Quantitative Systematic Strategies LLC

CIK

1591902

Location

BABYLON, NY

Portfolio Value

Small $230,123,316

Diversification

Diversified

Filing Date

Global Rank

#2,975 / 5,923 ▼ 1096

Top Industry

Utilities - Regulated Electric 4.9%

3Y Alpha vs SPY

-7.7%

Period ended 4 years ago

Filed Aug 11, 2021 · 4y

6 quarters · since Mar 2020

Clone Performance

Jun 2023–Jun 2026 · vs SPY

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

Cloned portfolio

+44.7%

SPY

+76.3%

Annualised alpha

-7.7%

Max drawdown

−19.7%

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

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

Top Position

2.8%

+1.5 pts

Top 5

7.1%

+1.6 pts

Top 10

11.3%

+1.1 pts

HHI

Diversified+4

Portfolio Trend

6 quarters · across all stocks

Sector Breakdown

As of Jun 30, 2021

Sector	% Portfolio	Value	Positions
Healthcare	18.1%	$41,586,363	59
Consumer Cyclical	12.9%	$29,612,096	50
Industrials	11.7%	$26,923,278	47
Financial Services	11.3%	$25,898,847	46
Real Estate	10.5%	$24,118,759	36
Technology	9.6%	$22,081,259	42
Consumer Defensive	7.4%	$17,113,429	22
Utilities	6.6%	$15,252,368	18
Basic Materials	6.5%	$14,919,761	23
Communication Services	4.7%	$10,832,715	17
Energy	0.5%	$1,103,125	2
Unclassified	0.3%	$681,316	1

Last Quarter's Activity

Export CSV

Jun 30, 2021 vs Mar 31, 2021

Added To

Positions the filer increased

25 positions

Ticker	Company	Δ Shares	Shares	Value
NNN	Nnn REIT, Inc.	+25,204	33,626	$1,576,386
PPL	PPL Corp	+20,660	28,569	$799,074
AKR	Acadia Realty Trust	+18,938	35,732	$784,674
BTI	British American Tobacco p.l.c.	+13,619	19,469	$765,326
FOLD	AMICUS THERAPEUTICS, INC.	+13,463	33,417	$322,139
LW	Lamb Weston Holdings, Inc.	+10,753	17,120	$1,380,899
FOXA	Fox Corp	+10,405	16,098	$597,718
BRX	Brixmor Property Group Inc.	+8,512	32,082	$734,356
WLK	Westlake Corp	+6,727	18,308	$1,649,367
AER	AerCap Holdings N.V.	+5,250	11,583	$593,165
COP	Conocophillips	+4,269	11,325	$689,692
EPRT	Essential Properties Realty Trust, Inc.	+4,134	13,368	$361,470
T	At&T Inc.	+3,984	19,080	$414,745
TU	Telus Corp	+3,883	83,643	$1,876,112
LNC	Lincoln National Corp	+3,444	6,864	$431,333
VYX	NCR Voyix Corp	+2,612	26,581	$743,778
CPRT	Copart Inc	+2,089	5,144	$169,533
WELL	Welltower Inc.	+1,977	6,992	$581,035
MCHP	Microchip Technology Inc	+1,927	5,543	$415,004
TGT	Target Corp	+1,815	4,788	$1,157,451
GH	Guardant Health, Inc.	+1,747	5,963	$740,544
RLAY	Relay Therapeutics, Inc.	+1,579	8,246	$301,721
MIDD	MIDDLEBY Corp	+1,457	2,957	$512,329
AAL	American Airlines Group Inc.	+1,098	23,075	$489,420
RCL	Royal Caribbean Cruises Ltd	+1,055	3,590	$306,155
No positions match the current search.

Trimmed

Positions the filer reduced

25 positions

Ticker	Company	Δ Shares	Shares	Value
TROX	Tronox Holdings plc	−116,959	36,700	$822,080
KEY	Keycorp /New/	−91,519	71,520	$1,476,888
IRT	Independence Realty Trust, Inc.	−91,301	16,333	$297,750
VALE	Vale S.A.	−87,406	34,650	$790,366
PDM	Piedmont Realty Trust, Inc.	−86,598	56,614	$1,045,660
INVH	Invitation Homes Inc.	−84,483	47,164	$1,758,745
NOMD	Nomad Foods Ltd	−75,270	16,612	$469,621
OEC	Orion S.A.	−74,002	24,979	$474,351
ORI	Old Republic International Corp	−69,391	29,397	$732,279
DOC	Healthpeak Properties, Inc.	−69,229	37,021	$1,232,429
CSCO	Cisco Systems, Inc.	−63,770	4,649	$246,397
HUN	Huntsman CORP	−59,365	48,519	$1,286,723
FHN	First Horizon Corp	−57,354	57,567	$994,757
EXC	Exelon Corp	−57,057	24,870	$786,013
ADC	Agree Realty Corp	−55,922	8,754	$617,069
RTX	RTX Corp	−53,595	14,225	$1,213,534
EQH	Equitable Holdings, Inc.	−51,629	19,038	$579,707
NVST	Envista Holdings Corp	−50,661	44,566	$1,925,696
NCLH	Norwegian Cruise Line Holdings Ltd.	−46,962	20,825	$612,463
BRSL	Brightstar Lottery PLC	−45,745	33,351	$799,089
KO	Coca Cola Co	−44,651	20,277	$1,097,188
HIW	Highwoods Properties, Inc.	−44,034	15,529	$701,444
AKBA	Akebia Therapeutics, Inc.	−40,635	18,732	$70,994
FBP	First Bancorp /Pr/	−38,730	29,553	$352,271
CF	CF Industries Holdings, Inc.	−36,146	12,347	$635,253
No positions match the current search.

New Positions

Positions the filer opened this quarter

25 positions

Ticker	Company	Shares	Value
AGL	agilon health, inc.	6,350	$6,440,487
HUM	Humana Inc	5,807	$2,570,875
NTR	Nutrien Ltd.	32,597	$1,975,704
TXRH	Texas Roadhouse, Inc.	17,586	$1,691,773
CMCSA	Comcast Corp	30,906	$1,651,601
MKC	Mccormick & Co Inc	17,170	$1,516,454
RSG	Republic Services, Inc.	13,055	$1,436,180
PFGC	Performance Food Group Co	27,339	$1,325,668
CRM	Salesforce, Inc.	5,277	$1,289,012
IP	International Paper Co /New/	21,609	$1,254,590
NI	Nisource Inc.	48,730	$1,193,885
ADI	Analog Devices Inc	6,833	$1,176,369
AJG	Arthur J. Gallagher & Co.	7,933	$1,111,254
COTY	Coty Inc.	114,832	$1,072,530
STT	State Street Corp	12,828	$1,055,487
PKG	Packaging Corp Of America	7,523	$1,018,764
CZR	Caesars Entertainment, Inc.	9,351	$970,166
OGE	Oge Energy Corp.	28,650	$964,072
BNY	Bank of New York Mellon Corp	18,816	$963,943
RH	Rh	1,397	$948,563
IFF	International Flavors & Fragrances Inc	6,290	$939,726
A	Agilent Technologies, Inc.	6,247	$923,369
TMO	Thermo Fisher Scientific Inc.	1,585	$799,584
CSX	Csx Corp	24,440	$784,035
URI	United Rentals, Inc.	2,444	$779,660
No positions match the current search.

Sold Out

Positions the filer fully exited

25 positions

Ticker	Company	Shares	Value
MRK	Merck & Co., Inc.	72,854	$5,359,081
BAC	Bank Of America Corp /De/	89,902	$3,478,308
NXPI	NXP Semiconductors N.V.	15,255	$3,071,441
CNP	Centerpoint Energy Inc	134,234	$3,040,400
FDX	Fedex Corp	10,596	$3,009,687
CNC	Centene Corp	45,231	$2,890,713
BDX	Becton Dickinson & Co	14,516	$2,707,136
CAT	Caterpillar Inc	11,563	$2,681,112
MO	Altria Group, Inc.	49,265	$2,520,397
AWK	American Water Works Company, Inc.	16,497	$2,473,230
ADBE	Adobe Inc.	5,182	$2,463,367
NKE	NIKE, Inc.	17,451	$2,319,063
D	Dominion Energy, Inc	29,854	$2,267,709
DIS	Walt Disney Co	11,690	$2,157,038
COLD	Americold Realty Trust	55,078	$2,118,850
GS	Goldman Sachs Group Inc	6,351	$2,076,777
POR	Portland General Electric Co /Or/	43,579	$2,068,695
CVS	CVS HEALTH Corp	27,346	$2,057,239
CC	Chemours Co	71,290	$1,989,703
TSM	Taiwan Semiconductor Manufacturing Co Ltd	16,070	$1,900,759
SYY	Sysco Corp	23,575	$1,856,295
LVS	Las Vegas Sands Corp	30,255	$1,838,293
WYNN	Wynn Resorts Ltd	13,874	$1,739,383
HAE	Haemonetics Corp	14,666	$1,628,072
ELAN	Elanco Animal Health Inc	51,497	$1,516,586
No positions match the current search.

Portfolio Positions

Compact Export CSV View 13F filing

363 positions · $230,123,316 total · as of Jun 30, 2021

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

Showing 1–50 of 363 positions by value · page 1 of 8

Ticker	Company	Type	Shares	Δ Shares	Value (USD)	% Δ Value	% of Portfolio
AGL	agilon health, inc. Healthcare	NEW	6,350	NEW	$6,440,487	NEW	2.80%
AEP	American Electric Power Co Inc Utilities	Reduced	30,939	-23,333	$2,617,130	−43.1%	1.14%
HUM	Humana Inc Healthcare	NEW	5,807	NEW	$2,570,875	NEW	1.12%
MDT	Medtronic plc Healthcare	Reduced	20,070	-23,586	$2,491,289	−51.7%	1.08%
UDR	UDR, Inc. Real Estate	Reduced	46,287	-35,648	$2,267,137	−36.9%	0.99%
NTR	Nutrien Ltd. Basic Materials	NEW	32,597	NEW	$1,975,704	NEW	0.86%
META	Meta Platforms, Inc. Communication Services	Reduced	5,680	-16,699	$1,974,992	−70.0%	0.86%
NVST	Envista Holdings Corp Healthcare	Reduced	44,566	-50,661	$1,925,696	−50.4%	0.84%
TU	Telus Corp Communication Services	Added	83,643	+3,883	$1,876,112	+18.0%	0.82%
INVH	Invitation Homes Inc. Real Estate	Reduced	47,164	-84,483	$1,758,745	−58.2%	0.76%
MSFT	Microsoft Corp Technology	Reduced	6,284	-13,357	$1,702,335	−63.2%	0.74%
TXRH	Texas Roadhouse, Inc. Consumer Cyclical	NEW	17,586	NEW	$1,691,773	NEW	0.74%
CMCSA	Comcast Corp Communication Services	NEW	30,906	NEW	$1,651,601	NEW	0.72%
WLK	Westlake Corp Basic Materials	Added	18,308	+6,727	$1,649,367	+60.4%	0.72%
NNN	Nnn REIT, Inc. Real Estate	Added	33,626	+25,204	$1,576,386	+324.7%	0.69%
MKC	Mccormick & Co Inc Consumer Defensive	NEW	17,170	NEW	$1,516,454	NEW	0.66%
EVRG	Evergy, Inc. Utilities	Reduced	25,005	-17,642	$1,511,052	−40.5%	0.66%
KEY	Keycorp /New/ Financial Services	Reduced	71,520	-91,519	$1,476,888	−54.7%	0.64%
CRL	Charles River Laboratories International, Inc. Healthcare	Reduced	3,922	-16,290	$1,450,826	−75.2%	0.63%
RACE	Ferrari N.V. Consumer Cyclical	Reduced	7,024	-10,671	$1,447,295	−60.9%	0.63%
RSG	Republic Services, Inc. Industrials	NEW	13,055	NEW	$1,436,180	NEW	0.62%
LW	Lamb Weston Holdings, Inc. Consumer Defensive	Added	17,120	+10,753	$1,380,899	+179.9%	0.60%
PZZA	Papa Johns International Inc Consumer Cyclical	Reduced	12,835	-21,482	$1,340,487	−55.9%	0.58%
PFGC	Performance Food Group Co Consumer Defensive	NEW	27,339	NEW	$1,325,668	NEW	0.58%
GPN	Global Payments Inc Industrials	Reduced	7,032	-12,545	$1,318,781	−66.6%	0.57%
CRM	Salesforce, Inc. Technology	NEW	5,277	NEW	$1,289,012	NEW	0.56%
HUN	Huntsman CORP Basic Materials	Reduced	48,519	-59,365	$1,286,723	−58.6%	0.56%
EHC	Encompass Health Corp Healthcare	Reduced	20,471	-27,888	$1,270,765	−59.7%	0.55%
PEP	Pepsico Inc Consumer Defensive	Reduced	8,480	-25,338	$1,256,481	−73.7%	0.55%
IP	International Paper Co /New/ Consumer Cyclical	NEW	21,609	NEW	$1,254,590	NEW	0.55%
AMAT	Applied Materials Inc /De Technology	Reduced	8,800	-23,108	$1,253,120	−70.6%	0.54%
DOC	Healthpeak Properties, Inc. Real Estate	Reduced	37,021	-69,229	$1,232,429	−63.5%	0.54%
OTIS	Otis Worldwide Corp Industrials	Reduced	15,056	-1,932	$1,231,129	+5.9%	0.53%
RTX	RTX Corp Industrials	Reduced	14,225	-53,595	$1,213,534	−76.8%	0.53%
NI	Nisource Inc. Utilities	NEW	48,730	NEW	$1,193,885	NEW	0.52%
MCD	Mcdonalds Corp Consumer Cyclical	Reduced	5,144	-17,619	$1,188,212	−76.7%	0.52%
ADI	Analog Devices Inc Technology	NEW	6,833	NEW	$1,176,369	NEW	0.51%
BIO	Bio-Rad Laboratories, Inc. Healthcare	Reduced	1,812	-2,786	$1,167,453	−55.5%	0.51%
TGT	Target Corp Consumer Defensive	Added	4,788	+1,815	$1,157,451	+96.6%	0.50%
PH	Parker-Hannifin Corp Industrials	Reduced	3,675	-7,518	$1,128,629	−68.0%	0.49%
AJG	Arthur J. Gallagher & Co. Financial Services	NEW	7,933	NEW	$1,111,254	NEW	0.48%
ES	Eversource Energy Utilities	Reduced	13,819	-27,525	$1,108,836	−69.0%	0.48%
AA	Alcoa Corp Basic Materials	Reduced	29,942	-26,862	$1,103,063	−40.2%	0.48%
KO	Coca Cola Co Consumer Defensive	Reduced	20,277	-44,651	$1,097,188	−67.9%	0.48%
CMS	Cms Energy Corp Utilities	Reduced	18,400	-23,899	$1,087,072	−58.0%	0.47%
ICLR	Icon PLC Healthcare	Added	5,227	+251	$1,080,473	+10.6%	0.47%
COTY	Coty Inc. Consumer Defensive	NEW	114,832	NEW	$1,072,530	NEW	0.47%
STT	State Street Corp Financial Services	NEW	12,828	NEW	$1,055,487	NEW	0.46%
PDM	Piedmont Realty Trust, Inc. Real Estate	Reduced	56,614	-86,598	$1,045,660	−58.0%	0.45%
GLPI	Gaming & Leisure Properties, Inc. Real Estate	Reduced	22,388	-6,459	$1,037,236	−15.3%	0.45%