0001085146-12-000761.txt : 20120515 0001085146-12-000761.hdr.sgml : 20120515 20120515110712 ACCESSION NUMBER: 0001085146-12-000761 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20120331 FILED AS OF DATE: 20120515 DATE AS OF CHANGE: 20120515 EFFECTIVENESS DATE: 20120515 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: 12842011 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 ellington1q2012.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: March 31, 2012 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 May 11, 2012 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: 575 Form 13F Information Table Value Total: $270,704 (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 ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- AARONS INC COM PAR $0.50 002535300 277 10700 SH SOLE 1800 0 8900 ABITIBIBOWATER INC COM NEW 003687209 246 17200 SH SOLE 4300 0 12900 ACACIA RESH CORP ACACIA TCH COM 003881307 442 10600 SH SOLE 1900 0 8700 ACCO BRANDS CORP COM 00081T108 520 41900 SH SOLE 8700 0 33200 ACCRETIVE HEALTH INC COM 00438V103 371 18600 SH SOLE 3200 0 15400 ACCURAY INC COM 004397105 524 74200 SH SOLE 14800 0 59400 ACORDA THERAPEUTICS INC COM 00484M106 258 9700 SH SOLE 1800 0 7900 ACTUATE CORP COM 00508B102 288 45800 SH SOLE 10600 0 35200 ADVISORY BRD CO COM 00762W107 248 2800 SH SOLE 400 0 2400 AEGON N V NY REGISTRY SH 007924103 73 13100 SH SOLE 4100 0 9000 AERCAP HOLDINGS NV SHS N00985106 242 21800 SH SOLE 5800 0 16000 AEROPOSTALE COM 007865108 355 16400 SH SOLE 2800 0 13600 AES CORP COM 00130H105 336 25700 SH SOLE 4400 0 21300 AFFYMETRIX INC COM 00826T108 274 64200 SH SOLE 16700 0 47500 AFLAC INC COM 001055102 690 15000 SH SOLE 2800 0 12200 AGCO CORP COM 001084102 963 20400 SH SOLE 3900 0 16500 AGRIUM INC COM 008916108 371 4300 SH SOLE 800 0 3500 AK STL HLDG CORP COM 001547108 991 131100 SH SOLE 26000 0 105100 ALBEMARLE CORP COM 012653101 320 5000 SH SOLE 1000 0 4000 ALEXANDER & BALDWIN INC COM 014482103 208 4300 SH SOLE 800 0 3500 ALIGN TECHNOLOGY INC COM 016255101 383 13900 SH SOLE 2700 0 11200 ALLIANT ENERGY CORP COM 018802108 650 15000 SH SOLE 2900 0 12100 ALLOT COMMUNICATIONS LTD SHS M0854Q105 456 19600 SH SOLE 3800 0 15800 ALLSCRIPTS HEALTHCARE SOLUTN COM 01988P108 1056 63600 SH SOLE 12800 0 50800 ALPHA NATURAL RESOURCES INC COM 02076X102 339 22300 SH SOLE 4700 0 17600 ALTERA CORP COM 021441100 645 16200 SH SOLE 3000 0 13200 ALTISOURCE PORTFOLIO SOLNS S REG SHS L0175J104 661 10900 SH SOLE 2200 0 8700 AMARIN CORP PLC SPONS ADR NEW 023111206 231 20400 SH SOLE 3500 0 16900 AMAZON COM INC COM 023135106 405 2000 SH SOLE 400 0 1600 AMEDISYS INC COM 023436108 298 20600 SH SOLE 4100 0 16500 AMERICAN EAGLE OUTFITTERS NE COM 02553E106 677 39400 SH SOLE 7200 0 32200 AMERICAN EQTY INVT LIFE HLD COM 025676206 589 46100 SH SOLE 8500 0 37600 AMERICAN PUBLIC EDUCATION IN COM 02913V103 293 7700 SH SOLE 1400 0 6300 AMERICAN SCIENCE & ENGR INC COM 029429107 228 3400 SH SOLE 800 0 2600 AMERICAN SOFTWARE INC CL A 029683109 111 13000 SH SOLE 4100 0 8900 AMERIGROUP CORP COM 03073T102 289 4300 SH SOLE 700 0 3600 AMERISAFE INC COM 03071H100 265 10700 SH SOLE 2000 0 8700 AMERISOURCEBERGEN CORP COM 03073E105 631 15900 SH SOLE 2800 0 13100 AMTRUST FINANCIAL SERVICES I COM 032359309 274 10200 SH SOLE 2100 0 8100 ANALOG DEVICES INC COM 032654105 440 10900 SH SOLE 1900 0 9000 ANALOGIC CORP COM PAR $0.05 032657207 243 3600 SH SOLE 700 0 2900 ANCESTRY COM INC COM 032803108 321 14100 SH 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AVNET INC COM 053807103 335 9200 SH SOLE 1900 0 7300 AVON PRODS INC COM 054303102 573 29600 SH SOLE 6300 0 23300 AXIS CAPITAL HOLDINGS SHS G0692U109 249 7500 SH SOLE 1600 0 5900 BABCOCK & WILCOX CO NEW COM 05615F102 425 16500 SH SOLE 3000 0 13500 BANCO MACRO SA SPON ADR B 05961W105 333 17000 SH SOLE 2900 0 14100 BANCO SANTANDER CHILE NEW SP ADR REP COM 05965X109 241 2800 SH SOLE 500 0 2300 BANCO SANTANDER SA ADR 05964H105 183 23800 SH SOLE 5000 0 18800 BANK OF THE OZARKS INC COM 063904106 263 8400 SH SOLE 1700 0 6700 BARCLAYS PLC ADR 06738E204 253 16700 SH SOLE 3200 0 13500 BARNES & NOBLE INC COM 067774109 323 24400 SH SOLE 4800 0 19600 BASIC ENERGY SVCS INC NEW COM 06985P100 352 20300 SH SOLE 4400 0 15900 BEBE STORES INC COM 075571109 267 28900 SH SOLE 6300 0 22600 BELDEN INC COM 077454106 235 6200 SH SOLE 1200 0 5000 BEMIS INC COM 081437105 365 11300 SH SOLE 2300 0 9000 BEST BUY INC COM 086516101 942 39800 SH SOLE 8100 0 31700 BIOSCRIP INC COM 09069N108 204 30100 SH SOLE 5100 0 25000 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309 91400 SH SOLE 17200 0 74200 CHEESECAKE FACTORY INC COM 163072101 770 26200 SH SOLE 5700 0 20500 CHEMED CORP NEW COM 16359R103 489 7800 SH SOLE 1400 0 6400 CHEMTURA CORP COM NEW 163893209 302 17800 SH SOLE 3800 0 14000 CHICAGO BRIDGE & IRON CO N V N Y REGISTRY SH 167250109 561 13000 SH SOLE 2700 0 10300 CHINA MOBILE LIMITED SPONSORED ADR 16941M109 264 4800 SH SOLE 900 0 3900 CHINA PETE & CHEM CORP SPON ADR H SHS 16941R108 391 3600 SH SOLE 700 0 2900 CHINA TELECOM CORP LTD SPON ADR H SHS 169426103 736 13400 SH SOLE 2790 0 10610 CHINACAST EDU CORP COM 16946T109 206 48700 SH SOLE 11600 0 37100 CHOICE HOTELS INTL INC COM 169905106 265 7100 SH SOLE 1300 0 5800 CIRRUS LOGIC INC COM 172755100 300 12600 SH SOLE 2200 0 10400 CLEAR CHANNEL OUTDOOR HLDGS CL A 18451C109 568 71200 SH SOLE 16000 0 55200 CNO FINL GROUP INC COM 12621E103 304 39100 SH SOLE 10900 0 28200 COACH INC COM 189754104 641 8300 SH SOLE 1500 0 6800 COCA COLA ENTERPRISES INC NE COM 19122T109 724 25300 SH SOLE 4800 0 20500 COFFEE HLDGS INC COM 192176105 612 54000 SH SOLE 11300 0 42700 COHEN & STEERS INC COM 19247A100 322 10100 SH SOLE 1900 0 8200 COINSTAR INC COM 19259P300 934 14700 SH SOLE 3000 0 11700 COLUMBIA SPORTSWEAR CO COM 198516106 465 9800 SH SOLE 2300 0 7500 COMMERCIAL VEH GROUP INC COM 202608105 332 27200 SH SOLE 5800 0 21400 COMPANHIA BRASILEIRA DE DIST SPN ADR PFD CL A 20440T201 362 7600 SH SOLE 1700 0 5900 COMPANHIA DE BEBIDAS DAS AME SPON ADR PFD 20441W203 298 7200 SH SOLE 1500 0 5700 COMPANHIA DE SANEAMENTO BASI SPONSORED ADR 20441A102 253 3300 SH SOLE 800 0 2500 COMPANHIA ENERGETICA DE MINA SP ADR N-V PFD 204409601 290 12200 SH SOLE 2400 0 9800 COMPANHIA PARANAENSE ENERG C SPON ADR PFD 20441B407 1105 47000 SH SOLE 9500 0 37500 COMPANIA CERVECERIAS UNIDAS SPONSORED ADR 204429104 441 5600 SH SOLE 1200 0 4400 COMVERSE TECHNOLOGY INC COM PAR $0.10 205862402 175 25500 SH SOLE 4300 0 21200 CONOCOPHILLIPS COM 20825C104 380 5000 SH SOLE 900 0 4100 CONSOL ENERGY INC COM 20854P109 399 11700 SH SOLE 2400 0 9300 CONSTANT CONTACT INC COM 210313102 349 11700 SH SOLE 2000 0 9700 CONTANGO OIL & GAS COMPANY COM NEW 21075N204 424 7200 SH SOLE 1200 0 6000 COOPER TIRE & RUBR CO COM 216831107 552 36300 SH SOLE 6700 0 29600 CORELOGIC INC COM 21871D103 276 16900 SH SOLE 3600 0 13300 CORESITE RLTY CORP COM 21870Q105 224 9500 SH SOLE 1700 0 7800 COVENTRY HEALTH CARE INC COM 222862104 238 6700 SH SOLE 1200 0 5500 CRACKER BARREL OLD CTRY STOR COM 22410J106 396 7100 SH SOLE 1600 0 5500 CREDIT SUISSE GROUP SPONSORED ADR 225401108 673 23600 SH SOLE 4600 0 19000 CROCS INC COM 227046109 381 18200 SH SOLE 3700 0 14500 CROWN HOLDINGS INC COM 228368106 781 21200 SH SOLE 4200 0 17000 CTC MEDIA INC COM 12642X106 162 13900 SH SOLE 4200 0 9700 CTRIP COM INTL LTD AMERICAN DEP SHS 22943F100 296 13700 SH SOLE 2600 0 11100 CUMMINS INC COM 231021106 384 3200 SH SOLE 600 0 2600 CURIS INC COM 231269101 268 55700 SH SOLE 12900 0 42800 CYBERONICS INC COM 23251P102 591 15500 SH SOLE 3000 0 12500 CYPRESS 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5000 SH SOLE 800 0 4200 DOMINOS PIZZA INC COM 25754A201 722 19900 SH SOLE 4000 0 15900 DOMTAR CORP COM NEW 257559203 296 3100 SH SOLE 800 0 2300 DONNELLEY R R & SONS CO COM 257867101 348 28100 SH SOLE 5800 0 22300 DR PEPPER SNAPPLE GROUP INC COM 26138E109 704 17500 SH SOLE 3400 0 14100 DRIL-QUIP INC COM 262037104 689 10600 SH SOLE 2000 0 8600 DU PONT E I DE NEMOURS & CO COM 263534109 333 6300 SH SOLE 1100 0 5200 DUN & BRADSTREET CORP DEL NE COM 26483E100 364 4300 SH SOLE 700 0 3600 DUSA PHARMACEUTICALS INC COM 266898105 119 19074 SH SOLE 3230 0 15844 DXP ENTERPRISES INC NEW COM NEW 233377407 222 5100 SH SOLE 1000 0 4100 EASTMAN CHEM CO COM 277432100 1080 20900 SH SOLE 4400 0 16500 ELECTRONIC ARTS INC COM 285512109 635 38500 SH SOLE 7100 0 31400 ELIZABETH ARDEN INC COM 28660G106 630 18000 SH SOLE 3500 0 14500 ELLINGTON FINANCIAL LLC COM 288522303 46396 2372210 SH SOLE 2372210 0 0 EMCOR GROUP INC COM 29084Q100 288 10400 SH SOLE 2100 0 8300 EMCORE CORP COM NEW 290846203 171 35800 SH SOLE 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639 25200 SH SOLE 5400 0 19800 HEALTH MGMT ASSOC INC NEW CL A 421933102 237 35300 SH SOLE 6600 0 28700 HELIX ENERGY SOLUTIONS GRP I COM 42330P107 851 47800 SH SOLE 9700 0 38100 HERSHEY CO COM 427866108 460 7500 SH SOLE 1400 0 6100 HESS CORP COM 42809H107 218 3700 SH SOLE 700 0 3000 HEWLETT PACKARD CO COM 428236103 388 16300 SH SOLE 2700 0 13600 HILL ROM HLDGS INC COM 431475102 344 10300 SH SOLE 2300 0 8000 HISOFT TECHNOLOGY INTL LTD SPONSORED ADR 43358R108 228 15200 SH SOLE 3300 0 11900 HOT TOPIC INC COM 441339108 505 49800 SH SOLE 10500 0 39300 HSN INC COM 404303109 1031 27100 SH SOLE 5500 0 21600 HUANENG PWR INTL INC SPON ADR H SHS 443304100 292 13300 SH SOLE 2800 0 10500 HUDSON CITY BANCORP COM 443683107 89 12200 SH SOLE 2100 0 10100 HUNTINGTON BANCSHARES INC COM 446150104 95 14800 SH SOLE 3200 0 11600 HUNTINGTON INGALLS INDS INC COM 446413106 636 15800 SH SOLE 2900 0 12900 IAC INTERACTIVECORP COM PAR $.001 44919P508 913 18600 SH SOLE 3800 0 14800 ICG GROUP INC COM 44928D108 118 13200 SH SOLE 2200 0 11000 ICU MED INC COM 44930G107 364 7400 SH SOLE 1500 0 5900 IDT CORP CL B NEW 448947507 100 10655 SH SOLE 2155 0 8500 INSPERITY INC COM 45778Q107 273 8900 SH SOLE 2200 0 6700 INTEGRATED DEVICE TECHNOLOGY COM 458118106 232 32500 SH SOLE 7600 0 24900 INTER PARFUMS INC COM 458334109 282 18000 SH SOLE 3900 0 14100 INTERMEC INC COM 458786100 154 19900 SH SOLE 5200 0 14700 INTERMOLECULAR INC COM 45882D109 69 11100 SH SOLE 2080 0 9020 INTERPUBLIC GROUP COS INC COM 460690100 998 87500 SH SOLE 17000 0 70500 INTERSIL CORP CL A 46069S109 139 12400 SH SOLE 2300 0 10100 INTUITIVE SURGICAL INC COM NEW 46120E602 217 400 SH SOLE 100 0 300 INVESTMENT TECHNOLOGY GRP NE COM 46145F105 139 11600 SH SOLE 2400 0 9200 ION GEOPHYSICAL CORP COM 462044108 504 78200 SH SOLE 13400 0 64800 IROBOT CORP COM 462726100 264 9700 SH SOLE 1600 0 8100 IRONWOOD PHARMACEUTICALS INC COM CL A 46333X108 154 11600 SH SOLE 2000 0 9600 ITT CORP NEW COM NEW 450911201 1250 54500 SH SOLE 11500 0 43000 JARDEN CORP COM 471109108 342 8500 SH SOLE 1900 0 6600 JAZZ PHARMACEUTICALS PLC SHS USD G50871105 557 11500 SH SOLE 2300 0 9200 JETBLUE AIRWAYS CORP COM 477143101 220 45000 SH SOLE 8800 0 36200 JONES GROUP INC COM 48020T101 137 10900 SH SOLE 2600 0 8300 JONES LANG LASALLE INC COM 48020Q107 675 8100 SH SOLE 1500 0 6600 KBR INC COM 48242W106 736 20700 SH SOLE 4100 0 16600 KENNEDY-WILSON HLDGS INC COM 489398107 140 10400 SH SOLE 2200 0 8200 KINDRED HEALTHCARE INC COM 494580103 397 45900 SH SOLE 9600 0 36300 KIRKLANDS INC COM 497498105 474 29300 SH SOLE 6400 0 22900 KNIGHT CAP GROUP INC CL A COM 499005106 183 14200 SH SOLE 2900 0 11300 KOPPERS HOLDINGS INC COM 50060P106 285 7400 SH SOLE 1500 0 5900 KRATON PERFORMANCE POLYMERS COM 50077C106 375 14100 SH SOLE 3200 0 10900 KRISPY KREME DOUGHNUTS INC COM 501014104 216 29600 SH SOLE 5100 0 24500 KROGER CO COM 501044101 419 17300 SH SOLE 3600 0 13700 KRONOS WORLDWIDE INC COM 50105F105 207 8300 SH SOLE 1400 0 6900 KULICKE & SOFFA INDS INC COM 501242101 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ROYAL CARIBBEAN CRUISES LTD COM V7780T103 285 9700 SH SOLE 1700 0 8000 ROYAL DUTCH SHELL PLC SPONS ADR A 780259206 288 4100 SH SOLE 800 0 3300 RPC INC COM 749660106 191 18000 SH SOLE 3000 0 15000 RPX CORP COM 74972G103 232 13700 SH SOLE 2300 0 11400 RUBY TUESDAY INC COM 781182100 247 27000 SH SOLE 5600 0 21400 RUE21 INC COM 781295100 317 10800 SH SOLE 2000 0 8800 RUTHS HOSPITALITY GROUP INC COM 783332109 165 21800 SH SOLE 5500 0 16300 SAFE BULKERS INC COM Y7388L103 124 18500 SH SOLE 3500 0 15000 SAFEWAY INC COM NEW 786514208 647 32000 SH SOLE 6100 0 25900 SAIA INC COM 78709Y105 177 10400 SH SOLE 2500 0 7900 SANDISK CORP COM 80004C101 248 5000 SH SOLE 900 0 4100 SANMINA SCI CORP COM NEW 800907206 166 14500 SH SOLE 2900 0 11600 SAPIENT CORP COM 803062108 225 18100 SH SOLE 4300 0 13800 SARA LEE CORP COM 803111103 299 13900 SH SOLE 2400 0 11500 SCICLONE PHARMACEUTICALS INC COM 80862K104 178 28200 SH SOLE 5300 0 22900 SEAGATE TECHNOLOGY PLC SHS G7945M107 329 12200 SH SOLE 2200 0 10000 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