0001085146-11-000944.txt : 20110815 0001085146-11-000944.hdr.sgml : 20110815 20110815145632 ACCESSION NUMBER: 0001085146-11-000944 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20110630 FILED AS OF DATE: 20110815 DATE AS OF CHANGE: 20110815 EFFECTIVENESS DATE: 20110815 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ELLINGTON MANAGEMENT GROUP LLC CENTRAL INDEX KEY: 0001098490 IRS NUMBER: 061441140 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-11539 FILM NUMBER: 111035508 BUSINESS ADDRESS: STREET 1: 53 FOREST AVENUE STREET 2: 2ND FLOOR CITY: OLD GREENWICH STATE: CT ZIP: 06870 BUSINESS PHONE: 2036981136 MAIL ADDRESS: STREET 1: 53 FOREST AVENUE STREET 2: 2ND FLOOR CITY: OLD GREENWICH STATE: CT ZIP: 06870 13F-HR 1 emg2q2011.txt ELLINGTON MANAGEMENT GROUP UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: June 30, 2011 Check here if Amendment [ ]; Amendment Number: This Amendment (Check only one.): [ ] is a restatement. [ ] adds new holdings entries. Institutional Investment Manager Filing this Report: Name: Ellington Management Group, LLC Address: 53 Forest Avenue Old Greenwich, CT 06870 13F File Number: 028-11539 The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: David Rice Title: Chief Compliance Officer Phone: 203-698-1200 Signature, Place, and Date of Signing: /s/ David Rice Greenwich, CT August 15, 2011 Report Type (Check only one.): [ X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 Form 13F Information Table Entry Total: 549 Form 13F Information Table Value Total: $501,875 (thousands) List of Other Included Managers: Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional managers with respect to which this report is filed, other than the manager filing this report. NONE FORM 13F INFORMATION TABLE VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- 3M CO COM 88579Y101 389 4100 SH SOLE 4100 0 0 51JOB INC SP ADR REP COM 316827104 617 11000 SH SOLE 11000 0 0 ACADIA RLTY TR COM SH BEN INT 004239109 565 27800 SH SOLE 27800 0 0 ACCURIDE CORP NEW COM NEW 00439T206 1287 101900 SH SOLE 101900 0 0 ACTIVISION BLIZZARD INC COM 00507V109 523 44800 SH SOLE 44800 0 0 ACTUANT CORP CL A NEW 00508X203 2704 100800 SH SOLE 100800 0 0 AEGEAN MARINE PETROLEUM NETW SHS Y0017S102 204 28800 SH SOLE 28800 0 0 AEGERION PHARMACEUTICALS INC COM 00767E102 528 33500 SH SOLE 33500 0 0 AEROVIRONMENT INC COM 008073108 753 21300 SH SOLE 21300 0 0 AES CORP COM 00130H105 1956 153500 SH SOLE 153500 0 0 AGCO CORP COM 001084102 1051 21300 SH SOLE 21300 0 0 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57636Q104 1235 4100 SH SOLE 4100 0 0 MATRIX SVC CO COM 576853105 135 10100 SH SOLE 10100 0 0 MBIA INC COM 55262C100 1634 188000 SH SOLE 188000 0 0 MCDERMOTT INTL INC COM 580037109 806 40700 SH SOLE 40700 0 0 MCMORAN EXPLORATION CO COM 582411104 2249 121700 SH SOLE 121700 0 0 MEDASSETS INC COM 584045108 712 53300 SH SOLE 53300 0 0 MEDICINES CO COM 584688105 626 37900 SH SOLE 37900 0 0 MEDICIS PHARMACEUTICAL CORP CL A NEW 584690309 1042 27300 SH SOLE 27300 0 0 MEDIFAST INC COM 58470H101 641 27000 SH SOLE 27000 0 0 MEDIVATION INC COM 58501N101 223 10400 SH SOLE 10400 0 0 MELCO CROWN ENTMT LTD ADR 585464100 1663 130200 SH SOLE 130200 0 0 MENS WEARHOUSE INC COM 587118100 1564 46400 SH SOLE 46400 0 0 MERCER INTL INC COM 588056101 972 96400 SH SOLE 96400 0 0 MEREDITH CORP COM 589433101 433 13900 SH SOLE 13900 0 0 MERGE HEALTHCARE INC COM 589499102 293 56300 SH SOLE 56300 0 0 MERIT MED SYS INC COM 589889104 877 48800 SH SOLE 48800 0 0 MERITOR INC COM 59001K100 528 32900 SH SOLE 32900 0 0 MGIC 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