ELLINGTON MANAGEMENT GROUP LLC Information

53 FOREST AVENUE, OLD GREENWICH, Connecticut, 06870, (203) 698-1200

Report Date: 03/31/2017

Position Statistics

Total Positions 980
New Positions 470
Increased Positions 564
Decreased Positions 413
Positions with Activity 977
Sold Out Positions 336
Total Mkt Value (in $ millions) 417

Institutional Holdings information is filed by major institutions on form 13-F with the Securities and Exchange Commission.

Sector Weighting

Energy 9.02%
Basic Materials 7.95%
Industrials 13.79%
Consumer Cyclicals 12.81%
Consumer Non-Cyclicals 5.26%
Financials 23.62%
Healthcare 9.62%
Technology 14.05%
Telecommunication Services 1.39%
Utilities 2.5%

413 DECREASED Positions as of 03/31/2017

Company Class Value of Shares ($1,000s) ▼ Change in Value ($1,000s) Change (%) Shares Held
ISHARES TR IBOXX HI YD ETF 2,868 -1,639 (36.37) 32,319
CEMEX SAB DE CV SPON ADR NEW 1,554 -497 (24.24) 157,976
VALE S A ADR REPSTG PFD 1,285 -588 (31.39) 144,700
FOREST CITY RLTY TR INC COM CL A 1,230 -1,233 (50.05) 49,200
UNILEVER N V N Y SHS NEW 1,206 -597 (33.12) 21,200
REALOGY HLDGS CORP COM 1,170 -335 (22.25) 34,600
NRG ENERGY INC COM NEW 1,044 -1,632 (60.99) 43,500
UBS GROUP AG SHS 1,024 -133 (11.52) 57,600
UNILEVER PLC SPON ADR NEW 990 -788 (44.34) 17,700
ADOBE SYS INC COM 968 -15 (1.52) 6,500
SYNCHRONY FINL COM 865 -177 (17) 29,300
TAIWAN SEMICONDUCTOR MFG LTD SPONSORED ADR 834 -153 (15.5) 22,900
LYONDELLBASELL INDUSTRIES N V SHS - A - 828 -122 (12.84) 9,500
STEEL DYNAMICS INC COM 825 -124 (13.04) 22,000
HUNTSMAN CORP COM 811 -230 (22.08) 30,000
AETNA INC NEW COM 771 -201 (20.64) 5,000
LEUCADIA NATL CORP COM 704 -324 (31.53) 26,500
MOHAWK INDS INC COM 669 -248 (27.03) 2,700
SYNOPSYS INC COM 665 -856 (56.28) 8,700
FREEPORT-MCMORAN INC CL B 642 -211 (24.73) 49,000