ELLINGTON MANAGEMENT GROUP LLC

CIK

1098490

Location

OLD GREENWICH, CT

Portfolio Value

Small $180,199,889

Diversification

Diversified

Filing Date

Global Rank

#3,374 / 5,928 ▼ 593 · as of Jun 2021

Top Industry

REIT - Mortgage 25.9%

3Y Alpha vs SPY

-13.6%

Period ended 5 years ago

Filed Aug 16, 2021 · 4y

6 quarters · since Mar 2020

Clone Performance

Jul 2023–Jul 2026 · vs SPY

Hypothetical growth of cloning every reported 13F position and rebalancing on each filing, indexed to the same start.

Cloned portfolio

+22.1%

SPY

+76.5%

Annualised alpha

-14.0%

Max drawdown

−22.1%

Estimate. 13F holdings are quarter-lagged and long-only, so the clone rebalances about 45 days after each period end — when the filing becomes public — and excludes options and short positions. Past performance does not predict future results.

Portfolio Concentration

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

Top Position

13.6%

−20.4 pts

Top 5

53.4%

−28.6 pts

Top 10

74.7%

−16.3 pts

HHI

726

Diversified−1,440

Portfolio Trend

6 quarters · across all stocks

Sector Breakdown

As of Jun 30, 2021

Sector	% Portfolio	Value	Positions
Real Estate	21.0%	$37,919,001	5
Unclassified	20.4%	$36,735,870	2
Consumer Cyclical	17.9%	$32,260,111	8
Industrials	15.8%	$28,446,610	3
Financial Services	7.1%	$12,811,973	2
Consumer Defensive	7.0%	$12,658,703	5
Energy	5.1%	$9,252,214	5
Communication Services	4.0%	$7,199,959	3
Healthcare	1.4%	$2,447,206	2
Basic Materials	0.3%	$468,242	1

Last Quarter's Activity

Export CSV

Jun 30, 2021 vs Mar 31, 2021

Added To

Positions the filer increased

5 positions

Ticker	Company	Δ Shares	Shares	Value
PFSI	PennyMac Financial Services, Inc.	+125,935	187,278	$11,558,798
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

4 positions

Ticker	Company	Δ Shares	Shares	Value
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
No positions match the current search.

New Positions

Positions the filer opened this quarter

25 positions

Ticker	Company	Shares	Value
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	$4,315,618
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
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
DHC	Diversified Healthcare Trust	137,619	$575,247
CLW	Clearwater Paper Corp	16,163	$468,242
SPG	Simon Property Group Inc.	1,658	$216,335
No positions match the current search.

Sold Out

Positions the filer fully exited

18 positions

Ticker	Company	Shares	Value
AGNC	AGNC Investment Corp.	1,143,372	$19,162,914
MTG	Mgic Investment Corp	903,600	$12,514,860
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
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
BDX	Becton Dickinson & Co	2,922	$544,933
MSFT	Microsoft Corp	2,048	$482,856
AAPL	Apple Inc.	1,876	$229,153
No positions match the current search.

Portfolio Positions

Compact Export CSV View 13F filing

36 positions · $180,199,889 total · as of Jun 30, 2021

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

Ticker	Company	Type	Shares	Δ Shares	Value (USD)	% Δ Value	% of Portfolio
CAR	Avis Budget Group, Inc. Industrials	NEW	315,400	NEW	$24,566,506	NEW	13.63%
QQQ	Invesco Qqq Trust, Series 1	Reduced	65,000	-160,000	$23,037,950	−67.9%	12.78%
RITM	Rithm Capital Corp. Real Estate	NEW	1,759,306	NEW	$18,631,050	NEW	10.34%
EFC	Ellington Financial Inc. Real Estate	Added	850,887	+637	$16,294,486	+19.7%	9.04%
SPY	Spdr S&P 500 ETF Trust	Reduced	32,000	-178,000	$13,697,920	−83.5%	7.60%
PFSI	PennyMac Financial Services, Inc. Financial Services	Added	187,278	+125,935	$11,558,798	+181.8%	6.41%
KSS	KOHLS Corp Consumer Cyclical	NEW	147,495	NEW	$8,128,449	NEW	4.51%
LEA	Lear Corp Consumer Cyclical	NEW	42,528	NEW	$7,454,307	NEW	4.14%
F	Ford Motor Co Consumer Cyclical	NEW	382,500	NEW	$5,683,950	NEW	3.15%
NWSA	News Corp Communication Services	NEW	213,500	NEW	$5,501,895	NEW	3.05%
BWA	Borgwarner Inc Consumer Cyclical	NEW	101,000	NEW	$4,315,618	NEW	2.39%
COTY	Coty Inc. Consumer Defensive	NEW	380,000	NEW	$3,549,200	NEW	1.97%
CPB	CAMPBELL'S Co Consumer Defensive	NEW	64,700	NEW	$2,949,673	NEW	1.64%
GEL	Genesis Energy LP Energy	NEW	240,000	NEW	$2,786,400	NEW	1.55%
HLF	Herbalife Ltd. Consumer Defensive	NEW	50,000	NEW	$2,636,500	NEW	1.46%
PBI	Pitney Bowes Inc /De/ Industrials	NEW	300,000	NEW	$2,631,000	NEW	1.46%
RC	Ready Capital Corp Real Estate	Reduced	138,745	-162,455	$2,201,883	−45.5%	1.22%
KMI	Kinder Morgan, Inc. Energy	Held	119,000	0	$2,169,370	+9.5%	1.20%
CAG	Conagra Brands Inc. Consumer Defensive	NEW	55,779	NEW	$2,029,240	NEW	1.13%
WYNN	Wynn Resorts Ltd Consumer Cyclical	Added	15,792	+12,983	$1,931,361	+448.4%	1.07%
HAS	Hasbro, Inc. Consumer Cyclical	NEW	20,318	NEW	$1,920,457	NEW	1.07%
NBR	Nabors Industries Ltd Energy	Added	16,360	+7,033	$1,868,966	+114.4%	1.04%
BHC	Bausch Health Companies Inc. Healthcare	NEW	60,000	NEW	$1,759,200	NEW	0.98%
GM	General Motors Co Consumer Cyclical	NEW	28,519	NEW	$1,687,469	NEW	0.94%
KR	Kroger Co Consumer Defensive	NEW	39,000	NEW	$1,494,090	NEW	0.83%
EARN	Ellington Credit Co Financial Services	NEW	106,472	NEW	$1,253,175	NEW	0.70%
TWI	Titan International Inc Industrials	NEW	147,300	NEW	$1,249,104	NEW	0.69%
APA	APA Corp Energy	Added	57,198	+305	$1,237,192	+21.5%	0.69%
EQT	EQT Corp Energy	NEW	53,472	NEW	$1,190,286	NEW	0.66%
DCH	Dauch Corp Consumer Cyclical	Held	110,000	0	$1,138,500	+7.1%	0.63%
LUMN	Lumen Technologies, Inc. Communication Services	Reduced	65,965	-54,035	$896,464	−44.0%	0.50%
AMCX	AMC Global Media Inc. Communication Services	NEW	12,000	NEW	$801,600	NEW	0.44%
CYH	Community Health Systems Inc Healthcare	NEW	44,560	NEW	$688,006	NEW	0.38%
DHC	Diversified Healthcare Trust Real Estate	NEW	137,619	NEW	$575,247	NEW	0.32%
CLW	Clearwater Paper Corp Basic Materials	NEW	16,163	NEW	$468,242	NEW	0.26%
SPG	Simon Property Group Inc. Real Estate	NEW	1,658	NEW	$216,335	NEW	0.12%