0001085146-11-001238.txt : 20111114 0001085146-11-001238.hdr.sgml : 20111111 20111114151425 ACCESSION NUMBER: 0001085146-11-001238 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20110930 FILED AS OF DATE: 20111114 DATE AS OF CHANGE: 20111114 EFFECTIVENESS DATE: 20111114 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: 111201604 BUSINESS ADDRESS: STREET 1: 53 FOREST AVENUE CITY: OLD GREENWICH STATE: CT ZIP: 06870 BUSINESS PHONE: 2036981200 MAIL ADDRESS: STREET 1: 53 FOREST AVENUE CITY: OLD GREENWICH STATE: CT ZIP: 06870 13F-HR 1 emg3q2011.txt ELLINGTON MANAGEMENT GROUP LLC UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: September 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 November 09, 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: 405 Form 13F Information Table Value Total: $165,484 (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 ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- ABOVENET INC COM 00374N107 241 4500 SH SOLE 4500 0 0 ACCENTURE PLC IRELAND SHS CLASS A G1151C101 458 8700 SH SOLE 8700 0 0 ACCO BRANDS CORP COM 00081T108 253 53100 SH SOLE 53100 0 0 ACE LTD SHS H0023R105 206 3400 SH SOLE 3400 0 0 ACME PACKET INC COM 004764106 302 7100 SH SOLE 7100 0 0 ACTUANT CORP CL A NEW 00508X203 233 11800 SH SOLE 11800 0 0 ADOBE SYS INC COM 00724F101 218 9000 SH SOLE 9000 0 0 AEROFLEX HLDG CORP COM 007767106 193 21200 SH SOLE 21200 0 0 AETNA INC NEW COM 00817Y108 258 7100 SH SOLE 7100 0 0 AFFYMAX INC COM 00826A109 182 40600 SH SOLE 40600 0 0 AFFYMETRIX INC COM 00826T108 177 36100 SH SOLE 36100 0 0 AGCO CORP COM 001084102 640 18500 SH SOLE 18500 0 0 AGNICO 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