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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
SPY icon
1
CALL
State Street SPDR S&P 500 ETF Trust
SPY
$783B
$778M 17.51%
3,018,600
+974,800
+48% +$297M
SPY icon
2
PUT
State Street SPDR S&P 500 ETF Trust
SPY
$783B
$338M 7.6%
1,309,700
-4,001,000
-75% -$1.22B
QQQ icon
3
PUT
Invesco QQQ Trust
QQQ
$445B
$277M 6.24%
1,456,700
-2,384,500
-62% -$505M
QQQ icon
4
CALL
Invesco QQQ Trust
QQQ
$445B
$228M 5.14%
1,198,500
-511,700
-30% -$108M
IWM icon
5
CALL
iShares Russell 2000 ETF
IWM
$80.4B
$146M 3.28%
1,272,200
-267,900
-17% -$39.9M
DIA icon
6
CALL
State Street SPDR Dow Jones Industrial Average ETF Trust
DIA
$46B
$127M 2.86%
578,900
+93,500
+19% +$24.8M
TSLA icon
7
PUT
Tesla
TSLA
$1.21T
$114M 2.57%
3,273,000
-3,162,000
-49% -$131M
IVV icon
8
iShares Core S&P 500 ETF
IVV
$871B
$89.2M 2.01%
345,227
+342,233
+11,431% +$105M
DIA icon
9
PUT
State Street SPDR Dow Jones Industrial Average ETF Trust
DIA
$46B
$71.8M 1.62%
327,600
-262,300
-44% -$69.7M
IWM icon
10
PUT
iShares Russell 2000 ETF
IWM
$80.4B
$62.1M 1.4%
542,900
-1,022,900
-65% -$153M
AMZN icon
11
PUT
Amazon
AMZN
$2.48T
$49.9M 1.12%
512,000
-2,508,000
-83% -$243M
SRE.PRA
12
DELISTED
Sempra Energy 6% Mandatory Convertible Preferred Stock, Series A
SRE.PRA
$40.6M 0.91%
438,450
+121,250
+38% +$13.8M
NEE.PRO
13
DELISTED
NextEra Energy, Inc. 4.872% Corporate Units
NEE.PRO
$36.9M 0.83%
779,712
+279,712
+56% +$14.4M
CCI.PRA
14
DELISTED
Crown Castle International Corp. 6.875% Mandatory Convertible Preferred Stock, Series A
CCI.PRA
$35.2M 0.79%
28,152
+22,651
+412% +$30M
BDXA
15
DELISTED
Becton, Dickinson and Company Depositary Shares, each Representing a 1/20th Interest in a Share of 6
BDXA
$32.7M 0.74%
625,000
+574,456
+1,137% +$34.8M
IWM icon
16
iShares Russell 2000 ETF
IWM
$80.4B
$30.3M 0.68%
265,015
-25,880
-9% -$3.86M
AMZN icon
17
CALL
Amazon
AMZN
$2.48T
$30.2M 0.68%
310,000
-3,640,000
-92% -$352M
XLV icon
18
PUT
State Street Health Care Select Sector SPDR ETF
XLV
$43.2B
$30.2M 0.68%
340,800
-117,000
-26% -$11.4M
CFXA
19
DELISTED
Colfax Corporation 5.75% Tangible Equity Units
CFXA
$27.7M 0.62%
301,468
+260,213
+631% +$36.1M
FTV.PRA
20
DELISTED
Fortive Corporation 5.00% Mandatory Convertible Preferred Stock, Series A
FTV.PRA
$26M 0.58%
36,101
+21,877
+154% +$19.4M
SOLN
21
DELISTED
The Southern Company
SOLN
$24.3M 0.55%
547,370
+269,515
+97% +$14.1M
BKNG icon
22
CALL
Booking.com
BKNG
$154B
$23.3M 0.52%
432,500
-802,500
-65% -$56.3M
AIZP
23
DELISTED
Assurant, Inc. 6.50% Series D Mandatory Convertible Preferred Stock, $1.00 par value
AIZP
$20.1M 0.45%
188,483
+26,957
+17% +$3.27M
XLV icon
24
CALL
State Street Health Care Select Sector SPDR ETF
XLV
$43.2B
$17M 0.38%
191,600
+12,300
+7% +$1.19M
IQ icon
25
PUT
iQIYI
IQ
$1.21B
$16.2M 0.36%
910,600
-519,400
-36% -$11.7M
1
2 3 4 5

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AWP
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BCM
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OAM
Ophir Asset Management Sydney, Australia $859M AUM 59.08% 1-Year Est. Return
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.