0001085146-12-001102.txt : 20120814
0001085146-12-001102.hdr.sgml : 20120814
20120814144333
ACCESSION NUMBER: 0001085146-12-001102
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20120630
FILED AS OF DATE: 20120814
DATE AS OF CHANGE: 20120814
EFFECTIVENESS DATE: 20120814
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: 121032000
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
ellington2q2012.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: June 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 August 13, 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: 481
Form 13F Information Table Value Total: $208,758 (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
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- --------
21VIANET GROUP INC SPONSORED ADR 90138A103 205 17900 SH SOLE 3500 0 14400
ABERCROMBIE & FITCH CO CL A 002896207 461 13500 SH SOLE 2100 0 11400
ABIOMED INC COM 003654100 436 19100 SH SOLE 3600 0 15500
ACACIA RESH CORP ACACIA TCH COM 003881307 350 9400 SH SOLE 1500 0 7900
ACCRETIVE HEALTH INC COM 00438V103 342 31200 SH SOLE 5200 0 26000
ACCURAY INC COM 004397105 240 35200 SH SOLE 7000 0 28200
ACE LTD SHS H0023R105 222 3000 SH SOLE 600 0 2400
ACHILLION PHARMACEUTICALS IN COM 00448Q201 78 12500 SH SOLE 2500 0 10000
ACME PACKET INC COM 004764106 323 17300 SH SOLE 3100 0 14200
ACTIVE NETWORK INC COM 00506D100 174 11300 SH SOLE 1900 0 9400
ADVANCED MICRO DEVICES INC COM 007903107 782 136500 SH SOLE 26400 0 110100
ADVISORY BRD CO COM 00762W107 372 7500 SH SOLE 1200 0 6300
AERCAP HOLDINGS NV SHS N00985106 195 17300 SH SOLE 3300 0 14000
AEROPOSTALE COM 007865108 442 24800 SH SOLE 4800 0 20000
AEROVIRONMENT INC COM 008073108 260 9900 SH SOLE 1600 0 8300
AFC ENTERPRISES INC COM 00104Q107 569 24600 SH SOLE 4800 0 19800
AFFYMETRIX INC COM 00826T108 442 94200 SH SOLE 18600 0 75600
AFLAC INC COM 001055102 281 6600 SH SOLE 1100 0 5500
AGENUS INC COM NEW 00847G705 181 34500 SH SOLE 6500 0 28000
AGL RES INC COM 001204106 616 15900 SH SOLE 2800 0 13100
AGRIUM INC COM 008916108 646 7300 SH SOLE 1200 0 6100
AIRGAS INC COM 009363102 252 3000 SH SOLE 500 0 2500
ALASKA AIR GROUP INC COM 011659109 521 14500 SH SOLE 2800 0 11700
ALBEMARLE CORP COM 012653101 286 4800 SH SOLE 800 0 4000
ALKERMES PLC SHS G01767105 479 28200 SH SOLE 5200 0 23000
ALLEGIANT TRAVEL CO COM 01748X102 314 4500 SH SOLE 900 0 3600
ALLIANT ENERGY CORP COM 018802108 506 11100 SH SOLE 2000 0 9100
ALLIANT TECHSYSTEMS INC COM 018804104 369 7300 SH SOLE 1200 0 6100
ALLOT COMMUNICATIONS LTD SHS M0854Q105 340 12200 SH SOLE 2500 0 9700
ALLSCRIPTS HEALTHCARE SOLUTN COM 01988P108 691 63200 SH SOLE 11700 0 51500
ALON USA ENERGY INC COM 020520102 201 23700 SH SOLE 5100 0 18600
ALPHA NATURAL RESOURCES INC COM 02076X102 415 47600 SH SOLE 8800 0 38800
ALTERA CORP COM 021441100 277 8200 SH SOLE 1300 0 6900
ALTISOURCE PORTFOLIO SOLNS S REG SHS L0175J104 337 4600 SH SOLE 800 0 3800
ALTRIA GROUP INC COM 02209S103 321 9300 SH SOLE 1500 0 7800
AMC NETWORKS INC CL A 00164V103 245 6900 SH SOLE 1500 0 5400
AMERICAN TOWER CORP NEW COM 03027X100 329 4700 SH SOLE 700 0 4000
AMERICAN WTR WKS CO INC NEW COM 030420103 206 6000 SH SOLE 1200 0 4800
AMERISAFE INC COM 03071H100 215 8300 SH SOLE 2000 0 6300
ANADARKO PETE CORP COM 032511107 258 3900 SH SOLE 700 0 3200
ANCESTRY COM INC COM 032803108 289 10500 SH SOLE 1900 0 8600
ANIXTER INTL INC COM 035290105 202 3800 SH SOLE 700 0 3100
ANNALY CAP MGMT INC COM 035710409 223 13300 SH SOLE 2100 0 11200
ANWORTH MORTGAGE ASSET CP COM 037347101 156 22100 SH SOLE 3500 0 18600
APARTMENT INVT & MGMT CO CL A 03748R101 203 7500 SH SOLE 1800 0 5700
APPLE INC COM 037833100 642 1100 SH SOLE 200 0 900
APPLIED MICRO CIRCUITS CORP COM NEW 03822W406 103 18000 SH SOLE 2900 0 15100
ARABIAN AMERN DEV CO COM 038465100 258 26600 SH SOLE 6200 0 20400
ARCH CAP GROUP LTD ORD G0450A105 254 6400 SH SOLE 1100 0 5300
ARKANSAS BEST CORP DEL COM 040790107 499 39600 SH SOLE 7400 0 32200
ASCENA RETAIL GROUP INC COM 04351G101 218 11700 SH SOLE 2200 0 9500
ASHFORD HOSPITALITY TR INC COM SHS 044103109 441 52300 SH SOLE 11500 0 40800
ASHLAND INC NEW COM 044209104 222 3200 SH SOLE 500 0 2700
ASML HOLDING N V NY REG SHS N07059186 293 5700 SH SOLE 900 0 4800
ASPEN TECHNOLOGY INC COM 045327103 447 19300 SH SOLE 3700 0 15600
ASSOCIATED ESTATES RLTY CORP COM 045604105 230 15400 SH SOLE 2600 0 12800
ATLAS AIR WORLDWIDE HLDGS IN COM NEW 049164205 204 4700 SH SOLE 800 0 3900
ATMEL CORP COM 049513104 167 24900 SH SOLE 5200 0 19700
ATMOS ENERGY CORP COM 049560105 396 11300 SH SOLE 1900 0 9400
AUTHENTEC INC COM 052660107 185 42700 SH SOLE 8500 0 34200
AUTODESK INC COM 052769106 829 23700 SH SOLE 4300 0 19400
AUTOLIV INC COM 052800109 219 4000 SH SOLE 700 0 3300
AVAGO TECHNOLOGIES LTD SHS Y0486S104 355 9900 SH SOLE 1700 0 8200
AVNET INC COM 053807103 534 17300 SH SOLE 3200 0 14100
BALCHEM CORP COM 057665200 297 9100 SH SOLE 1800 0 7300
BANCO BRADESCO S A SP ADR PFD NEW 059460303 271 18200 SH SOLE 3000 0 15200
BANKRATE INC DEL COM 06647F102 200 10900 SH SOLE 1700 0 9200
BASIC ENERGY SVCS INC NEW COM 06985P100 107 10400 SH SOLE 2200 0 8200
BED BATH & BEYOND INC COM 075896100 260 4200 SH SOLE 700 0 3500
BELDEN INC COM 077454106 270 8100 SH SOLE 1500 0 6600
BEST BUY INC COM 086516101 310 14800 SH SOLE 2900 0 11900
BJS RESTAURANTS INC COM 09180C106 281 7400 SH SOLE 1300 0 6100
BLOCK H & R INC COM 093671105 368 23000 SH SOLE 4100 0 18900
BMC SOFTWARE INC COM 055921100 209 4900 SH SOLE 800 0 4100
BODY CENT CORP COM 09689U102 107 11900 SH SOLE 2200 0 9700
BOINGO WIRELESS INC COM 09739C102 306 26300 SH SOLE 4700 0 21600
BOSTON SCIENTIFIC CORP COM 101137107 153 26900 SH SOLE 5100 0 21800
BOYD GAMING CORP COM 103304101 196 27200 SH SOLE 6100 0 21100
BRASKEM S A SP ADR PFD A 105532105 535 40200 SH SOLE 8600 0 31600
BRIGHTCOVE INC COM 10921T101 265 17300 SH SOLE 3300 0 14000
BROOKS AUTOMATION INC COM 114340102 155 16400 SH SOLE 3100 0 13300
BROWN SHOE INC NEW COM 115736100 229 17700 SH SOLE 4000 0 13700
BRUKER CORP COM 116794108 213 16000 SH SOLE 2700 0 13300
BUCKEYE TECHNOLOGIES INC COM 118255108 293 10300 SH SOLE 1900 0 8400
C&J ENERGY SVCS INC COM 12467B304 381 20600 SH SOLE 3200 0 17400
CABOT CORP COM 127055101 285 7000 SH SOLE 1300 0 5700
CAL MAINE FOODS INC COM NEW 128030202 266 6800 SH SOLE 1400 0 5400
CANTEL MEDICAL CORP COM 138098108 207 7600 SH SOLE 1500 0 6100
CAPITAL ONE FINL CORP COM 14040H105 202 3700 SH SOLE 700 0 3000
CAPITALSOURCE INC COM 14055X102 80 11900 SH SOLE 2900 0 9000
CARDINAL HEALTH INC COM 14149Y108 344 8200 SH SOLE 1400 0 6800
CAREER EDUCATION CORP COM 141665109 187 28000 SH SOLE 4600 0 23400
CAREFUSION CORP COM 14170T101 601 23400 SH SOLE 4400 0 19000
CARTER INC COM 146229109 358 6800 SH SOLE 1300 0 5500
CATO CORP NEW CL A 149205106 402 13200 SH SOLE 2400 0 10800
CBEYOND INC COM 149847105 112 16600 SH SOLE 4400 0 12200
CBOE HLDGS INC COM 12503M108 219 7900 SH SOLE 1400 0 6500
CBS CORP NEW CL B 124857202 229 7000 SH SOLE 1200 0 5800
CEDAR REALTY TRUST INC COM NEW 150602209 68 13400 SH SOLE 3400 0 10000
CELADON GROUP INC COM 150838100 378 23100 SH SOLE 3700 0 19400
CELANESE CORP DEL COM SER A 150870103 301 8700 SH SOLE 1600 0 7100
CELLCOM ISRAEL LTD SHS M2196U109 368 60400 SH SOLE 10900 0 49500
CELLDEX THERAPEUTICS INC NEW COM 15117B103 57 11100 SH SOLE 2600 0 8500
CENTRAIS ELETRICAS BRASILEIR SPONSORED ADR 15234Q207 425 60400 SH SOLE 10200 0 50200
CENTURY ALUM CO COM 156431108 443 60500 SH SOLE 12000 0 48500
CF INDS HLDGS INC COM 125269100 329 1700 SH SOLE 200 0 1500
CHECK POINT SOFTWARE TECH LT ORD M22465104 203 4100 SH SOLE 800 0 3300
CHENIERE ENERGY INC COM NEW 16411R208 700 47500 SH SOLE 9000 0 38500
CHESAPEAKE UTILS CORP COM 165303108 201 4600 SH SOLE 1100 0 3500
CHICAGO BRIDGE & IRON CO N V N Y REGISTRY SH 167250109 247 6500 SH SOLE 1300 0 5200
CHILDRENS PL RETAIL STORES I COM 168905107 229 4600 SH SOLE 900 0 3700
CHINA TELECOM CORP LTD SPON ADR H SHS 169426103 374 8500 SH SOLE 1600 0 6900
CHIQUITA BRANDS INTL INC COM 170032809 97 19400 SH SOLE 4900 0 14500
CIENA CORP COM NEW 171779309 206 12600 SH SOLE 2700 0 9900
CLEAN HARBORS INC COM 184496107 265 4700 SH SOLE 700 0 4000
CMS ENERGY CORP COM 125896100 451 19200 SH SOLE 3300 0 15900
COLONY FINL INC COM 19624R106 329 19000 SH SOLE 3400 0 15600
COLUMBIA BKG SYS INC COM 197236102 338 18000 SH SOLE 3700 0 14300
COMMERCIAL VEH GROUP INC COM 202608105 159 18400 SH SOLE 4400 0 14000
COMPANHIA PARANAENSE ENERG C SPON ADR PFD 20441B407 423 19500 SH SOLE 3800 0 15700
COMPANIA CERVECERIAS UNIDAS SPONSORED ADR 204429104 256 4100 SH SOLE 800 0 3300
COMPASS MINERALS INTL INC COM 20451N101 320 4200 SH SOLE 700 0 3500
COMPUTER PROGRAMS & SYS INC COM 205306103 326 5700 SH SOLE 1000 0 4700
COMPUWARE CORP COM 205638109 94 10100 SH SOLE 2100 0 8000
CONNS INC COM 208242107 195 13200 SH SOLE 2800 0 10400
CONSOLIDATED COMM HLDGS INC COM 209034107 151 10200 SH SOLE 1900 0 8300
CONSTANT CONTACT INC COM 210313102 223 12500 SH SOLE 2200 0 10300
CONTANGO OIL & GAS COMPANY COM NEW 21075N204 284 4800 SH SOLE 800 0 4000
COOPER TIRE & RUBR CO COM 216831107 382 21800 SH SOLE 3700 0 18100
COPA HOLDINGS SA CL A P31076105 322 3900 SH SOLE 700 0 3200
COPART INC COM 217204106 296 12500 SH SOLE 2400 0 10100
CORE LABORATORIES N V COM N22717107 290 2500 SH SOLE 400 0 2100
CORE MARK HOLDING CO INC COM 218681104 375 7800 SH SOLE 1500 0 6300
CORELOGIC INC COM 21871D103 201 11000 SH SOLE 2000 0 9000
CORPORATE EXECUTIVE BRD CO COM 21988R102 544 13300 SH SOLE 2200 0 11100
CRAY INC COM NEW 225223304 408 33800 SH SOLE 6800 0 27000
CSG SYS INTL INC COM 126349109 235 13600 SH SOLE 2800 0 10800
CULLEN FROST BANKERS INC COM 229899109 224 3900 SH SOLE 700 0 3200
CURIS INC COM 231269101 476 88200 SH SOLE 17300 0 70900
CVR ENERGY INC COM 12662P108 643 24200 SH SOLE 4200 0 20000
CYBERONICS INC COM 23251P102 440 9800 SH SOLE 1700 0 8100
DATALINK CORP COM 237934104 187 19600 SH SOLE 4100 0 15500
DECKERS OUTDOOR CORP COM 243537107 431 9800 SH SOLE 1900 0 7900
DELEK US HLDGS INC COM 246647101 294 16700 SH SOLE 3000 0 13700
DELTA AIR LINES INC DEL COM NEW 247361702 227 20700 SH SOLE 3800 0 16900
DENBURY RES INC COM NEW 247916208 641 42400 SH SOLE 7600 0 34800
DENDREON CORP COM 24823Q107 427 57700 SH SOLE 10300 0 47400
DFC GLOBAL CORP COM 23324T107 400 21700 SH SOLE 3900 0 17800
DINEEQUITY INC COM 254423106 321 7200 SH SOLE 1400 0 5800
DIRECTV COM CL A 25490A101 513 10500 SH SOLE 2000 0 8500
DISH NETWORK CORP CL A 25470M109 608 21300 SH SOLE 4000 0 17300
DOLLAR TREE INC COM 256746108 204 3800 SH SOLE 600 0 3200
DOMINOS PIZZA INC COM 25754A201 284 9200 SH SOLE 1800 0 7400
DONALDSON INC COM 257651109 344 10300 SH SOLE 1800 0 8500
DORMAN PRODUCTS INC COM 258278100 233 9300 SH SOLE 1400 0 7900
DUCOMMUN INC DEL COM 264147109 128 13000 SH SOLE 2400 0 10600
DUN & BRADSTREET CORP DEL NE COM 26483E100 420 5900 SH SOLE 1000 0 4900
DUPONT FABROS TECHNOLOGY INC COM 26613Q106 311 10900 SH SOLE 1700 0 9200
DXP ENTERPRISES INC NEW COM NEW 233377407 369 8900 SH SOLE 1500 0 7400
EDUCATION RLTY TR INC COM 28140H104 237 21400 SH SOLE 4700 0 16700
EHEALTH INC COM 28238P109 288 17900 SH SOLE 3100 0 14800
ELECTRONIC ARTS INC COM 285512109 191 15500 SH SOLE 2700 0 12800
ELLINGTON FINANCIAL LLC COM 288522303 50196 2372210 SH SOLE 2372210 0 0
EMBRAER S A SP ADR REP 4 COM 29082A107 623 23500 SH SOLE 4200 0 19300
EMERGENT BIOSOLUTIONS INC COM 29089Q105 305 20100 SH SOLE 3800 0 16300
ENERGEN CORP COM 29265N108 623 13800 SH SOLE 2600 0 11200
ENERSYS COM 29275Y102 288 8200 SH SOLE 1500 0 6700
ENTROPIC COMMUNICATIONS INC COM 29384R105 291 51600 SH SOLE 9800 0 41800
EXCEL TR INC COM 30068C109 203 17000 SH SOLE 2800 0 14200
EXPEDITORS INTL WASH INC COM 302130109 248 6400 SH SOLE 1200 0 5200
EXPRESS SCRIPTS HLDG CO COM 30219G108 486 8700 SH SOLE 1600 0 7100
EXTERRAN HLDGS INC COM 30225X103 147 11500 SH SOLE 2300 0 9200
EXXON MOBIL CORP COM 30231G102 531 6200 SH SOLE 1100 0 5100
F M C CORP COM NEW 302491303 294 5500 SH SOLE 1000 0 4500
FERRO CORP COM 315405100 193 40200 SH SOLE 7300 0 32900
FINISH LINE INC CL A 317923100 824 39400 SH SOLE 7100 0 32300
FIRST FINL BANKSHARES COM 32020R109 294 8500 SH SOLE 1300 0 7200
FIRST MIDWEST BANCORP DEL COM 320867104 329 30000 SH SOLE 5200 0 24800
FIRST POTOMAC RLTY TR COM 33610F109 142 12100 SH SOLE 1900 0 10200
FLEXTRONICS INTL LTD ORD Y2573F102 480 77400 SH SOLE 14500 0 62900
FLOTEK INDS INC DEL COM 343389102 224 24000 SH SOLE 4200 0 19800
FNB CORP PA COM 302520101 284 26100 SH SOLE 4300 0 21800
FORD MTR CO DEL COM PAR $0.01 345370860 175 18200 SH SOLE 4000 0 14200
FOREST LABS INC COM 345838106 339 9700 SH SOLE 1600 0 8100
FREESCALE SEMICONDUCTOR LTD SHS G3727Q101 256 25000 SH SOLE 5100 0 19900
FRESH MKT INC COM 35804H106 477 8900 SH SOLE 1500 0 7400
FRONTLINE LTD SHS G3682E127 49 10800 SH SOLE 1800 0 9000
FSI INTL INC COM 302633102 39 10900 SH SOLE 1800 0 9100
FUEL TECH INC COM 359523107 51 10400 SH SOLE 2900 0 7500
FX ENERGY INC COM 302695101 124 20800 SH SOLE 3300 0 17500
GENCORP INC COM 368682100 67 10300 SH SOLE 2900 0 7400
GENERAL COMMUNICATION INC CL A 369385109 100 12100 SH SOLE 2800 0 9300
GLOBAL GEOPHYSICAL SVCS INC COM 37946S107 101 16513 SH SOLE 3113 0 13400
GLOBECOMM SYSTEMS INC COM 37956X103 218 21500 SH SOLE 4300 0 17200
GRAN TIERRA ENERGY INC COM 38500T101 117 23800 SH SOLE 5400 0 18400
GRAND CANYON ED INC COM 38526M106 448 21400 SH SOLE 3900 0 17500
GREAT NORTHN IRON ORE PPTYS CTFS BEN INT 391064102 227 3000 SH SOLE 600 0 2400
GREEN DOT CORP CL A 39304D102 737 33300 SH SOLE 5700 0 27600
GREENBRIER COS INC COM 393657101 411 23400 SH SOLE 4400 0 19000
GROUP 1 AUTOMOTIVE INC COM 398905109 452 9900 SH SOLE 1700 0 8200
GROUPON INC COM CL A 399473107 255 24000 SH SOLE 4100 0 19900
GT ADVANCED TECHNOLOGIES INC COM 36191U106 302 57200 SH SOLE 9100 0 48100
GULFMARK OFFSHORE INC CL A NEW 402629208 214 6300 SH SOLE 1100 0 5200
HARMONY GOLD MNG LTD SPONSORED ADR 413216300 419 44600 SH SOLE 7800 0 36800
HAWAIIAN HOLDINGS INC COM 419879101 270 41500 SH SOLE 8600 0 32900
HEALTH MGMT ASSOC INC NEW CL A 421933102 142 18100 SH SOLE 2900 0 15200
HEARTLAND EXPRESS INC COM 422347104 332 23200 SH SOLE 4100 0 19100
HESS CORP COM 42809H107 313 7200 SH SOLE 1300 0 5900
HIBBETT SPORTS INC COM 428567101 658 11400 SH SOLE 1900 0 9500
HITTITE MICROWAVE CORP COM 43365Y104 220 4300 SH SOLE 700 0 3600
HOME BANCSHARES INC COM 436893200 223 7300 SH SOLE 1500 0 5800
HUANENG PWR INTL INC SPON ADR H SHS 443304100 250 8400 SH SOLE 2000 0 6400
HUMANA INC COM 444859102 472 6100 SH SOLE 1000 0 5100
HUNTSMAN CORP COM 447011107 247 19100 SH SOLE 3500 0 15600
IAC INTERACTIVECORP COM PAR $.001 44919P508 433 9500 SH SOLE 1700 0 7800
ICU MED INC COM 44930G107 262 4900 SH SOLE 900 0 4000
IDT CORP CL B NEW 448947507 105 10655 SH SOLE 2155 0 8500
INNODATA INC COM NEW 457642205 157 22900 SH SOLE 5700 0 17200
INNOSPEC INC COM 45768S105 225 7600 SH SOLE 1600 0 6000
INTEGRATED DEVICE TECHNOLOGY COM 458118106 135 24000 SH SOLE 5000 0 19000
INTUIT COM 461202103 629 10600 SH SOLE 1800 0 8800
INVENSENSE INC COM 46123D205 701 62000 SH SOLE 10600 0 51400
ION GEOPHYSICAL CORP COM 462044108 415 62900 SH SOLE 10700 0 52200
ITAU UNIBANCO HLDG SA SPON ADR REP PFD 465562106 400 28700 SH SOLE 4600 0 24100
ITT CORP NEW COM NEW 450911201 1060 60200 SH SOLE 11000 0 49200
JABIL CIRCUIT INC COM 466313103 531 26100 SH SOLE 4900 0 21200
JDS UNIPHASE CORP COM PAR $0.001 46612J507 573 52100 SH SOLE 9300 0 42800
JETBLUE AIRWAYS CORP COM 477143101 132 24900 SH SOLE 5800 0 19100
JOY GLOBAL INC COM 481165108 289 5100 SH SOLE 1100 0 4000
KB HOME COM 48666K109 270 27500 SH SOLE 5200 0 22300
KINDER MORGAN INC DEL COM 49456B101 303 9400 SH SOLE 1800 0 7600
KINDRED HEALTHCARE INC COM 494580103 344 35000 SH SOLE 6200 0 28800
KOSMOS ENERGY LTD SHS G5315B107 414 37500 SH SOLE 6700 0 30800
KRATON PERFORMANCE POLYMERS COM 50077C106 427 19500 SH SOLE 3900 0 15600
KRATOS DEFENSE & SEC SOLUTIO COM NEW 50077B207 82 14000 SH SOLE 2300 0 11700
KROGER CO COM 501044101 241 10400 SH SOLE 2000 0 8400
LA Z BOY INC COM 505336107 167 13600 SH SOLE 3100 0 10500
LACLEDE GROUP INC COM 505597104 338 8500 SH SOLE 1500 0 7000
LAUDER ESTEE COS INC CL A 518439104 238 4400 SH SOLE 800 0 3600
LEAP WIRELESS INTL INC COM NEW 521863308 467 72700 SH SOLE 15300 0 57400
LEAPFROG ENTERPRISES INC CL A 52186N106 343 33400 SH SOLE 5900 0 27500
LEAR CORP COM NEW 521865204 234 6200 SH SOLE 1100 0 5100
LENNAR CORP CL A 526057104 269 8700 SH SOLE 1500 0 7200
LIBERTY MEDIA CORPORATION LIB CAP COM A 530322106 202 2300 SH SOLE 400 0 1900
LINCOLN ELEC HLDGS INC COM 533900106 271 6200 SH SOLE 1100 0 5100
LINCOLN NATL CORP IND COM 534187109 461 21100 SH SOLE 4200 0 16900
LINEAR TECHNOLOGY CORP COM 535678106 298 9500 SH SOLE 1700 0 7800
LINKEDIN CORP COM CL A 53578A108 616 5800 SH SOLE 1100 0 4700
LIQUIDITY SERVICES INC COM 53635B107 312 6100 SH SOLE 1300 0 4800
LIVE NATION ENTERTAINMENT IN COM 538034109 676 73600 SH SOLE 13100 0 60500
LIVEPERSON INC COM 538146101 606 31800 SH SOLE 6000 0 25800
LORILLARD INC COM 544147101 620 4700 SH SOLE 800 0 3900
LSI CORPORATION COM 502161102 218 34200 SH SOLE 6100 0 28100
LTC PPTYS INC COM 502175102 316 8700 SH SOLE 1400 0 7300
MAGICJACK VOCALTEC LTD SHS M6787E101 747 39300 SH SOLE 6900 0 32400
MAIDEN HOLDINGS LTD SHS G5753U112 109 12600 SH SOLE 3100 0 9500
MARKETAXESS HLDGS INC COM 57060D108 256 9600 SH SOLE 1800 0 7800
MARVELL TECHNOLOGY GROUP LTD ORD G5876H105 224 19900 SH SOLE 3600 0 16300
MASIMO CORP COM 574795100 689 30800 SH SOLE 5400 0 25400
MASTERCARD INC CL A 57636Q104 430 1000 SH SOLE 200 0 800
MATTRESS FIRM HLDG CORP COM 57722W106 355 11700 SH SOLE 2000 0 9700
MCDERMOTT INTL INC COM 580037109 673 60400 SH SOLE 10700 0 49700
MCKESSON CORP COM 58155Q103 281 3000 SH SOLE 600 0 2400
MDC PARTNERS INC CL A SUB VTG 552697104 144 12700 SH SOLE 3100 0 9600
MEDICIS PHARMACEUTICAL CORP CL A NEW 584690309 427 12500 SH SOLE 2300 0 10200
MELCO CROWN ENTMT LTD ADR 585464100 446 38700 SH SOLE 7100 0 31600
MERCADOLIBRE INC COM 58733R102 235 3100 SH SOLE 600 0 2500
MERCER INTL INC COM 588056101 61 10600 SH SOLE 2300 0 8300
METLIFE INC COM 59156R108 404 13100 SH SOLE 2200 0 10900
METROPCS COMMUNICATIONS INC COM 591708102 849 140400 SH SOLE 26000 0 114400
METROPOLITAN HEALTH NETWORKS COM 592142103 169 17700 SH SOLE 4500 0 13200
MI DEVS INC COM 55304X104 329 9700 SH SOLE 1700 0 8000
MICRON TECHNOLOGY INC COM 595112103 217 34400 SH SOLE 6500 0 27900
MICROS SYS INC COM 594901100 573 11200 SH SOLE 2000 0 9200
MICROSOFT CORP COM 594918104 321 10500 SH SOLE 1700 0 8800
MOBILE TELESYSTEMS OJSC SPONSORED ADR 607409109 191 11100 SH SOLE 1900 0 9200
MOLINA HEALTHCARE INC COM 60855R100 748 31900 SH SOLE 5800 0 26100
MOLSON COORS BREWING CO CL B 60871R209 458 11000 SH SOLE 2100 0 8900
MOMENTA PHARMACEUTICALS INC COM 60877T100 139 10300 SH SOLE 1800 0 8500
MONSTER BEVERAGE CORP COM 611740101 328 4600 SH SOLE 800 0 3800
MTS SYS CORP COM 553777103 231 6000 SH SOLE 1100 0 4900
MULTIMEDIA GAMES HLDG CO INC COM 625453105 179 12800 SH SOLE 2500 0 10300
MURPHY OIL CORP COM 626717102 714 14200 SH SOLE 2500 0 11700
MYRIAD GENETICS INC COM 62855J104 404 17000 SH SOLE 2900 0 14100
NABORS INDUSTRIES LTD SHS G6359F103 478 33200 SH SOLE 6000 0 27200
NATIONAL FUEL GAS CO N J COM 636180101 381 8100 SH SOLE 1400 0 6700
NATIONAL HEALTH INVS INC COM 63633D104 565 11100 SH SOLE 2100 0 9000
NAVISTAR INTL CORP NEW COM 63934E108 298 10500 SH SOLE 1700 0 8800
NETAPP INC COM 64110D104 274 8600 SH SOLE 1400 0 7200
NETEASE INC SPONSORED ADR 64110W102 471 8000 SH SOLE 1400 0 6600
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