0001085146-12-001460.txt : 20121114 0001085146-12-001460.hdr.sgml : 20121114 20121114144732 ACCESSION NUMBER: 0001085146-12-001460 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20120930 FILED AS OF DATE: 20121114 DATE AS OF CHANGE: 20121114 EFFECTIVENESS DATE: 20121114 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: 121203561 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 ellington3q2012.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, 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 November 14, 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: 772 Form 13F Information Table Value Total: $459,226 (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 ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- AAR CORP COM 000361105 345 21000 SH SOLE 10600 0 10400 ABAXIS INC COM 002567105 241 6700 SH SOLE 3400 0 3300 ABERCROMBIE & FITCH CO CL A 002896207 265 7800 SH SOLE 3900 0 3900 ABIOMED INC COM 003654100 1213 57800 SH SOLE 29200 0 28600 ACCENTURE PLC IRELAND SHS CLASS A G1151C101 567 8100 SH SOLE 4100 0 4000 ACCO BRANDS CORP COM 00081T108 328 50500 SH SOLE 25800 0 24700 ACCURAY INC COM 004397105 249 35100 SH SOLE 18100 0 17000 ACCURIDE CORP NEW COM NEW 00439T206 126 27000 SH SOLE 14900 0 12100 ACE LTD SHS H0023R105 507 6700 SH SOLE 3400 0 3300 ACETO CORP COM 004446100 110 11600 SH SOLE 6000 0 5600 ACME PACKET INC COM 004764106 409 23900 SH SOLE 11900 0 12000 ACORDA THERAPEUTICS 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GROUPON INC COM CL A 399473107 499 104800 SH SOLE 52500 0 52300 GULFMARK OFFSHORE INC CL A NEW 402629208 439 13300 SH SOLE 6700 0 6600 HANGER INC COM NEW 41043F208 519 18200 SH SOLE 9200 0 9000 HANMI FINL CORP COM NEW 410495204 183 14300 SH SOLE 7700 0 6600 HARMAN INTL INDS INC COM 413086109 974 21100 SH SOLE 10500 0 10600 HARMONIC INC COM 413160102 230 50600 SH SOLE 25600 0 25000 HARSCO CORP COM 415864107 296 14400 SH SOLE 7300 0 7100 HARTE-HANKS INC COM 416196103 146 21000 SH SOLE 11700 0 9300 HARTFORD FINL SVCS GROUP INC COM 416515104 760 39100 SH SOLE 19500 0 19600 HAWAIIAN HOLDINGS INC COM 419879101 240 43000 SH SOLE 22400 0 20600 HCA HOLDINGS INC COM 40412C101 402 12100 SH SOLE 6300 0 5800 HCC INS HLDGS INC COM 404132102 319 9400 SH SOLE 4800 0 4600 HEADWATERS INC COM 42210P102 81 12300 SH SOLE 6200 0 6100 HEALTHCARE SVCS GRP INC COM 421906108 581 25400 SH SOLE 12800 0 12600 HEALTHSTREAM INC COM 42222N103 285 10000 SH SOLE 5100 0 4900 HEARTLAND EXPRESS INC COM 422347104 204 15300 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14800 SH SOLE 7600 0 7200 HYATT HOTELS CORP COM CL A 448579102 823 20500 SH SOLE 10200 0 10300 IAC INTERACTIVECORP COM PAR $.001 44919P508 364 7000 SH SOLE 3600 0 3400 INCONTACT INC COM 45336E109 965 148515 SH SOLE 76683 0 71832 INCYTE CORP COM 45337C102 646 35800 SH SOLE 18000 0 17800 INFINITY PHARMACEUTICALS INC COM 45665G303 369 15696 SH SOLE 8321 0 7375 INNOPHOS HOLDINGS INC COM 45774N108 325 6700 SH SOLE 3400 0 3300 INPHI CORP COM 45772F107 384 36000 SH SOLE 19000 0 17000 INTEGRATED DEVICE TECHNOLOGY COM 458118106 480 81800 SH SOLE 41400 0 40400 INTERFACE INC COM 458665304 490 37100 SH SOLE 18500 0 18600 INTERMUNE INC COM 45884X103 347 38700 SH SOLE 19600 0 19100 INTERPUBLIC GROUP COS INC COM 460690100 671 60300 SH SOLE 30200 0 30100 INTERXION HOLDING N.V SHS N47279109 232 10200 SH SOLE 5100 0 5100 INTL PAPER CO COM 460146103 705 19400 SH SOLE 9900 0 9500 INTUITIVE SURGICAL INC COM NEW 46120E602 892 1800 SH SOLE 900 0 900 INVACARE CORP COM 461203101 206 14600 SH SOLE 7700 0 6900 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15000 ORASURE TECHNOLOGIES INC COM 68554V108 637 57300 SH SOLE 29200 0 28100 ORBITAL SCIENCES CORP COM 685564106 683 46900 SH SOLE 24100 0 22800 OREXIGEN THERAPEUTICS INC COM 686164104 1082 189300 SH SOLE 95600 0 93700 OVERSEAS SHIPHOLDING GROUP I COM 690368105 132 20000 SH SOLE 11000 0 9000 OWENS CORNING NEW COM 690742101 489 14600 SH SOLE 7400 0 7200 OWENS ILL INC COM NEW 690768403 966 51500 SH SOLE 26200 0 25300 P T TELEKOMUNIKASI INDONESIA SPONSORED ADR 715684106 899 23100 SH SOLE 11700 0 11400 PACWEST BANCORP DEL COM 695263103 397 17000 SH SOLE 8900 0 8100 PANASONIC CORP ADR 69832A205 166 25301 SH SOLE 12558 0 12743 PANTRY INC COM 698657103 236 16200 SH SOLE 8500 0 7700 PARAMETRIC TECHNOLOGY CORP COM NEW 699173209 1034 47500 SH SOLE 24100 0 23400 PARKER HANNIFIN CORP COM 701094104 752 9000 SH SOLE 4500 0 4500 PDF SOLUTIONS INC COM 693282105 235 17200 SH SOLE 9000 0 8200 PDL BIOPHARMA INC COM 69329Y104 1775 230500 SH SOLE 116900 0 113600 PEPCO HOLDINGS INC COM 713291102 427 22600 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CORP COM 775133101 284 6700 SH SOLE 3500 0 3200 ROLLINS INC COM 775711104 304 13000 SH SOLE 6500 0 6500 ROSS STORES INC COM 778296103 672 10400 SH SOLE 5300 0 5100 ROWAN COMPANIES PLC SHS CL A G7665A101 351 10400 SH SOLE 5300 0 5100 ROYAL DUTCH SHELL PLC SPON ADR B 780259107 399 5600 SH SOLE 2900 0 2700 ROYAL DUTCH SHELL PLC SPONS ADR A 780259206 958 13800 SH SOLE 7000 0 6800 RPM INTL INC COM 749685103 625 21900 SH SOLE 11200 0 10700 RPX CORP COM 74972G103 478 42700 SH SOLE 21600 0 21100 RUBY TUESDAY INC COM 781182100 96 13200 SH SOLE 7300 0 5900 RUDOLPH TECHNOLOGIES INC COM 781270103 429 40900 SH SOLE 21200 0 19700 RUTHS HOSPITALITY GROUP INC COM 783332109 127 19800 SH SOLE 10800 0 9000 RYANAIR HLDGS PLC SPONSORED ADR 783513104 893 27700 SH SOLE 14000 0 13700 SALESFORCE COM INC COM 79466L302 565 3700 SH SOLE 1900 0 1800 SALIX PHARMACEUTICALS INC COM 795435106 258 6100 SH SOLE 3200 0 2900 SALLY BEAUTY HLDGS INC COM 79546E104 640 25500 SH SOLE 13000 0 12500 SANMINA SCI CORP COM NEW 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SERVICESOURCE INTL LLC COM 81763U100 497 48400 SH SOLE 24600 0 23800 SHERWIN WILLIAMS CO COM 824348106 1236 8300 SH SOLE 4300 0 4000 SHIRE PLC SPONSORED ADR 82481R106 1056 11900 SH SOLE 6000 0 5900 SIGNET JEWELERS LIMITED SHS G81276100 619 12700 SH SOLE 6400 0 6300 SILICON IMAGE INC COM 82705T102 341 74600 SH SOLE 38900 0 35700 SILICON LABORATORIES INC COM 826919102 301 8200 SH SOLE 4100 0 4100 SILICON MOTION TECHNOLOGY CO SPONSORED ADR 82706C108 1311 88700 SH SOLE 45300 0 43400 SIMON PPTY GROUP INC NEW COM 828806109 380 2500 SH SOLE 1200 0 1300 SIX FLAGS ENTMT CORP NEW COM 83001A102 706 12000 SH SOLE 6000 0 6000 SKYWORKS SOLUTIONS INC COM 83088M102 262 11100 SH SOLE 5500 0 5600 SL GREEN RLTY CORP COM 78440X101 288 3600 SH SOLE 1800 0 1800 SLM CORP COM 78442P106 324 20600 SH SOLE 10200 0 10400 SONOCO PRODS CO COM 835495102 307 9900 SH SOLE 5000 0 4900 SOTHEBYS COM 835898107 873 27700 SH SOLE 14000 0 13700 SOUTHWEST GAS CORP COM 844895102 557 12600 SH SOLE 6500 0 6100 SPECTRA ENERGY CORP COM 847560109 364 12400 SH SOLE 6400 0 6000 SPECTRUM PHARMACEUTICALS INC COM 84763A108 996 85100 SH SOLE 42700 0 42400 SPIRIT AEROSYSTEMS HLDGS INC COM CL A 848574109 999 45000 SH SOLE 22800 0 22200 SPIRIT AIRLS INC COM 848577102 251 14700 SH SOLE 7300 0 7400 SPS COMM INC COM 78463M107 254 6600 SH SOLE 3400 0 3200 STANDARD MTR PRODS INC COM 853666105 199 10800 SH SOLE 5400 0 5400 STANDARD PAC CORP NEW COM 85375C101 361 53400 SH SOLE 26800 0 26600 STANLEY BLACK & DECKER INC COM 854502101 686 9000 SH SOLE 4500 0 4500 STARWOOD HOTELS&RESORTS WRLD COM 85590A401 209 3600 SH SOLE 1800 0 1800 STARWOOD PPTY TR INC COM 85571B105 568 24400 SH SOLE 12400 0 12000 STATE BK FINL CORP COM 856190103 201 12200 SH SOLE 6700 0 5500 STEELCASE INC CL A 858155203 786 79800 SH SOLE 40600 0 39200 STEPAN CO COM 858586100 384 4000 SH SOLE 2000 0 2000 STERIS CORP COM 859152100 301 8500 SH SOLE 4400 0 4100 STEWART INFORMATION SVCS COR COM 860372101 381 18900 SH SOLE 9600 0 9300 STMICROELECTRONICS N V NY 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CORP COM 87612G101 327 6500 SH SOLE 3300 0 3200 TARGACEPT INC COM 87611R306 173 35400 SH SOLE 19100 0 16300 TASER INTL INC COM 87651B104 212 35100 SH SOLE 17700 0 17400 TAUBMAN CTRS INC COM 876664103 491 6400 SH SOLE 3300 0 3100 TELECOM ARGENTINA S A SPON ADR REP B 879273209 135 13500 SH SOLE 6700 0 6800 TELECOM ITALIA S P A NEW SPON ADR SVGS 87927Y201 180 20839 SH SOLE 10443 0 10396 TENARIS S A SPONSORED ADR 88031M109 338 8300 SH SOLE 4200 0 4100 TERADYNE INC COM 880770102 1025 72100 SH SOLE 36400 0 35700 TEREX CORP NEW COM 880779103 379 16800 SH SOLE 8400 0 8400 TERNIUM SA SPON ADR 880890108 524 26700 SH SOLE 13400 0 13300 TESORO CORP COM 881609101 1927 46000 SH SOLE 23300 0 22700 TETRA TECHNOLOGIES INC DEL COM 88162F105 574 94800 SH SOLE 48200 0 46600 TEXAS ROADHOUSE INC COM 882681109 289 16900 SH SOLE 8500 0 8400 TEXTRON INC COM 883203101 442 16900 SH SOLE 8600 0 8300 TGC INDS INC COM NEW 872417308 106 14700 SH SOLE 8300 0 6400 THOR INDS INC COM 885160101 1199 33000 SH SOLE 16700 0 16300 THORATEC CORP COM NEW 885175307 1585 45800 SH SOLE 23200 0 22600 THRESHOLD PHARMACEUTICAL INC COM NEW 885807206 1760 243100 SH SOLE 123000 0 120100 TIBCO SOFTWARE INC COM 88632Q103 538 17800 SH SOLE 8900 0 8900 TICC CAPITAL CORP COM 87244T109 465 44700 SH SOLE 22700 0 22000 TIME WARNER CABLE INC COM 88732J207 285 3000 SH SOLE 1500 0 1500 TIMKEN CO COM 887389104 1096 29500 SH SOLE 14900 0 14600 TITAN INTL INC ILL COM 88830M102 440 24900 SH SOLE 12700 0 12200 TIVO INC COM 888706108 469 45000 SH SOLE 22600 0 22400 TJX COS INC NEW COM 872540109 1326 29600 SH SOLE 15000 0 14600 TNS INC COM 872960109 150 10000 SH SOLE 5400 0 4600 TOLL BROTHERS INC COM 889478103 847 25500 SH SOLE 12900 0 12600 TORO CO COM 891092108 963 24200 SH SOLE 12200 0 12000 TOWER GROUP INC COM 891777104 516 26600 SH SOLE 13700 0 12900 TOWN SPORTS INTL HLDGS INC COM 89214A102 136 11000 SH SOLE 6000 0 5000 TRAVELERS COMPANIES INC COM 89417E109 212 3100 SH SOLE 1600 0 1500 TREX CO INC COM 89531P105 485 14200 SH SOLE 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823 46200 SH SOLE 23400 0 22800 VMWARE INC CL A COM 928563402 1054 10900 SH SOLE 5500 0 5400 VOCUS INC COM 92858J108 201 10000 SH SOLE 5100 0 4900 VODAFONE GROUP PLC NEW SPONS ADR NEW 92857W209 402 14100 SH SOLE 7200 0 6900 VOLTERRA SEMICONDUCTOR CORP COM 928708106 695 31800 SH SOLE 16100 0 15700 VULCAN MATLS CO COM 929160109 587 12400 SH SOLE 6200 0 6200 WABASH NATL CORP COM 929566107 640 89700 SH SOLE 45700 0 44000 WABCO HLDGS INC COM 92927K102 1073 18600 SH SOLE 9400 0 9200 WALTER INVT MGMT CORP COM 93317W102 226 6100 SH SOLE 3000 0 3100 WARNER CHILCOTT PLC IRELAND SHS A G94368100 996 73800 SH SOLE 37200 0 36600 WATTS WATER TECHNOLOGIES INC CL A 942749102 462 12200 SH SOLE 6200 0 6000 WAUSAU PAPER CORP COM 943315101 101 10900 SH SOLE 5400 0 5500 WELLPOINT INC COM 94973V107 336 5800 SH SOLE 3000 0 2800 WELLS FARGO & CO NEW COM 949746101 331 9600 SH SOLE 4900 0 4700 WESCO INTL INC COM 95082P105 337 5900 SH SOLE 3000 0 2900 WESTERN ALLIANCE BANCORP COM 957638109 112 11000 SH SOLE 5600 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22900 SH SOLE 11400 0 11500 ZIONS BANCORPORATION COM 989701107 1153 55800 SH SOLE 28000 0 27800 ZOLTEK COS INC COM 98975W104 140 18200 SH SOLE 9200 0 9000 ZUMIEZ INC COM 989817101 693 25000 SH SOLE 12600 0 12400