE
|
+$3.45M |
| 2 |
CSX Corp
CSX
|
+$3.08M |
| 3 |
Home Depot
HD
|
+$3M |
| 4 |
TJX Companies
TJX
|
+$3M |
| 5 |
Walt Disney
DIS
|
+$2.86M |
Sector Composition
| Rank | Sector | Weight |
|---|---|---|
| 1 | Financials | 17.28% |
| 2 | Consumer Discretionary | 13.42% |
| 3 | Industrials | 11.7% |
| 4 | Real Estate | 11.33% |
| 5 | Healthcare | 10.65% |
| Name | Market Value | Portfolio Weight | Shares or Principal |
Change in Stake | Capital Flow | Held Since | |
|---|---|---|---|---|---|---|---|
1
American Express
AXP
$214B
| $3.39M | 0.9% |
37,502
+12,895
| +52% | +$1.11M |
2016 Q3
4 quarters
|
|
2
Old Republic International
ORI
$9.6B
| $3.32M | 0.88% |
168,837
+27,367
| +19% | +$530K |
2016 Q3
4 quarters
|
|
|
3
Crown Castle
CCI
$38.2B
| $3.29M | 0.87% |
32,886
+23,078
| +235% | +$2.36M |
2017 Q2
1 quarter
|
|
4
Stanley Black & Decker
SWK
$16.9B
| $3.01M | 0.8% |
19,943
-1,055
| -5% | -$152K |
2017 Q1
2 quarters
|
|
5
Chevron
CVX
$424B
| $2.92M | 0.77% |
24,896
-369
| -1% | -$40.3K |
2017 Q1
2 quarters
|
|
6
Oracle
ORCL
$397B
| $2.84M | 0.75% |
58,753
-25,167
| -30% | -$1.25M |
2016 Q4
3 quarters
|
|
7
Arthur J. Gallagher & Co
AJG
$71.3B
| $2.83M | 0.75% |
45,954
+36,813
| +403% | +$2.17M |
2017 Q2
1 quarter
|
|
|
8
Boeing
BA
$137B
| $2.73M | 0.72% |
+10,726
| New | +$2.5M |
2017 Q3
0 quarters
|
|
|
9
British American Tobacco
BTI
$131B
| $2.69M | 0.71% |
+43,130
| New | +$2.78M |
2017 Q3
0 quarters
|
|
|
ISBC
10
DELISTED
Investors Bancorp, Inc.
ISBC
| $2.66M | 0.7% |
194,686
+152,404
| +360% | +$2.01M |
2017 Q1
2 quarters
|
|
|
DRE
11
DELISTED
Duke Realty Corp.
DRE
| $2.57M | 0.68% |
89,092
+47,260
| +113% | +$1.36M |
2016 Q4
3 quarters
|
|
12
Mondelez International
MDLZ
$84.4B
| $2.56M | 0.68% |
62,869
+35,615
| +131% | +$1.51M |
2017 Q2
1 quarter
|
|
13
Carter's
CRI
$1.25B
| $2.55M | 0.68% |
+25,820
| New | +$2.3M |
2017 Q3
0 quarters
|
|
14
AutoZone
AZO
$52.5B
| $2.52M | 0.67% |
4,239
-348
| -8% | -$185K |
2016 Q4
3 quarters
|
|
15
Bristol-Myers Squibb
BMY
$128B
| $2.5M | 0.66% |
39,136
-6,315
| -14% | -$369K |
2016 Q4
3 quarters
|
|
16
US Foods
USFD
$23.4B
| $2.48M | 0.66% |
93,032
+5,827
| +7% | +$160K |
2016 Q2
5 quarters
|
|
17
US Bancorp
USB
$94.1B
| $2.47M | 0.65% |
46,034
+18,462
| +67% | +$966K |
2016 Q4
3 quarters
|
|
|
RPAI
18
DELISTED
RETAIL PROPERTIES OF AMERICA, INC.
RPAI
| $2.42M | 0.64% |
184,696
+167,652
| +984% | +$2.2M |
2016 Q3
4 quarters
|
|
19
PVH
PVH
$4.24B
| $2.42M | 0.64% |
19,219
-5,591
| -23% | -$681K |
2017 Q1
2 quarters
|
|
20
Dollar Tree
DLTR
$26.5B
| $2.42M | 0.64% |
27,885
-11,130
| -29% | -$849K |
2017 Q2
1 quarter
|
|
21
Sherwin-Williams
SHW
$85.3B
| $2.41M | 0.64% |
20,175
+261
| +1% | +$29.9K |
2015 Q3
8 quarters
|
|
|
22
Keurig Dr Pepper
KDP
$48.7B
| $2.4M | 0.64% |
+27,139
| New | +$2.46M |
2017 Q3
0 quarters
|
|
23
Coca-Cola
KO
$422B
| $2.37M | 0.63% |
52,724
-35,002
| -40% | -$1.59M |
2016 Q4
3 quarters
|
|
24
General Motors
GM
$73.2B
| $2.33M | 0.62% |
57,760
+9,688
| +20% | +$354K |
2014 Q4
11 quarters
|
|
25
Dana Inc
DAN
$2.33B
| $2.32M | 0.61% |
83,005
+46,879
| +130% | +$1.14M |
2016 Q3
4 quarters
|
|
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Quantitative Systematic Strategies's Q3 2017 Portfolio in Review
As of Q3 2017, Quantitative Systematic Strategies held 615 positions worth $378M, down 4% from $393M the previous quarter. Its ten largest holdings account for 7.9% of the portfolio.
Quantitative Systematic Strategies withdrew a net $31.1M in Q3 2017, closing 179 positions and reducing 133 holdings. Its most notable exit was Deere & Co, an estimated $3.45M 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 British American Tobacco worth $2.69M.
- Quantitative Systematic Strategies's largest Q3 2017 buy was British American Tobacco: 43,130 shares worth $2.69M.
- Quantitative Systematic Strategies added most to Crown Castle in Q3 2017, an estimated $2.36M increase.
- Quantitative Systematic Strategies's biggest Q3 2017 reduction was American Airlines Group, cutting an estimated $2.64M.
- Quantitative Systematic Strategies fully exited Deere & Co in Q3 2017, selling an estimated $3.45M.
- Quantitative Systematic Strategies's ten largest holdings make up 7.9% of its $378M portfolio in Q3 2017.
- Quantitative Systematic Strategies opened 185 new positions and closed 179 in Q3 2017.
- Quantitative Systematic Strategies's portfolio value fell 4% quarter-over-quarter to $378M.
Based on Quantitative Systematic Strategies's 13F filing for Q3 2017, filed 18 Oct 2017.