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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
+13.44%
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
$4.22B
AUM Growth
-$670M
Cap. Flow
-$1.51B
Cap. Flow %
-35.7%
Top 10 Hldgs %
46.51%
Holding
2,084
New
814
Increased
393
Reduced
405
Closed
448

Top Buys

Rank Stock Value
1
BDX icon
Becton Dickinson
BDX
+$10.7M
2
PCGU
PG&E Corporation
PCGU
+$4.56M
3
BABA icon
Alibaba
BABA
+$3.29M
4
D icon
Dominion Energy
D
+$3.11M
5
DIA icon
State Street SPDR Dow Jones Industrial Average ETF Trust
DIA
+$3.01M

Top Sells

Rank Stock Value
1
TSLA icon
Tesla
TSLA
+$80M
2
DHR.PRA
Danaher Corporation 4.75% Mandatory Convertible Preferred Stock, Series A
DHR.PRA
+$41.8M
3
SRE.PRA
Sempra Energy 6% Mandatory Convertible Preferred Stock, Series A
SRE.PRA
+$32.9M
4
QTS.PRB
QTS Realty Trust, Inc. 6.50% Series B Cumulative Convertible Perpetual Preferred Stock
QTS.PRB
+$26.4M
5
AIZP
Assurant, Inc. 6.50% Series D Mandatory Convertible Preferred Stock, $1.00 par value
AIZP
+$23.7M

Sector Composition

Rank Sector Weight
1 Healthcare 0.8%
2 Financials 0.67%
3 Technology 0.64%
4 Consumer Discretionary 0.59%
5 Industrials 0.31%
Name Market Value Portfolio Weight Shares or Principal Change
in Stake 		Capital Flow
TSLA icon
1
PUT
Tesla
TSLA
$1.21T
$878M 20.79%
3,732,300
-154,500
-4% -$26.4M
SPY icon
2
PUT
State Street SPDR S&P 500 ETF Trust
SPY
$783B
$283M 6.69%
755,600
-975,100
-56% -$346M
QQQ icon
3
PUT
Invesco QQQ Trust
QQQ
$445B
$204M 4.82%
649,100
-814,600
-56% -$239M
SPY icon
4
CALL
State Street SPDR S&P 500 ETF Trust
SPY
$783B
$153M 3.63%
409,700
-1,104,600
-73% -$392M
IWM icon
5
PUT
iShares Russell 2000 ETF
IWM
$80.4B
$125M 2.97%
639,300
-304,200
-32% -$53.2M
QQQ icon
6
CALL
Invesco QQQ Trust
QQQ
$445B
$105M 2.5%
336,200
-693,000
-67% -$203M
AMZN icon
7
CALL
Amazon
AMZN
$2.48T
$63.8M 1.51%
392,000
-108,000
-22% -$17.2M
IWM icon
8
CALL
iShares Russell 2000 ETF
IWM
$80.4B
$55M 1.3%
280,400
-380,800
-58% -$66.6M
DIA icon
9
PUT
State Street SPDR Dow Jones Industrial Average ETF Trust
DIA
$46B
$50.1M 1.19%
164,000
+92,400
+129% +$26.9M
DIA icon
10
CALL
State Street SPDR Dow Jones Industrial Average ETF Trust
DIA
$46B
$47.1M 1.11%
153,900
+72,000
+88% +$21M
AAPL icon
11
CALL
Apple
AAPL
$4.99T
$46.8M 1.11%
352,400
-44,900
-11% -$5.4M
AMZN icon
12
PUT
Amazon
AMZN
$2.48T
$42M 0.99%
258,000
-142,000
-36% -$22.7M
PCGU
13
DELISTED
PG&E Corporation
PCGU
$39.6M 0.94%
322,343
+40,156
+14% +$4.56M
X
14
PUT
DELISTED
US Steel
X
$34.1M 0.81%
2,031,700
+18,800
+0.9% +$234K
AAPL icon
15
PUT
Apple
AAPL
$4.99T
$30.1M 0.71%
226,700
-93,200
-29% -$11.2M
GOOGL icon
16
CALL
Alphabet (Google) Class A
GOOGL
$4.08T
$28.4M 0.67%
324,000
-32,000
-9% -$2.69M
GOOG icon
17
CALL
Alphabet (Google) Class C
GOOG
$4.07T
$27.3M 0.65%
312,000
-26,000
-8% -$2.19M
NEE.PRO
18
DELISTED
NextEra Energy, Inc. 4.872% Corporate Units
NEE.PRO
$25M 0.59%
421,568
– –
MSFT icon
19
CALL
Microsoft
MSFT
$2.92T
$23.3M 0.55%
104,900
+47,500
+83% +$10.2M
TSLA icon
20
CALL
Tesla
TSLA
$1.21T
$23.1M 0.55%
98,400
-167,400
-63% -$28.6M
AIZ icon
21
PUT
Assurant
AIZ
$14B
$22.7M 0.54%
166,300
– –
GOOG icon
22
PUT
Alphabet (Google) Class C
GOOG
$4.07T
$21.4M 0.51%
244,000
+16,000
+7% +$1.35M
XLK icon
23
PUT
State Street Technology Select Sector SPDR ETF
XLK
$112B
$20.7M 0.49%
318,400
+51,400
+19% +$3.13M
HYG icon
24
PUT
iShares iBoxx $ High Yield Corporate Bond ETF
HYG
$15.9B
$20.6M 0.49%
236,500
+80,200
+51% +$6.87M
SE icon
25
PUT
Sea Limited
SE
$65.8B
$20M 0.47%
100,600
-2,600
-3% -$463K
1
2 3 4 5

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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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Two Sigma Securities's Q4 2020 Portfolio in Review

As of Q4 2020, Two Sigma Securities held 2,084 positions worth $4.22B, down 14% from $4.89B the previous quarter. Its ten largest holdings account for 47% of the portfolio.

Two Sigma Securities withdrew a net $1.51B in Q4 2020, closing 448 positions and reducing 405 holdings. Its most notable exit was Danaher Corporation 4.75% Mandatory Convertible Preferred Stock, Series A, an estimated $41.8M position sold in full.

By sector, the portfolio is most concentrated in Healthcare at 0.8% of assets, up from 0.3% a quarter earlier, followed by Financials and Technology.

Against the trend, Two Sigma Securities opened a new position in Dominion Energy worth $2.94M.

  • Two Sigma Securities's largest Q4 2020 buy was Dominion Energy: 39,163 shares worth $2.94M.
  • Two Sigma Securities added most to Becton Dickinson in Q4 2020, an estimated $10.7M increase.
  • Two Sigma Securities's biggest Q4 2020 reduction was Tesla, cutting an estimated $80M.
  • Two Sigma Securities fully exited Danaher Corporation 4.75% Mandatory Convertible Preferred Stock, Series A in Q4 2020, selling an estimated $41.8M.
  • Two Sigma Securities's ten largest holdings make up 47% of its $4.22B portfolio in Q4 2020.
  • Two Sigma Securities opened 814 new positions and closed 448 in Q4 2020.
  • Two Sigma Securities's portfolio value fell 14% quarter-over-quarter to $4.22B.

Based on Two Sigma Securities's 13F filing for Q4 2020, filed 16 Feb 2021.