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TSS

Two Sigma Securities Portfolio holdings

AUM $861M
1-Year Est. Return 21.33%
This Fund
S&P 500
This Quarter Est. Return
-16.36%
1 Year Est. Return
+21.33%
3 Year Est. Return
+86.85%
5 Year Est. Return
+97.02%
10 Year Est. Return
+293.06%
AUM
$4.44B
AUM Growth
-$10.4B
Cap. Flow
-$9.3B
Cap. Flow %
-209.44%
Top 10 Hldgs %
50.22%
Holding
2,687
New
395
Increased
175
Reduced
688
Closed
1,412

Top Buys

Rank Stock Value
1
IVV icon
iShares Core S&P 500 ETF
IVV
+$105M
2
CFXA
Colfax Corporation 5.75% Tangible Equity Units
CFXA
+$36.1M
3
BDXA
Becton, Dickinson and Company Depositary Shares, each Representing a 1/20th Interest in a Share of 6
BDXA
+$34.8M
4
CCI.PRA
Crown Castle International Corp. 6.875% Mandatory Convertible Preferred Stock, Series A
CCI.PRA
+$30M
5
FTV.PRA
Fortive Corporation 5.00% Mandatory Convertible Preferred Stock, Series A
FTV.PRA
+$19.4M

Top Sells

Rank Stock Value
1
SPY icon
State Street SPDR S&P 500 ETF Trust
SPY
+$396M
2
QQQ icon
Invesco QQQ Trust
QQQ
+$35.8M
3
MDY icon
State Street SPDR S&P MIDCAP 400 ETF Trust
MDY
+$9.1M
4
SHV icon
iShares 0-1 Year Treasury Bond ETF
SHV
+$6.93M
5
EEM icon
iShares MSCI Emerging Markets ETF
EEM
+$5.78M

Sector Composition

Rank Sector Weight
1 Financials 0.71%
2 Consumer Discretionary 0.65%
3 Technology 0.58%
4 Utilities 0.56%
5 Communication Services 0.45%
Name Market Value Portfolio Weight Shares or Principal Change
in Stake 		Capital Flow
BMY.RT
2601
DELISTED
Bristol-Myers Squibb Company Contingent Value Rights
BMY.RT
– –
-36,136
Closed -$109K
HDS
2602
CALL
DELISTED
HD Supply Holdings, Inc.
HDS
– –
-11,000
Closed -$442K
HDS
2603
DELISTED
HD Supply Holdings, Inc.
HDS
– –
-6,075
Closed -$244K
HDS
2604
PUT
DELISTED
HD Supply Holdings, Inc.
HDS
– –
-6,200
Closed -$249K
VER
2605
DELISTED
VEREIT, Inc.
VER
– –
-7,294
Closed -$337K
VER
2606
PUT
DELISTED
VEREIT, Inc.
VER
– –
-3,780
Closed -$175K
DNKN
2607
CALL
DELISTED
Dunkin' Brands Group, Inc.
DNKN
– –
-23,300
Closed -$1.76M
DNKN
2608
PUT
DELISTED
Dunkin' Brands Group, Inc.
DNKN
– –
-18,200
Closed -$1.38M
HTZ
2609
PUT
DELISTED
Hertz Global Holdings, Inc.
HTZ
– –
-22,700
Closed -$358K
IMMU
2610
CALL
DELISTED
Immunomedics Inc
IMMU
– –
-35,400
Closed -$749K
IMMU
2611
DELISTED
Immunomedics Inc
IMMU
– –
-14,750
Closed -$312K
IMMU
2612
PUT
DELISTED
Immunomedics Inc
IMMU
– –
-16,400
Closed -$347K
CETV
2613
DELISTED
Central European Media Enterprises Ltd
CETV
– –
-18,486
Closed -$84K
AMTD
2614
CALL
DELISTED
TD Ameritrade Holding Corp
AMTD
– –
-17,900
Closed -$890K
AMTD
2615
DELISTED
TD Ameritrade Holding Corp
AMTD
– –
-8,535
Closed -$424K
AMTD
2616
PUT
DELISTED
TD Ameritrade Holding Corp
AMTD
– –
-9,100
Closed -$452K
NBL
2617
DELISTED
Noble Energy, Inc.
NBL
– –
-28,202
Closed -$701K
NBL
2618
PUT
DELISTED
Noble Energy, Inc.
NBL
– –
-34,700
Closed -$862K
ETFC
2619
CALL
DELISTED
E*Trade Financial Corporation
ETFC
– –
-14,900
Closed -$676K
ETFC
2620
DELISTED
E*Trade Financial Corporation
ETFC
– –
-45,642
Closed -$2.07M
ETFC
2621
PUT
DELISTED
E*Trade Financial Corporation
ETFC
– –
-22,500
Closed -$1.02M
JE
2622
DELISTED
Just Energy Group Inc
JE
– –
-573
Closed -$32K
WUBA
2623
CALL
DELISTED
58.com Inc
WUBA
– –
-11,100
Closed -$719K
WUBA
2624
PUT
DELISTED
58.com Inc
WUBA
– –
-4,500
Closed -$291K
VAL
2625
CALL
DELISTED
Valaris plc Class A Ordinary Share
VAL
– –
-51,500
Closed -$338K
103 104
105
106 107

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BCM
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OAM
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NOCM
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TIM
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QIM
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SLT
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RB
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Two Sigma Securities's Q1 2020 Portfolio in Review

As of Q1 2020, Two Sigma Securities held 2,687 positions worth $4.44B, down 70% from $14.8B the previous quarter. Its ten largest holdings account for 50% of the portfolio.

Two Sigma Securities withdrew a net $9.3B in Q1 2020, closing 1,412 positions and reducing 688 holdings. Its most notable exit was iShares 0-1 Year Treasury Bond ETF, an estimated $6.93M position sold in full.

By sector, the portfolio is most concentrated in Financials at 0.71% of assets, up from 0.26% a quarter earlier, followed by Consumer Discretionary and Technology.

Against the trend, Two Sigma Securities opened a new position in State Street Financial Select Sector SPDR ETF worth $6.14M.

  • Two Sigma Securities's largest Q1 2020 buy was State Street Financial Select Sector SPDR ETF: 294,730 shares worth $6.14M.
  • Two Sigma Securities added most to iShares Core S&P 500 ETF in Q1 2020, an estimated $105M increase.
  • Two Sigma Securities's biggest Q1 2020 reduction was State Street SPDR S&P 500 ETF Trust, cutting an estimated $396M.
  • Two Sigma Securities fully exited iShares 0-1 Year Treasury Bond ETF in Q1 2020, selling an estimated $6.93M.
  • Two Sigma Securities's ten largest holdings make up 50% of its $4.44B portfolio in Q1 2020.
  • Two Sigma Securities opened 395 new positions and closed 1,412 in Q1 2020.
  • Two Sigma Securities's portfolio value fell 70% quarter-over-quarter to $4.44B.

Based on Two Sigma Securities's 13F filing for Q1 2020, filed 15 May 2020.