ELLINGTON MANAGEMENT GROUP LLC

CIK

1098490

Location

OLD GREENWICH, CT

Portfolio Value

Small $267,299,660

Diversification

Diversified

Filing Date

Global Rank

#3,289 / 6,045 ▼ 107 · as of Jun 2021

Top Industry

Entertainment 32.8%

Period ended 5 years ago

Filed Aug 16, 2021 · 5y

6 quarters · since Mar 2020

Clone Performance

Build a hypothetical price-return history from this filer's public 13F holdings.

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Portfolio Concentration

54 tracked positions · as of Jun 30, 2021 · Δ vs Mar 31, 2021

Top Position

26.0%

−6.1 pts

Top 5

56.9%

−20.4 pts

Top 10

74.6%

−12.9 pts

HHI

1,017

Diversified−920

Portfolio Trend

6 quarters · across all stocks

Sector Breakdown

As of Jun 30, 2021

Sector	% Portfolio	Value	Positions
Communication Services	28.7%	$76,632,959	4
Real Estate	19.1%	$50,962,947	8
Unclassified	13.7%	$36,735,870	14
Consumer Cyclical	12.3%	$32,847,036	9
Industrials	10.6%	$28,446,610	3
Financial Services	6.3%	$16,847,873	3
Consumer Defensive	4.7%	$12,658,703	5
Energy	3.5%	$9,252,214	5
Healthcare	0.9%	$2,447,206	2
Basic Materials	0.2%	$468,242	1

Last Quarter's Activity

Export CSV

Jun 30, 2021 vs Mar 31, 2021

Added To

Positions the filer increased

7 positions

Ticker	Company	Δ Shares	Shares	Value
MFA	Mfa Financial, Inc.	+782,737	1,411,968	$6,480,933
PFSI	PennyMac Financial Services, Inc.	+125,935	187,278	$11,558,798
—		+54,593	110,714	$0
WYNN	Wynn Resorts Ltd	+12,983	15,792	$1,931,361
NBR	Nabors Industries Ltd	+7,033	16,360	$1,868,966
EFC	Ellington Financial Inc.	+637	850,887	$16,294,486
APA	APA Corp	+305	57,198	$1,237,192
No positions match the current search.

Trimmed

Positions the filer reduced

6 positions

Ticker	Company	Δ Shares	Shares	Value
AAXJ	iShares MSCI All Country Asia ex Japan ETF	−1,591,624	1,962,176	$0
SPY	Spdr S&P 500 ETF Trust	−178,000	32,000	$13,697,920
RC	Ready Capital Corp	−162,455	138,745	$2,201,883
QQQ	Invesco Qqq Trust, Series 1	−160,000	65,000	$23,037,950
LUMN	Lumen Technologies, Inc.	−54,035	65,965	$896,464
RPT	Rithm Property Trust Inc.	−8,398	391,699	$5,084,253
No positions match the current search.

New Positions

Positions the filer opened this quarter

25 positions

Ticker	Company	Shares	Value
AMC	Amc Entertainment Holdings, Inc.	1,225,000	$69,433,000
CAR	Avis Budget Group, Inc.	315,400	$24,566,506
RITM	Rithm Capital Corp.	1,759,306	$18,631,050
KSS	KOHLS Corp	147,495	$8,128,449
LEA	Lear Corp	42,528	$7,454,307
F	Ford Motor Co	382,500	$5,683,950
NWSA	News Corp	213,500	$5,501,895
BWA	Borgwarner Inc	101,000	$4,902,543
STT	State Street Corp	110,000	$4,035,900
COTY	Coty Inc.	380,000	$3,549,200
CPB	CAMPBELL'S Co	64,700	$2,949,673
GEL	Genesis Energy LP	240,000	$2,786,400
HLF	Herbalife Ltd.	50,000	$2,636,500
PBI	Pitney Bowes Inc /De/	300,000	$2,631,000
CAG	Conagra Brands Inc.	55,779	$2,029,240
HAS	Hasbro, Inc.	20,318	$1,920,457
BHC	Bausch Health Companies Inc.	60,000	$1,759,200
GM	General Motors Co	28,519	$1,687,469
KR	Kroger Co	39,000	$1,494,090
ORC	Orchid Island Capital, Inc.	284,925	$1,478,760
EARN	Ellington Credit Co	106,472	$1,253,175
TWI	Titan International Inc	147,300	$1,249,104
EQT	EQT Corp	53,472	$1,190,286
AMCX	AMC Global Media Inc.	12,000	$801,600
CYH	Community Health Systems Inc	44,560	$688,006
No positions match the current search.

Sold Out

Positions the filer fully exited

21 positions

Ticker	Company	Shares	Value
AGNC	AGNC Investment Corp.	1,143,372	$19,162,914
MTG	Mgic Investment Corp	903,600	$12,514,860
NLY	Annaly Capital Management Inc	900,000	$7,740,000
ESNT	Essent Group Ltd.	120,000	$5,698,800
TDG	TransDigm Group INC	7,500	$4,409,400
AAL	American Airlines Group Inc.	153,000	$3,656,700
KHC	Kraft Heinz Co	65,000	$2,600,000
EXPE	Expedia Group, Inc.	14,400	$2,478,528
CCL	Carnival Corp Ltd.	87,500	$2,322,250
ABR	Arbor Realty Trust Inc	128,358	$2,040,892
CHTR	Charter Communications, Inc. /Mo/	1,706	$1,052,636
PFE	Pfizer Inc	22,536	$816,479
RWT	Redwood Trust Inc	70,710	$736,091
BDX	Becton Dickinson & Co	2,922	$710,484
DVN	Devon Energy Corp/De	32,187	$703,285
LFT	Lument Finance Trust, Inc.	181,858	$641,958
GPMT	Granite Point Mortgage Trust Inc.	46,991	$562,482
MSFT	Microsoft Corp	2,048	$482,856
AAPL	Apple Inc.	1,876	$229,153
—		33,000	$0
XLBI	State Street Materials Select Sector SPDR Premium Income ETF	344,300	$0
No positions match the current search.

Portfolio Positions

Compact Export CSV View 13F filing

54 tracked positions · $267,299,660 total · filing declares 176 positions · $675,570,000 · as of Jun 30, 2021

All sectors Basic Materials Communication Services Consumer Cyclical Consumer Defensive Energy Financial Services Healthcare Industrials Real Estate

Showing 1–50 of 54 positions by value · page 1 of 2

Ticker	Company	Type	Shares	Δ Shares	Value (USD)	% Δ Value	% of Portfolio
AMC	Amc Entertainment Holdings, Inc. PUT Communication Services	NEW	1,225,000	NEW	$69,433,000	NEW	25.98%
CAR	Avis Budget Group, Inc. PUT Industrials	NEW	315,400	NEW	$24,566,506	NEW	9.19%
QQQ	Invesco Qqq Trust, Series 1 PUT	Reduced	65,000	-160,000	$23,037,950	−67.9%	8.62%
RITM	Rithm Capital Corp. Real Estate	NEW	1,759,306	NEW	$18,631,050	NEW	6.97%
EFC	Ellington Financial Inc. Real Estate	Added	850,887	+637	$16,294,486	+19.7%	6.10%
SPY	Spdr S&P 500 ETF Trust PUT	Reduced	32,000	-178,000	$13,697,920	−83.5%	5.12%
PFSI	PennyMac Financial Services, Inc. Financial Services	Added	187,278	+125,935	$11,558,798	+181.8%	4.32%
KSS	KOHLS Corp CALL + SHARES Consumer Cyclical	NEW	147,495	NEW	$8,128,449	NEW	3.04%
LEA	Lear Corp CALL + SHARES Consumer Cyclical	NEW	42,528	NEW	$7,454,307	NEW	2.79%
MFA	Mfa Financial, Inc. Real Estate	Added	1,411,968	+782,737	$6,480,933	+153.1%	2.42%
F	Ford Motor Co PUT CALL Consumer Cyclical	NEW	382,500	NEW	$5,683,950	NEW	2.13%
NWSA	News Corp PUT Communication Services	NEW	213,500	NEW	$5,501,895	NEW	2.06%
RPT	Rithm Property Trust Inc. Real Estate	Reduced	391,699	-8,398	$5,084,253	+16.6%	1.90%
BWA	Borgwarner Inc CALL Consumer Cyclical	NEW	101,000	NEW	$4,902,543	NEW	1.83%
STT	State Street Corp PUT + SHARES Financial Services	NEW	110,000	NEW	$4,035,900	NEW	1.51%
COTY	Coty Inc. PUT Consumer Defensive	NEW	380,000	NEW	$3,549,200	NEW	1.33%
CPB	CAMPBELL'S Co Consumer Defensive	NEW	64,700	NEW	$2,949,673	NEW	1.10%
GEL	Genesis Energy LP PUT CALL Energy	NEW	240,000	NEW	$2,786,400	NEW	1.04%
HLF	Herbalife Ltd. PUT Consumer Defensive	NEW	50,000	NEW	$2,636,500	NEW	0.99%
PBI	Pitney Bowes Inc /De/ PUT Industrials	NEW	300,000	NEW	$2,631,000	NEW	0.98%
RC	Ready Capital Corp Real Estate	Reduced	138,745	-162,455	$2,201,883	−45.5%	0.82%
KMI	Kinder Morgan, Inc. Energy	Held	119,000	0	$2,169,370	+9.5%	0.81%
CAG	Conagra Brands Inc. Consumer Defensive	NEW	55,779	NEW	$2,029,240	NEW	0.76%
WYNN	Wynn Resorts Ltd Consumer Cyclical	Added	15,792	+12,983	$1,931,361	+448.4%	0.72%
HAS	Hasbro, Inc. Consumer Cyclical	NEW	20,318	NEW	$1,920,457	NEW	0.72%
NBR	Nabors Industries Ltd Energy	Added	16,360	+7,033	$1,868,966	+114.4%	0.70%
BHC	Bausch Health Companies Inc. CALL Healthcare	NEW	60,000	NEW	$1,759,200	NEW	0.66%
GM	General Motors Co Consumer Cyclical	NEW	28,519	NEW	$1,687,469	NEW	0.63%
KR	Kroger Co Consumer Defensive	NEW	39,000	NEW	$1,494,090	NEW	0.56%
ORC	Orchid Island Capital, Inc. Real Estate	NEW	284,925	NEW	$1,478,760	NEW	0.55%
EARN	Ellington Credit Co Financial Services	NEW	106,472	NEW	$1,253,175	NEW	0.47%
TWI	Titan International Inc PUT Industrials	NEW	147,300	NEW	$1,249,104	NEW	0.47%
APA	APA Corp Energy	Added	57,198	+305	$1,237,192	+21.5%	0.46%
EQT	EQT Corp Energy	NEW	53,472	NEW	$1,190,286	NEW	0.45%
DCH	Dauch Corp CALL Consumer Cyclical	Held	110,000	0	$1,138,500	+7.1%	0.43%
LUMN	Lumen Technologies, Inc. Communication Services	Reduced	65,965	-54,035	$896,464	−44.0%	0.34%
AMCX	AMC Global Media Inc. CALL Communication Services	NEW	12,000	NEW	$801,600	NEW	0.30%
CYH	Community Health Systems Inc Healthcare	NEW	44,560	NEW	$688,006	NEW	0.26%
DHC	Diversified Healthcare Trust Real Estate	NEW	137,619	NEW	$575,247	NEW	0.22%
CLW	Clearwater Paper Corp Basic Materials	NEW	16,163	NEW	$468,242	NEW	0.18%
SPG	Simon Property Group Inc. Real Estate	NEW	1,658	NEW	$216,335	NEW	0.08%
		NEW	19,151	NEW	$0	NEW	0.00%
		Held	10,000	0	$0	—	0.00%
		NEW	400,000	NEW	$0	NEW	0.00%
BWX	State Street SPDR Bloomberg International Treasury Bond ETF	NEW	338,000	NEW	$0	NEW	0.00%
		NEW	50,000	NEW	$0	NEW	0.00%
		NEW	36,263	NEW	$0	NEW	0.00%
		NEW	29,208	NEW	$0	NEW	0.00%
		Added	110,714	+54,593	$0	—	0.00%
		NEW	59,000	NEW	$0	NEW	0.00%

Covers the securities this platform tracks: U.S.-listed common stock and the put/call positions reported on it. A 13F can also report security types outside that coverage — preferred shares, bonds, warrants, untracked share classes — so the filing's own declared total can exceed the figures above. The source filing is linked at the top of this table.