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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
TLRD
2626
CALL
DELISTED
Tailored Brands, Inc.
TLRD
– –
-10,000
Closed -$41K
ENT
2627
DELISTED
Global Eagle Entertainment Inc.
ENT
– –
-716
Closed -$9K
DNR
2628
DELISTED
Denbury Resources, Inc.
DNR
– –
-67,387
Closed -$95K
LM
2629
CALL
DELISTED
Legg Mason, Inc.
LM
– –
-7,100
Closed -$255K
PTLA
2630
CALL
DELISTED
Portola Pharmaceuticals, Inc.
PTLA
– –
-16,900
Closed -$404K
PTLA
2631
DELISTED
Portola Pharmaceuticals, Inc.
PTLA
– –
-28,975
Closed -$692K
PTLA
2632
PUT
DELISTED
Portola Pharmaceuticals, Inc.
PTLA
– –
-12,200
Closed -$291K
GNC
2633
DELISTED
GNC Holdings, Inc.
GNC
– –
-15,704
Closed -$42K
LK
2634
CALL
DELISTED
Luckin Coffee Inc. American Depositary Shares
LK
– –
-211,500
Closed -$8.32M
LK
2635
PUT
DELISTED
Luckin Coffee Inc. American Depositary Shares
LK
– –
-185,200
Closed -$7.29M
AGN
2636
DELISTED
Allergan plc
AGN
– –
-5,492
Closed -$1.03M
TSG
2637
CALL
DELISTED
The Stars Group Inc.
TSG
– –
-11,000
Closed -$287K
TGE
2638
DELISTED
Tallgrass Energy, LP Class A Shares
TGE
– –
-10,056
Closed -$222K
GMZ
2639
DELISTED
Goldman Sachs MLP Income Opportunities Fund
GMZ
– –
-2,441
Closed -$104K
RTN
2640
DELISTED
Raytheon Company
RTN
– –
-3,272
Closed -$648K
S
2641
DELISTED
Sprint Corporation
S
– –
-40,464
Closed -$211K
IBDC
2642
DELISTED
iShares iBonds Mar 2020 Term Corporate ETF
IBDC
– –
-8,358
Closed -$218K
GASL
2643
DELISTED
Direxion Daily Natural Gas Related Bull 3X Shares
GASL
– –
-125
Closed -$122K
AKS
2644
DELISTED
AK Steel Holding Corp
AKS
– –
-104,235
Closed -$343K
ZAYO
2645
DELISTED
Zayo Group Holdings, Inc.
ZAYO
– –
-20,824
Closed -$722K
DERM
2646
DELISTED
Dermira, Inc.
DERM
– –
-29,619
Closed -$449K
BWMCU
2647
DELISTED
Boxwood Merger Corp. Unit
BWMCU
– –
-11,658
Closed -$115K
VRTSP
2648
DELISTED
Virtus Investment Partners, Inc. 7.25% Series D Mandatory Convertible Preferred Stock
VRTSP
– –
-12,905
Closed -$1.31M
CFRX
2649
DELISTED
ContraFect Corporation
CFRX
– –
-56
Closed -$28K
ESTRW
2650
DELISTED
Estre Ambiental, Inc
ESTRW
– –
-10,370
Closed –
104 105
106
107 108

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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.