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 SOLE 2800 0 11300
ANIXTER INTL INC COM 035290105 406 5600 SH SOLE 1100 0 4500
ANN INC COM 035623107 693 24200 SH SOLE 4600 0 19600
APOLLO INVT CORP COM 03761U106 281 39200 SH SOLE 6700 0 32500
APPLE INC COM 037833100 360 600 SH SOLE 100 0 500
ARCTIC CAT INC COM 039670104 728 17000 SH SOLE 3600 0 13400
ARIBA INC COM NEW 04033V203 213 6500 SH SOLE 1000 0 5500
ARKANSAS BEST CORP DEL COM 040790107 350 18600 SH SOLE 3700 0 14900
ARQULE INC COM 04269E107 233 33300 SH SOLE 5600 0 27700
ARROW ELECTRS INC COM 042735100 294 7000 SH SOLE 1500 0 5500
ARUBA NETWORKS INC COM 043176106 287 12900 SH SOLE 2200 0 10700
ASHFORD HOSPITALITY TR INC COM SHS 044103109 105 11600 SH SOLE 3600 0 8000
ASPEN TECHNOLOGY INC COM 045327103 636 31000 SH SOLE 5900 0 25100
ASSURED GUARANTY LTD COM G0585R106 382 23100 SH SOLE 4600 0 18500
ASTRAZENECA PLC SPONSORED ADR 046353108 498 11200 SH SOLE 2100 0 9100
ATMEL CORP COM 049513104 184 18700 SH SOLE 3300 0 15400
AUTODESK INC COM 052769106 389 9200 SH SOLE 1500 0 7700
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
BJS RESTAURANTS INC COM 09180C106 272 5400 SH SOLE 1000 0 4400
BLACK BOX CORP DEL COM 091826107 321 12600 SH SOLE 2700 0 9900
BLACKBAUD INC COM 09227Q100 206 6200 SH SOLE 1500 0 4700
BMC SOFTWARE INC COM 055921100 434 10800 SH SOLE 1800 0 9000
BODY CENT CORP COM 09689U102 313 10800 SH SOLE 2300 0 8500
BOEING CO COM 097023105 469 6300 SH SOLE 1000 0 5300
BOINGO WIRELESS INC COM 09739C102 192 15900 SH SOLE 4100 0 11800
BOSTON SCIENTIFIC CORP COM 101137107 158 26500 SH SOLE 4400 0 22100
BRASKEM S A SP ADR PFD A 105532105 604 37900 SH SOLE 8400 0 29500
BRUNSWICK CORP COM 117043109 296 11500 SH SOLE 2400 0 9100
BUCKLE INC COM 118440106 618 12900 SH SOLE 2400 0 10500
C H ROBINSON WORLDWIDE INC COM NEW 12541W209 570 8700 SH SOLE 1600 0 7100
C&J ENERGY SVCS INC COM 12467B304 326 18300 SH SOLE 3700 0 14600
CAL MAINE FOODS INC COM NEW 128030202 272 7100 SH SOLE 1800 0 5300
CANTEL MEDICAL CORP COM 138098108 223 8900 SH SOLE 1800 0 7100
CAPELLA EDUCATION COMPANY COM 139594105 410 11400 SH SOLE 2100 0 9300
CAPITALSOURCE INC COM 14055X102 752 114000 SH SOLE 22900 0 91100
CAREER EDUCATION CORP COM 141665109 621 77100 SH SOLE 15800 0 61300
CAREFUSION CORP COM 14170T101 226 8700 SH SOLE 2000 0 6700
CARIBOU COFFEE INC COM 142042209 285 15300 SH SOLE 3000 0 12300
CARPENTER TECHNOLOGY CORP COM 144285103 219 4200 SH SOLE 800 0 3400
CARTER INC COM 146229109 542 10900 SH SOLE 2500 0 8400
CATHAY GENERAL BANCORP COM 149150104 471 26600 SH SOLE 4800 0 21800
CBEYOND INC COM 149847105 133 16652 SH SOLE 6242 0 10410
CBRE GROUP INC CL A 12504L109 365 18300 SH SOLE 3500 0 14800
CELANESE CORP DEL COM SER A 150870103 282 6100 SH SOLE 1200 0 4900
CELLCOM ISRAEL LTD SHS M2196U109 517 41700 SH SOLE 8000 0 33700
CELLDEX THERAPEUTICS INC NEW COM 15117B103 216 42400 SH SOLE 7300 0 35100
CENTENE CORP DEL COM 15135B101 886 18100 SH SOLE 3800 0 14300
CENTERPOINT ENERGY INC COM 15189T107 700 35500 SH SOLE 7300 0 28200
CENTURY ALUM CO COM 156431108 383 43100 SH SOLE 8500 0 34600
CENVEO INC COM 15670S105 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 SEMICONDUCTOR CORP COM 232806109 861 55100 SH SOLE 10300 0 44800
DEAN FOODS CO NEW COM 242370104 159 13100 SH SOLE 3400 0 9700
DECKERS OUTDOOR CORP COM 243537107 1368 21700 SH SOLE 4200 0 17500
DEER CONSUMER PRODS INC COM NEW 24379J200 57 13600 SH SOLE 2300 0 11300
DELEK US HLDGS INC COM 246647101 561 36200 SH SOLE 7100 0 29100
DELL INC COM 24702R101 398 24000 SH SOLE 4000 0 20000
DELTA AIR LINES INC DEL COM NEW 247361702 514 51800 SH SOLE 11500 0 40300
DENDREON CORP COM 24823Q107 526 49400 SH SOLE 9400 0 40000
DEUTSCHE BANK AG NAMEN AKT D18190898 458 9200 SH SOLE 1700 0 7500
DIAMOND FOODS INC COM 252603105 408 17900 SH SOLE 3400 0 14500
DIAMONDROCK HOSPITALITY CO COM 252784301 553 53700 SH SOLE 9800 0 43900
DIANA SHIPPING INC COM Y2066G104 403 45000 SH SOLE 8900 0 36100
DIEBOLD INC COM 253651103 401 10400 SH SOLE 1900 0 8500
DIGITAL RIV INC COM 25388B104 515 27500 SH SOLE 5100 0 22400
DISH NETWORK CORP CL A 25470M109 458 13900 SH SOLE 3300 0 10600
DOLLAR GEN CORP NEW COM 256677105 231 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 8700 0 27100
EMERGENT BIOSOLUTIONS INC COM 29089Q105 466 29100 SH SOLE 5700 0 23400
EMERITUS CORP COM 291005106 212 12000 SH SOLE 2100 0 9900
EMPRESA NACIONAL DE ELCTRCID SPONSORED ADR 29244T101 335 6200 SH SOLE 1100 0 5100
ENCORE CAP GROUP INC COM 292554102 262 11600 SH SOLE 2500 0 9100
ENCORE WIRE CORP COM 292562105 262 8800 SH SOLE 1900 0 6900
ENDO PHARMACEUTICALS HLDGS I COM 29264F205 229 5900 SH SOLE 1400 0 4500
ENERGEN CORP COM 29265N108 895 18200 SH SOLE 3500 0 14700
ENERSIS S A SPONSORED ADR 29274F104 458 22700 SH SOLE 4300 0 18400
ENTEGRIS INC COM 29362U104 278 29800 SH SOLE 7000 0 22800
EPIQ SYS INC COM 26882D109 138 11400 SH SOLE 2600 0 8800
EVEREST RE GROUP LTD COM G3223R108 278 3000 SH SOLE 500 0 2500
EXCEL TR INC COM 30068C109 156 12900 SH SOLE 2200 0 10700
EXELIS INC COM 30162A108 177 14100 SH SOLE 3100 0 11000
EXELIXIS INC COM 30161Q104 55 10600 SH SOLE 1800 0 8800
EXELON CORP COM 30161N101 651 16600 SH SOLE 2900 0 13700
EXPEDITORS INTL WASH INC COM 302130109 381 8200 SH SOLE 1500 0 6700
EXPRESS INC COM 30219E103 732 29300 SH SOLE 5700 0 23600
F5 NETWORKS INC COM 315616102 243 1800 SH SOLE 400 0 1400
FAIRCHILD SEMICONDUCTOR INTL COM 303726103 235 16000 SH SOLE 2800 0 13200
FERRO CORP COM 315405100 632 106400 SH SOLE 21600 0 84800
FIDELITY NATIONAL FINANCIAL CL A 31620R105 514 28500 SH SOLE 5500 0 23000
FINISH LINE INC CL A 317923100 280 13200 SH SOLE 3500 0 9700
FIRST FINL BANCORP OH COM 320209109 322 18600 SH SOLE 3600 0 15000
FIRST POTOMAC RLTY TR COM 33610F109 157 13000 SH SOLE 2400 0 10600
FLEXTRONICS INTL LTD ORD Y2573F102 147 20400 SH SOLE 3700 0 16700
FLOTEK INDS INC DEL COM 343389102 304 25300 SH SOLE 5700 0 19600
FLOWSERVE CORP COM 34354P105 647 5600 SH SOLE 1100 0 4500
FOCUS MEDIA HLDG LTD SPONSORED ADR 34415V109 648 25800 SH SOLE 4800 0 21000
FREIGHTCAR AMER INC COM 357023100 286 12700 SH SOLE 2700 0 10000
FSI INTL INC COM 302633102 314 64300 SH SOLE 11900 0 52400
FULTON FINL CORP PA COM 360271100 170 16200 SH SOLE 3400 0 12800
GARDNER DENVER INC COM 365558105 221 3500 SH SOLE 600 0 2900
GARTNER INC COM 366651107 716 16800 SH SOLE 3100 0 13700
GENERAL CABLE CORP DEL NEW COM 369300108 230 7900 SH SOLE 1900 0 6000
GENERAL DYNAMICS CORP COM 369550108 448 6100 SH SOLE 1200 0 4900
GENWORTH FINL INC COM CL A 37247D106 247 29700 SH SOLE 9000 0 20700
GIANT INTERACTIVE GROUP INC ADR 374511103 257 52500 SH SOLE 11200 0 41300
GILEAD SCIENCES INC COM 375558103 562 11500 SH SOLE 2000 0 9500
GLATFELTER COM 377316104 469 29700 SH SOLE 6700 0 23000
GLOBAL CASH ACCESS HLDGS INC COM 378967103 375 48100 SH SOLE 9500 0 38600
GOL LINHAS AEREAS INTLG S A SP ADR REP PFD 38045R107 111 16500 SH SOLE 4100 0 12400
GOLD RESOURCE CORP COM 38068T105 260 10700 SH SOLE 1700 0 9000
GOODYEAR TIRE & RUBR CO COM 382550101 600 53500 SH SOLE 9900 0 43600
GRACO INC COM 384109104 467 8800 SH SOLE 1700 0 7100
GRAN TIERRA ENERGY INC COM 38500T101 608 96700 SH SOLE 19400 0 77300
GRANITE CONSTR INC COM 387328107 376 13100 SH SOLE 2700 0 10400
GRAPHIC PACKAGING HLDG CO COM 388689101 87 15700 SH SOLE 2700 0 13000
GREAT NORTHN IRON ORE PPTYS CTFS BEN INT 391064102 221 2300 SH SOLE 500 0 1800
GREEN DOT CORP CL A 39304D102 1151 43400 SH SOLE 8300 0 35100
GREEN PLAINS RENEWABLE ENERG COM 393222104 160 14800 SH SOLE 4810 0 9990
GRIFOLS S A SPONSORED ADR 398438309 194 25200 SH SOLE 4900 0 20300
GROUP 1 AUTOMOTIVE INC COM 398905109 522 9300 SH SOLE 1800 0 7500
GRUPO FINANCIERO GALICIA S A SP ADR 10 SH B 399909100 133 20700 SH SOLE 3500 0 17200
GUIDANCE SOFTWARE INC COM 401692108 137 12400 SH SOLE 4300 0 8100
HACKETT GROUP INC COM 404609109 156 26100 SH SOLE 8300 0 17800
HANMI FINL CORP COM NEW 410495204 345 34100 SH SOLE 5900 0 28200
HARMONIC INC COM 413160102 237 43300 SH SOLE 9100 0 34200
HARMONY GOLD MNG LTD SPONSORED ADR 413216300 577 52800 SH SOLE 10200 0 42600
HARTFORD FINL SVCS GROUP INC COM 416515104 282 13400 SH SOLE 3300 0 10100
HARVEST NATURAL RESOURCES IN COM 41754V103 489 69000 SH SOLE 13100 0 55900
HAWAIIAN ELEC INDUSTRIES COM 419870100 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
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