0001085146-12-000441.txt : 20120214 0001085146-12-000441.hdr.sgml : 20120214 20120214153544 ACCESSION NUMBER: 0001085146-12-000441 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20111231 FILED AS OF DATE: 20120214 DATE AS OF CHANGE: 20120214 EFFECTIVENESS DATE: 20120214 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: 12608912 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 ellington4q2011.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: December 31, 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 February 10, 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: 521 Form 13F Information Table Value Total: $220,599 (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 347 13000 SH SOLE 13000 0 0 ABB LTD SPONSORED ADR 000375204 339 18000 SH SOLE 18000 0 0 ABBOTT LABS COM 002824100 281 5000 SH SOLE 5000 0 0 ABM INDS INC COM 000957100 305 14800 SH SOLE 14800 0 0 ACACIA RESH CORP ACACIA TCH COM 003881307 383 10500 SH SOLE 10500 0 0 ACCRETIVE HEALTH INC COM 00438V103 448 19500 SH SOLE 19500 0 0 ACME PACKET INC COM 004764106 665 21500 SH SOLE 21500 0 0 ACTUATE CORP COM 00508B102 80 13700 SH SOLE 13700 0 0 ACUITY BRANDS INC COM 00508Y102 292 5500 SH SOLE 5500 0 0 ADVANCED MICRO DEVICES INC COM 007903107 276 51100 SH SOLE 51100 0 0 ADVISORY BRD CO COM 00762W107 327 4400 SH SOLE 4400 0 0 AECOM TECHNOLOGY CORP DELAWA COM 00766T100 442 21500 SH SOLE 21500 0 0 AETNA INC NEW COM 00817Y108 219 5200 SH SOLE 5200 0 0 AFFILIATED MANAGERS GROUP COM 008252108 240 2500 SH SOLE 2500 0 0 AFFYMETRIX INC COM 00826T108 376 91900 SH SOLE 91900 0 0 AFLAC INC COM 001055102 298 6900 SH SOLE 6900 0 0 AGCO CORP COM 001084102 1057 24600 SH SOLE 24600 0 0 AGILENT TECHNOLOGIES INC COM 00846U101 279 8000 SH SOLE 8000 0 0 AK STL HLDG CORP COM 001547108 468 56700 SH SOLE 56700 0 0 AKAMAI TECHNOLOGIES INC COM 00971T101 471 14600 SH SOLE 14600 0 0 ALASKA AIR GROUP INC COM 011659109 413 5500 SH SOLE 5500 0 0 ALEXANDERS INC COM 014752109 334 902 SH SOLE 902 0 0 ALIGN TECHNOLOGY INC COM 016255101 268 11300 SH SOLE 11300 0 0 ALKERMES PLC SHS G01767105 227 13100 SH SOLE 13100 0 0 ALLIANT ENERGY CORP COM 018802108 856 19400 SH SOLE 19400 0 0 ALLOT COMMUNICATIONS LTD SHS M0854Q105 383 25200 SH SOLE 25200 0 0 ALPHA NATURAL RESOURCES INC COM 02076X102 423 20700 SH SOLE 20700 0 0 ALTISOURCE PORTFOLIO SOLNS S REG SHS L0175J104 452 9000 SH SOLE 9000 0 0 ALTRIA GROUP INC COM 02209S103 279 9400 SH SOLE 9400 0 0 AMC NETWORKS INC CL A 00164V103 466 12400 SH SOLE 12400 0 0 AMERICA MOVIL SAB DE CV SPON ADR L SHS 02364W105 371 16400 SH SOLE 16400 0 0 AMERICAN PUBLIC EDUCATION IN COM 02913V103 441 10200 SH SOLE 10200 0 0 AMERICAN SCIENCE & ENGR INC COM 029429107 272 4000 SH SOLE 4000 0 0 AMERICAN TOWER CORP CL A 029912201 462 7700 SH SOLE 7700 0 0 AMERIGROUP CORP COM 03073T102 284 4800 SH SOLE 4800 0 0 AMERIPRISE FINL INC COM 03076C106 323 6500 SH SOLE 6500 0 0 AMETEK INC NEW COM 031100100 341 8100 SH SOLE 8100 0 0 AMPHENOL CORP NEW CL A 032095101 304 6700 SH SOLE 6700 0 0 ANALOG DEVICES INC COM 032654105 229 6400 SH SOLE 6400 0 0 ANDERSONS INC COM 034164103 327 7500 SH SOLE 7500 0 0 APOLLO GROUP INC CL A 037604105 269 5000 SH SOLE 5000 0 0 APPLIED MATLS INC COM 038222105 270 25200 SH SOLE 25200 0 0 APTARGROUP INC COM 038336103 485 9300 SH SOLE 9300 0 0 ARBITRON INC COM 03875Q108 344 10000 SH SOLE 10000 0 0 ARCHER DANIELS MIDLAND CO COM 039483102 575 20100 SH SOLE 20100 0 0 ARCTIC CAT INC COM 039670104 223 9900 SH SOLE 9900 0 0 ARIAD PHARMACEUTICALS INC COM 04033A100 189 15400 SH SOLE 15400 0 0 ARKANSAS BEST CORP DEL COM 040790107 383 19900 SH SOLE 19900 0 0 ARTIO GLOBAL INVS INC COM CL A 04315B107 91 18700 SH SOLE 18700 0 0 ASHFORD HOSPITALITY TR INC COM SHS 044103109 377 47100 SH SOLE 47100 0 0 ASHLAND INC NEW COM 044209104 223 3900 SH SOLE 3900 0 0 ASML HOLDING N V NY REG SHS N07059186 272 6500 SH SOLE 6500 0 0 ATHENAHEALTH INC COM 04685W103 285 5800 SH SOLE 5800 0 0 AUTODESK INC COM 052769106 479 15800 SH SOLE 15800 0 0 AUTOLIV INC COM 052800109 530 9900 SH SOLE 9900 0 0 AUTOZONE INC COM 053332102 260 800 SH SOLE 800 0 0 AVON PRODS INC COM 054303102 526 30100 SH SOLE 30100 0 0 BALCHEM CORP COM 057665200 345 8500 SH SOLE 8500 0 0 BANCO BILBAO VIZCAYA ARGENTA SPONSORED ADR 05946K101 445 51900 SH SOLE 51900 0 0 BANCO SANTANDER CHILE NEW SP ADR REP COM 05965X109 326 4300 SH SOLE 4300 0 0 BARCLAYS PLC ADR 06738E204 441 40100 SH SOLE 40100 0 0 BASIC ENERGY SVCS INC NEW COM 06985P100 286 14500 SH SOLE 14500 0 0 BB&T CORP COM 054937107 315 12500 SH SOLE 12500 0 0 BEAM INC COM 073730103 374 7300 SH SOLE 7300 0 0 BED BATH & BEYOND INC COM 075896100 388 6700 SH SOLE 6700 0 0 BERRY PETE CO CL A 085789105 252 6000 SH SOLE 6000 0 0 BEST BUY INC COM 086516101 563 24100 SH SOLE 24100 0 0 BHP BILLITON LTD SPONSORED ADR 088606108 360 5100 SH SOLE 5100 0 0 BLACKBAUD INC COM 09227Q100 296 10700 SH SOLE 10700 0 0 BMC SOFTWARE INC COM 055921100 315 9600 SH SOLE 9600 0 0 BODY CENT CORP COM 09689U102 205 8200 SH SOLE 8200 0 0 BOINGO WIRELESS INC COM 09739C102 203 23624 SH SOLE 23624 0 0 BORGWARNER INC COM 099724106 274 4300 SH SOLE 4300 0 0 BRASKEM S A SP ADR PFD A 105532105 266 18900 SH SOLE 18900 0 0 BRIDGEPOINT ED INC COM 10807M105 248 10800 SH SOLE 10800 0 0 BRINKER INTL INC COM 109641100 235 8800 SH SOLE 8800 0 0 BRINKS CO COM 109696104 462 17200 SH SOLE 17200 0 0 BROADSOFT INC COM 11133B409 553 18300 SH SOLE 18300 0 0 BROWN SHOE INC NEW COM 115736100 367 41200 SH SOLE 41200 0 0 BRUNSWICK CORP COM 117043109 296 16400 SH SOLE 16400 0 0 BUCKLE INC COM 118440106 253 6200 SH SOLE 6200 0 0 BUNGE LIMITED COM G16962105 212 3700 SH SOLE 3700 0 0 C H ROBINSON WORLDWIDE INC COM NEW 12541W209 356 5100 SH SOLE 5100 0 0 C&J ENERGY SVCS INC COM 12467B304 609 29100 SH SOLE 29100 0 0 CAL MAINE FOODS INC COM NEW 128030202 399 10900 SH SOLE 10900 0 0 CAMERON INTERNATIONAL CORP COM 13342B105 330 6700 SH SOLE 6700 0 0 CANADIAN NAT RES LTD COM 136385101 243 6500 SH SOLE 6500 0 0 CAPITAL ONE FINL CORP COM 14040H105 283 6700 SH SOLE 6700 0 0 CAPITALSOURCE INC COM 14055X102 605 90300 SH SOLE 90300 0 0 CAREFUSION CORP COM 14170T101 340 13400 SH SOLE 13400 0 0 CARIBOU COFFEE INC COM 142042209 275 19700 SH SOLE 19700 0 0 CBEYOND INC COM 149847105 134 16700 SH SOLE 16700 0 0 CBRE GROUP INC CL A 12504L109 294 19300 SH SOLE 19300 0 0 CELESTICA INC SUB VTG SHS 15101Q108 104 14200 SH SOLE 14200 0 0 CENTURYLINK INC COM 156700106 368 9900 SH SOLE 9900 0 0 CF INDS HLDGS INC COM 125269100 377 2600 SH SOLE 2600 0 0 CHEMED CORP NEW COM 16359R103 200 3900 SH SOLE 3900 0 0 CHICAGO BRIDGE & IRON CO N V N Y REGISTRY SH 167250109 782 20700 SH SOLE 20700 0 0 CHINA PETE & CHEM CORP SPON ADR H SHS 16941R108 431 4100 SH SOLE 4100 0 0 CHINACAST EDU CORP COM 16946T109 181 29600 SH SOLE 29600 0 0 CHIPOTLE MEXICAN GRILL INC COM 169656105 405 1200 SH SOLE 1200 0 0 CHOICE HOTELS INTL INC COM 169905106 320 8400 SH SOLE 8400 0 0 CITIZENS REPUBLIC BANCORP IN COM NEW 174420307 211 18500 SH SOLE 18500 0 0 CLOUD PEAK ENERGY INC COM 18911Q102 284 14700 SH SOLE 14700 0 0 CME GROUP INC COM 12572Q105 292 1200 SH SOLE 1200 0 0 COCA COLA CO COM 191216100 329 4700 SH SOLE 4700 0 0 COCA COLA ENTERPRISES INC NE COM 19122T109 706 27400 SH SOLE 27400 0 0 COCA COLA FEMSA S A B DE C V SPON ADR REP L 191241108 476 5000 SH SOLE 5000 0 0 CODEXIS INC COM 192005106 80 15000 SH SOLE 15000 0 0 COLUMBIA SPORTSWEAR CO COM 198516106 233 5000 SH SOLE 5000 0 0 COMMERCIAL VEH GROUP INC COM 202608105 109 12100 SH SOLE 12100 0 0 COMMVAULT SYSTEMS INC COM 204166102 312 7300 SH SOLE 7300 0 0 COMPANHIA DE SANEAMENTO BASI SPONSORED ADR 20441A102 200 3600 SH SOLE 3600 0 0 COMPANHIA ENERGETICA DE MINA SP ADR N-V PFD 204409601 334 18800 SH SOLE 18800 0 0 COMPANHIA PARANAENSE ENERG C SPON ADR PFD 20441B407 596 28400 SH SOLE 28400 0 0 COMPUTER PROGRAMS & SYS INC COM 205306103 271 5300 SH SOLE 5300 0 0 CONAGRA FOODS INC COM 205887102 253 9600 SH SOLE 9600 0 0 CONOCOPHILLIPS COM 20825C104 539 7400 SH SOLE 7400 0 0 CONSTANT CONTACT INC COM 210313102 381 16400 SH SOLE 16400 0 0 CONSTELLATION BRANDS INC CL A 21036P108 335 16200 SH SOLE 16200 0 0 COOPER COS INC COM NEW 216648402 331 4700 SH SOLE 4700 0 0 CORE LABORATORIES N V COM N22717107 296 2600 SH SOLE 2600 0 0 CORE MARK HOLDING CO INC COM 218681104 218 5500 SH SOLE 5500 0 0 COSAN LTD SHS A G25343107 156 14200 SH SOLE 14200 0 0 CROCS INC COM 227046109 225 15200 SH SOLE 15200 0 0 CROSSTEX ENERGY INC COM 22765Y104 190 15000 SH SOLE 15000 0 0 CSX CORP COM 126408103 335 15900 SH SOLE 15900 0 0 CTC MEDIA INC COM 12642X106 415 47300 SH SOLE 47300 0 0 CTRIP COM INTL LTD AMERICAN DEP SHS 22943F100 573 24500 SH SOLE 24500 0 0 CUBIC CORP COM 229669106 305 7000 SH SOLE 7000 0 0 CUBIST PHARMACEUTICALS INC COM 229678107 222 5600 SH SOLE 5600 0 0 CUMMINS INC COM 231021106 308 3500 SH SOLE 3500 0 0 CYPRESS SEMICONDUCTOR CORP COM 232806109 309 18300 SH SOLE 18300 0 0 CYTEC INDS INC COM 232820100 241 5400 SH SOLE 5400 0 0 DATALINK CORP COM 237934104 87 10500 SH SOLE 10500 0 0 DAWSON GEOPHYSICAL CO COM 239359102 273 6900 SH SOLE 6900 0 0 DELEK US HLDGS INC COM 246647101 374 32800 SH SOLE 32800 0 0 DELL INC COM 24702R101 237 16200 SH SOLE 16200 0 0 DELTA AIR LINES INC DEL COM NEW 247361702 442 54600 SH SOLE 54600 0 0 DELUXE CORP COM 248019101 291 12800 SH SOLE 12800 0 0 DESARROLLADORA HOMEX S A DE SPONSORED ADR 25030W100 427 25300 SH SOLE 25300 0 0 DEUTSCHE BANK AG NAMEN AKT D18190898 447 11800 SH SOLE 11800 0 0 DEVRY INC DEL COM 251893103 200 5200 SH SOLE 5200 0 0 DISCOVER FINL SVCS COM 254709108 415 17300 SH SOLE 17300 0 0 DOLBY LABORATORIES INC COM 25659T107 567 18600 SH SOLE 18600 0 0 DOLLAR GEN CORP NEW COM 256677105 313 7600 SH SOLE 7600 0 0 DOMINOS PIZZA INC COM 25754A201 502 14800 SH SOLE 14800 0 0 DOMTAR CORP COM NEW 257559203 288 3600 SH SOLE 3600 0 0 DOW CHEM CO COM 260543103 276 9600 SH SOLE 9600 0 0 DRESSER-RAND GROUP INC COM 261608103 220 4400 SH SOLE 4400 0 0 DUN & BRADSTREET CORP DEL NE COM 26483E100 299 4000 SH SOLE 4000 0 0 E M C CORP MASS COM 268648102 269 12500 SH SOLE 12500 0 0 E TRADE FINANCIAL CORP COM NEW 269246401 332 41700 SH SOLE 41700 0 0 EARTHLINK INC COM 270321102 321 49900 SH SOLE 49900 0 0 EASTMAN CHEM CO COM 277432100 742 19000 SH SOLE 19000 0 0 ECOLAB INC COM 278865100 358 6200 SH SOLE 6200 0 0 EDUCATION MGMT CORP NEW COM 28140M103 283 10100 SH SOLE 10100 0 0 EDUCATION RLTY TR INC COM 28140H104 310 30300 SH SOLE 30300 0 0 EDWARDS LIFESCIENCES CORP COM 28176E108 354 5000 SH SOLE 5000 0 0 EHEALTH INC COM 28238P109 212 14400 SH SOLE 14400 0 0 EL PASO ELEC CO COM NEW 283677854 367 10600 SH SOLE 10600 0 0 ELLINGTON FINANCIAL LLC COM 288522303 40733 2372210 SH SOLE 1270461 0 0 EMBRAER S A SP ADR REP 4 COM 29082A107 391 15500 SH SOLE 15500 0 0 EMPIRE DIST ELEC CO COM 291641108 287 13600 SH SOLE 13600 0 0 EMPRESA NACIONAL DE ELCTRCID SPONSORED ADR 29244T101 377 8500 SH SOLE 8500 0 0 ENERGEN CORP COM 29265N108 535 10700 SH SOLE 10700 0 0 ENERGY PARTNERS LTD COM NEW 29270U303 280 19200 SH SOLE 19200 0 0 ENERSIS S A SPONSORED ADR 29274F104 287 16300 SH SOLE 16300 0 0 ESSEX PPTY TR INC COM 297178105 323 2300 SH SOLE 2300 0 0 EVERCORE PARTNERS INC CLASS A 29977A105 258 9700 SH SOLE 9700 0 0 EXPEDITORS INTL WASH INC COM 302130109 242 5900 SH SOLE 5900 0 0 EXPRESS SCRIPTS INC COM 302182100 304 6800 SH SOLE 6800 0 0 EXXON MOBIL CORP COM 30231G102 517 6100 SH SOLE 6100 0 0 EZCHIP SEMICONDUCTOR LIMITED ORD M4146Y108 329 11600 SH SOLE 11600 0 0 F M C CORP COM NEW 302491303 422 4900 SH SOLE 4900 0 0 F5 NETWORKS INC COM 315616102 605 5700 SH SOLE 5700 0 0 FAIRCHILD SEMICONDUCTOR INTL COM 303726103 390 32400 SH SOLE 32400 0 0 FAMILY DLR STORES INC COM 307000109 242 4200 SH SOLE 4200 0 0 FIRST FINL BANCORP OH COM 320209109 238 14300 SH SOLE 14300 0 0 FIRST NIAGARA FINL GP INC COM 33582V108 346 40100 SH SOLE 40100 0 0 FIRSTMERIT CORP COM 337915102 284 18800 SH SOLE 18800 0 0 FLEETCOR TECHNOLOGIES INC COM 339041105 382 12800 SH SOLE 12800 0 0 FLEXTRONICS INTL LTD ORD Y2573F102 301 53100 SH SOLE 53100 0 0 FLUOR CORP NEW COM 343412102 618 12300 SH SOLE 12300 0 0 FOCUS MEDIA HLDG LTD SPONSORED ADR 34415V109 283 14500 SH SOLE 14500 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 229 21300 SH SOLE 21300 0 0 FOREST LABS INC COM 345838106 511 16900 SH SOLE 16900 0 0 FORESTAR GROUP INC COM 346233109 290 19200 SH SOLE 19200 0 0 FOSTER WHEELER AG COM H27178104 612 32000 SH SOLE 32000 0 0 FREESCALE SEMICONDUCTOR HLDG SHS OLD G3727Q101 400 31600 SH SOLE 31600 0 0 FREIGHTCAR AMER INC COM 357023100 207 9900 SH SOLE 9900 0 0 FULLER H B CO COM 359694106 201 8700 SH SOLE 8700 0 0 FX ENERGY INC COM 302695101 113 23500 SH SOLE 23500 0 0 GAMESTOP CORP NEW CL A 36467W109 277 11500 SH SOLE 11500 0 0 GARTNER INC COM 366651107 438 12600 SH SOLE 12600 0 0 GENCORP INC COM 368682100 191 35900 SH SOLE 35900 0 0 GENERAL MTRS CO COM 37045V100 298 14700 SH SOLE 14700 0 0 GENOMIC HEALTH INC COM 37244C101 289 11400 SH SOLE 11400 0 0 GETTY RLTY CORP NEW COM 374297109 477 34200 SH SOLE 34200 0 0 GLATFELTER COM 377316104 210 14900 SH SOLE 14900 0 0 GOL LINHAS AEREAS INTLG S A SP ADR REP PFD 38045R107 535 80700 SH SOLE 80700 0 0 GOLD RESOURCE CORP COM 38068T105 270 12700 SH SOLE 12700 0 0 GRAN TIERRA ENERGY INC COM 38500T101 185 38500 SH SOLE 38500 0 0 GREEN DOT CORP CL A 39304D102 1111 35600 SH SOLE 35600 0 0 GREEN PLAINS RENEWABLE ENERG COM 393222104 156 16000 SH SOLE 16000 0 0 GREIF INC CL A 397624107 260 5700 SH SOLE 5700 0 0 GULF ISLAND FABRICATION INC COM 402307102 222 7600 SH SOLE 7600 0 0 GULFMARK OFFSHORE INC CL A NEW 402629208 214 5100 SH SOLE 5100 0 0 HANMI FINL CORP COM 410495105 122 16500 SH SOLE 16500 0 0 HANSEN NAT CORP COM 411310105 424 4600 SH SOLE 4600 0 0 HARTFORD FINL SVCS GROUP INC COM 416515104 548 33700 SH SOLE 33700 0 0 HDFC BANK LTD ADR REPS 3 SHS 40415F101 297 11300 SH SOLE 11300 0 0 HEALTH MGMT ASSOC INC NEW CL A 421933102 324 43900 SH SOLE 43900 0 0 HEALTHSTREAM INC COM 42222N103 347 18800 SH SOLE 18800 0 0 HEIDRICK & STRUGGLES INTL IN COM 422819102 233 10800 SH SOLE 10800 0 0 HERCULES OFFSHORE INC COM 427093109 301 67700 SH SOLE 67700 0 0 HEXCEL CORP NEW COM 428291108 288 11900 SH SOLE 11900 0 0 HHGREGG INC COM 42833L108 360 24900 SH SOLE 24900 0 0 HITTITE MICROWAVE CORP COM 43365Y104 291 5900 SH SOLE 5900 0 0 HNI CORP COM 404251100 457 17500 SH SOLE 17500 0 0 HOLLYFRONTIER CORP COM 436106108 1095 46800 SH SOLE 46800 0 0 HOLLYSYS AUTOMATION TECHNOLO SHS G45667105 93 11200 SH SOLE 11200 0 0 HORNBECK OFFSHORE SVCS INC N COM 440543106 211 6800 SH SOLE 6800 0 0 HUMANA INC COM 444859102 613 7000 SH SOLE 7000 0 0 HUNTINGTON BANCSHARES INC COM 446150104 608 110800 SH SOLE 110800 0 0 HUNTSMAN CORP COM 447011107 337 33700 SH SOLE 33700 0 0 HURON CONSULTING GROUP INC COM 447462102 252 6500 SH SOLE 6500 0 0 HYATT HOTELS CORP COM CL A 448579102 591 15700 SH SOLE 15700 0 0 ICICI BK LTD ADR 45104G104 460 17400 SH SOLE 17400 0 0 IDACORP INC COM 451107106 335 7900 SH SOLE 7900 0 0 IDENIX PHARMACEUTICALS INC COM 45166R204 197 26400 SH SOLE 26400 0 0 IDEXX LABS INC COM 45168D104 277 3600 SH SOLE 3600 0 0 INLAND REAL ESTATE CORP COM NEW 457461200 185 24300 SH SOLE 24300 0 0 INNOSPEC INC COM 45768S105 202 7200 SH SOLE 7200 0 0 INTEGRA LIFESCIENCES HLDGS C COM NEW 457985208 271 8800 SH SOLE 8800 0 0 INTERFACE INC CL A 458665106 133 11500 SH SOLE 11500 0 0 INTERPUBLIC GROUP COS INC COM 460690100 558 57300 SH SOLE 57300 0 0 ION GEOPHYSICAL CORP COM 462044108 249 40600 SH SOLE 40600 0 0 IROBOT CORP COM 462726100 463 15500 SH SOLE 15500 0 0 ITT CORP NEW COM NEW 450911201 764 39500 SH SOLE 39500 0 0 JABIL CIRCUIT INC COM 466313103 220 11200 SH SOLE 11200 0 0 JACOBS ENGR GROUP INC DEL COM 469814107 308 7600 SH SOLE 7600 0 0 JAMES RIVER COAL CO COM NEW 470355207 385 55600 SH SOLE 55600 0 0 JANUS CAP GROUP INC COM 47102X105 567 89900 SH SOLE 89900 0 0 JAZZ PHARMACEUTICALS INC COM 472147107 332 8600 SH SOLE 8600 0 0 JETBLUE AIRWAYS CORP COM 477143101 355 68200 SH SOLE 68200 0 0 JONES LANG LASALLE INC COM 48020Q107 288 4700 SH SOLE 4700 0 0 KBR INC COM 48242W106 828 29700 SH SOLE 29700 0 0 KELLOGG CO COM 487836108 475 9400 SH SOLE 9400 0 0 KOSMOS ENERGY LTD SHS G5315B107 260 21200 SH SOLE 21200 0 0 KRONOS WORLDWIDE INC COM 50105F105 318 17600 SH SOLE 17600 0 0 KT CORP SPONSORED ADR 48268K101 236 15100 SH SOLE 15100 0 0 KULICKE & SOFFA INDS INC COM 501242101 408 44100 SH SOLE 44100 0 0 LAM RESEARCH CORP COM 512807108 304 8200 SH SOLE 8200 0 0 LANDSTAR SYS INC COM 515098101 311 6500 SH SOLE 6500 0 0 LASALLE HOTEL PPTYS COM SH BEN INT 517942108 460 19000 SH SOLE 19000 0 0 LATTICE SEMICONDUCTOR CORP COM 518415104 393 66100 SH SOLE 66100 0 0 LEAR CORP COM NEW 521865204 398 10000 SH SOLE 10000 0 0 LENNOX INTL INC COM 526107107 469 13900 SH SOLE 13900 0 0 LG DISPLAY CO LTD SPONS ADR REP 50186V102 522 49600 SH SOLE 49600 0 0 LINCOLN ELEC HLDGS INC COM 533900106 313 8000 SH SOLE 8000 0 0 LINCOLN NATL CORP IND COM 534187109 550 28300 SH SOLE 28300 0 0 LINDSAY CORP COM 535555106 598 10900 SH SOLE 10900 0 0 LINEAR TECHNOLOGY CORP COM 535678106 757 25200 SH SOLE 25200 0 0 LINKEDIN CORP COM CL A 53578A108 737 11700 SH SOLE 11700 0 0 LIQUIDITY SERVICES INC COM 53635B107 317 8600 SH SOLE 8600 0 0 LOCKHEED MARTIN CORP COM 539830109 307 3800 SH SOLE 3800 0 0 LORILLARD INC COM 544147101 296 2600 SH SOLE 2600 0 0 LTC PPTYS INC COM 502175102 630 20400 SH SOLE 20400 0 0 LULULEMON ATHLETICA INC COM 550021109 233 5000 SH SOLE 5000 0 0 LUMBER LIQUIDATORS HLDGS INC COM 55003T107 415 23500 SH SOLE 23500 0 0 LYONDELLBASELL INDUSTRIES N SHS - A - N53745100 335 10300 SH SOLE 10300 0 0 MAGELLAN HEALTH SVCS INC COM NEW 559079207 317 6400 SH SOLE 6400 0 0 MAGICJACK VOCALTEC LTD SHS M6787E101 216 15800 SH SOLE 15800 0 0 MAGNACHIP SEMICONDUCTOR CORP COM 55933J203 114 15200 SH SOLE 15200 0 0 MAKEMYTRIP LIMITED MAURITIUS SHS V5633W109 212 8800 SH SOLE 8800 0 0 MANHATTAN ASSOCS INC COM 562750109 441 10900 SH SOLE 10900 0 0 MARTIN MARIETTA MATLS INC COM 573284106 362 4800 SH SOLE 4800 0 0 MARVELL TECHNOLOGY GROUP LTD ORD G5876H105 346 25000 SH SOLE 25000 0 0 MASIMO CORP COM 574795100 327 17500 SH SOLE 17500 0 0 MASTERCARD INC CL A 57636Q104 224 600 SH SOLE 600 0 0 MCGRAW HILL COS INC COM 580645109 292 6500 SH SOLE 6500 0 0 MCKESSON CORP COM 58155Q103 288 3700 SH SOLE 3700 0 0 MEADWESTVACO CORP COM 583334107 285 9500 SH SOLE 9500 0 0 MEDIDATA SOLUTIONS INC COM 58471A105 257 11800 SH SOLE 11800 0 0 MEDNAX INC COM 58502B106 331 4600 SH SOLE 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SOLE 12400 0 0 MORNINGSTAR INC COM 617700109 327 5500 SH SOLE 5500 0 0 MOTOROLA SOLUTIONS INC COM NEW 620076307 306 6600 SH SOLE 6600 0 0 MUELLER INDS INC COM 624756102 396 10300 SH SOLE 10300 0 0 MURPHY OIL CORP COM 626717102 557 10000 SH SOLE 10000 0 0 MWI VETERINARY SUPPLY INC COM 55402X105 312 4700 SH SOLE 4700 0 0 MYERS INDS INC COM 628464109 185 15000 SH SOLE 15000 0 0 MYRIAD GENETICS INC COM 62855J104 281 13400 SH SOLE 13400 0 0 NABORS INDUSTRIES LTD SHS G6359F103 355 20500 SH SOLE 20500 0 0 NATIONAL CINEMEDIA INC COM 635309107 325 26200 SH SOLE 26200 0 0 NATIONAL FINL PARTNERS CORP COM 63607P208 635 47000 SH SOLE 47000 0 0 NATIONAL FUEL GAS CO N J COM 636180101 228 4100 SH SOLE 4100 0 0 NAVIGATORS GROUP INC COM 638904102 253 5300 SH SOLE 5300 0 0 NAVISTAR INTL CORP NEW COM 63934E108 860 22700 SH SOLE 22700 0 0 NCI BUILDING SYS INC COM NEW 628852204 372 34200 SH SOLE 34200 0 0 NEENAH PAPER INC COM 640079109 203 9100 SH SOLE 9100 0 0 NETEASE COM INC SPONSORED ADR 64110W102 561 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SH SOLE 4700 0 0 TAUBMAN CTRS INC COM 876664103 503 8100 SH SOLE 8100 0 0 TECO ENERGY INC COM 872375100 308 16100 SH SOLE 16100 0 0 TELECOM ARGENTINA S A SPON ADR REP B 879273209 383 21400 SH SOLE 21400 0 0 TENNANT CO COM 880345103 350 9000 SH SOLE 9000 0 0 TERADYNE INC COM 880770102 534 39200 SH SOLE 39200 0 0 TEREX CORP NEW COM 880779103 480 35500 SH SOLE 35500 0 0 TERNIUM SA SPON ADR 880890108 563 30600 SH SOLE 30600 0 0 TESORO CORP COM 881609101 579 24800 SH SOLE 24800 0 0 TIDEWATER INC COM 886423102 232 4700 SH SOLE 4700 0 0 TJX COS INC NEW COM 872540109 290 4500 SH SOLE 4500 0 0 TOTAL S A SPONSORED ADR 89151E109 327 6400 SH SOLE 6400 0 0 TREX CO INC COM 89531P105 250 10900 SH SOLE 10900 0 0 TRIMAS CORP COM NEW 896215209 190 10600 SH SOLE 10600 0 0 TRIPLE-S MGMT CORP CL B 896749108 270 13500 SH SOLE 13500 0 0 TRIUS THERAPEUTICS INC COM 89685K100 179 25000 SH SOLE 25000 0 0 TRUSTMARK CORP COM 898402102 355 14600 SH SOLE 14600 0 0 TRW AUTOMOTIVE HLDGS CORP COM 87264S106 942 28900 SH SOLE 28900 0 0 TYSON FOODS INC CL A 902494103 566 27400 SH SOLE 27400 0 0 U S AIRWAYS GROUP INC COM 90341W108 147 29000 SH SOLE 29000 0 0 UBS AG SHS NEW H89231338 306 25900 SH SOLE 25900 0 0 ULTIMATE SOFTWARE GROUP INC COM 90385D107 228 3500 SH SOLE 3500 0 0 ULTRAPAR PARTICIPACOES S A SP ADR REP COM 90400P101 325 18900 SH SOLE 18900 0 0 UNION PAC CORP COM 907818108 371 3500 SH SOLE 3500 0 0 UNITED NAT FOODS INC COM 911163103 452 11300 SH SOLE 11300 0 0 UNITED PARCEL SERVICE INC CL B 911312106 651 8900 SH SOLE 8900 0 0 UNITED RENTALS INC COM 911363109 556 18800 SH SOLE 18800 0 0 UNITED STATES CELLULAR CORP COM 911684108 292 6700 SH SOLE 6700 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 501 10600 SH SOLE 10600 0 0 UNITEDHEALTH GROUP INC COM 91324P102 258 5100 SH SOLE 5100 0 0 UNIVERSAL FST PRODS INC COM 913543104 324 10500 SH SOLE 10500 0 0 UNIVERSAL TECHNICAL INST INC COM 913915104 258 20200 SH SOLE 20200 0 0 URS CORP NEW COM 903236107 537 15300 SH SOLE 15300 0 0 USA MOBILITY INC COM 90341G103 225 16200 SH SOLE 16200 0 0 USANA HEALTH SCIENCES INC COM 90328M107 401 13200 SH SOLE 13200 0 0 VAALCO ENERGY INC COM NEW 91851C201 89 14700 SH SOLE 14700 0 0 VALASSIS COMMUNICATIONS INC COM 918866104 412 21400 SH SOLE 21400 0 0 VALMONT INDS INC COM 920253101 363 4000 SH SOLE 4000 0 0 VALSPAR CORP COM 920355104 573 14700 SH SOLE 14700 0 0 VARIAN MED SYS INC COM 92220P105 262 3900 SH SOLE 3900 0 0 VECTOR GROUP LTD COM 92240M108 332 18700 SH SOLE 18700 0 0 VENTAS INC COM 92276F100 309 5600 SH SOLE 5600 0 0 VERISK ANALYTICS INC CL A 92345Y106 329 8200 SH SOLE 8200 0 0 VERTEX PHARMACEUTICALS INC COM 92532F100 452 13600 SH SOLE 13600 0 0 VIROPHARMA INC COM 928241108 356 13000 SH SOLE 13000 0 0 VISA INC COM CL A 92826C839 325 3200 SH SOLE 3200 0 0 VMWARE INC CL A COM 928563402 308 3700 SH SOLE 3700 0 0 VOLTERRA SEMICONDUCTOR CORP COM 928708106 274 10700 SH SOLE 10700 0 0 WABASH NATL CORP COM 929566107 278 35400 SH SOLE 35400 0 0 WABCO HLDGS INC COM 92927K102 434 10000 SH SOLE 10000 0 0 WADDELL & REED FINL INC CL A 930059100 312 12600 SH SOLE 12600 0 0 WALTER INVT MGMT CORP COM 93317W102 267 13000 SH SOLE 13000 0 0 WATERS CORP COM 941848103 296 4000 SH SOLE 4000 0 0 WEATHERFORD INTERNATIONAL LT REG SHS H27013103 423 28900 SH SOLE 28900 0 0 WEB COM GROUP INC COM 94733A104 185 16200 SH SOLE 16200 0 0 WEIGHT WATCHERS INTL INC NEW COM 948626106 325 5900 SH SOLE 5900 0 0 WELLCARE HEALTH PLANS INC COM 94946T106 446 8500 SH SOLE 8500 0 0 WERNER ENTERPRISES INC COM 950755108 704 29200 SH SOLE 29200 0 0 WESTERN DIGITAL CORP COM 958102105 461 14900 SH SOLE 14900 0 0 WESTERN REFNG INC COM 959319104 675 50800 SH SOLE 50800 0 0 WILLBROS GROUP INC DEL COM 969203108 62 17000 SH SOLE 17000 0 0 WILLIAMS SONOMA INC COM 969904101 385 10000 SH SOLE 10000 0 0 WILLIS GROUP HOLDINGS PUBLIC SHS G96666105 283 7300 SH SOLE 7300 0 0 WINNEBAGO INDS INC COM 974637100 179 24300 SH SOLE 24300 0 0 WINTHROP RLTY TR SH BEN INT NEW 976391300 106 10400 SH SOLE 10400 0 0 WIPRO LTD SPON ADR 1 SH 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