0001085146-13-000625.txt : 20130219
0001085146-13-000625.hdr.sgml : 20130219
20130214180945
ACCESSION NUMBER: 0001085146-13-000625
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20121231
FILED AS OF DATE: 20130215
DATE AS OF CHANGE: 20130214
EFFECTIVENESS DATE: 20130215
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: 13616692
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
ellington4q2012.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, 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 February 08, 2013
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: 802
Form 13F Information Table Value Total: $520,380 (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
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- --------
ABIOMED INC COM 003654100 798 59400 SH SOLE 33900 0 25500
ACACIA RESH CORP ACACIA TCH COM 003881307 344 13400 SH SOLE 7700 0 5700
ACADIA HEALTHCARE COMPANY IN COM 00404A109 434 18600 SH SOLE 10600 0 8000
ACCRETIVE HEALTH INC COM 00438V103 227 19600 SH SOLE 11100 0 8500
ACE LTD SHS H0023R105 591 7400 SH SOLE 4200 0 3200
ACORDA THERAPEUTICS INC COM 00484M106 487 19600 SH SOLE 11200 0 8400
ACTIVISION BLIZZARD INC COM 00507V109 900 84700 SH SOLE 48300 0 36400
ACXIOM CORP COM 005125109 206 11785 SH SOLE 6280 0 5505
ADA ES INC COM 005208103 373 22100 SH SOLE 12500 0 9600
ADVANCED ENERGY INDS COM 007973100 301 21800 SH SOLE 12400 0 9400
ADVISORY BRD CO COM 00762W107 983 21000 SH SOLE 12000 0 9000
AECOM TECHNOLOGY CORP DELAWA COM 00766T100 902 37900 SH SOLE 21600 0 16300
AEGEAN MARINE PETROLEUM NETW SHS Y0017S102 124 23500 SH SOLE 13400 0 10100
AEP INDS INC COM 001031103 201 3400 SH SOLE 2000 0 1400
AERCAP HOLDINGS NV SHS N00985106 648 47200 SH SOLE 26900 0 20300
AEROPOSTALE COM 007865108 2058 158200 SH SOLE 90200 0 68000
AEROVIRONMENT INC COM 008073108 1307 60100 SH SOLE 34300 0 25800
AES CORP COM 00130H105 1482 138500 SH SOLE 79000 0 59500
AFC ENTERPRISES INC COM 00104Q107 725 27753 SH SOLE 16090 0 11663
AFFYMAX INC COM 00826A109 889 46800 SH SOLE 26600 0 20200
AFFYMETRIX INC COM 00826T108 147 46400 SH SOLE 26500 0 19900
AGCO CORP COM 001084102 1036 21100 SH SOLE 12000 0 9100
AGILENT TECHNOLOGIES INC COM 00846U101 602 14700 SH SOLE 8300 0 6400
AIRCASTLE LTD COM G0129K104 630 50200 SH SOLE 28600 0 21600
AK STL HLDG CORP COM 001547108 301 65500 SH SOLE 37300 0 28200
ALASKA AIR GROUP INC COM 011659109 1215 28200 SH SOLE 16100 0 12100
ALBEMARLE CORP COM 012653101 267 4300 SH SOLE 2400 0 1900
ALCOA INC COM 013817101 410 47200 SH SOLE 26900 0 20300
ALEXANDER & BALDWIN INC NEW COM 014491104 206 7000 SH SOLE 3900 0 3100
ALIGN TECHNOLOGY INC COM 016255101 1282 46200 SH SOLE 26400 0 19800
ALKERMES PLC SHS G01767105 869 46900 SH SOLE 26700 0 20200
ALLEGHENY TECHNOLOGIES INC COM 01741R102 516 17000 SH SOLE 9700 0 7300
ALLIANT ENERGY CORP COM 018802108 878 20000 SH SOLE 11400 0 8600
ALLIANT TECHSYSTEMS INC COM 018804104 1072 17300 SH SOLE 9700 0 7600
ALLIED WRLD ASSUR COM HLDG A SHS H01531104 433 5500 SH SOLE 2900 0 2600
ALLOT COMMUNICATIONS LTD SHS M0854Q105 1396 78350 SH SOLE 43574 0 34776
ALLSCRIPTS HEALTHCARE SOLUTN COM 01988P108 1079 114500 SH SOLE 65300 0 49200
ALNYLAM PHARMACEUTICALS INC COM 02043Q107 358 19600 SH SOLE 11100 0 8500
ALON USA ENERGY INC COM 020520102 438 24200 SH SOLE 13800 0 10400
ALPHA NATURAL RESOURCES INC COM 02076X102 384 39400 SH SOLE 22400 0 17000
ALTISOURCE PORTFOLIO SOLNS S REG SHS L0175J104 1205 13900 SH SOLE 7900 0 6000
ALTRIA GROUP INC COM 02209S103 704 22400 SH SOLE 12800 0 9600
AMARIN CORP PLC SPONS ADR NEW 023111206 917 113400 SH SOLE 64600 0 48800
AMAZON COM INC COM 023135106 426 1700 SH SOLE 900 0 800
AMC NETWORKS INC CL A 00164V103 302 6100 SH SOLE 3400 0 2700
AMEDISYS INC COM 023436108 644 57000 SH SOLE 32500 0 24500
AMEREN CORP COM 023608102 525 17100 SH SOLE 9700 0 7400
AMERICAN CAP LTD COM 02503Y103 151 12600 SH SOLE 7100 0 5500
AMERICAN EAGLE OUTFITTERS NE COM 02553E106 2238 109100 SH SOLE 62200 0 46900
AMERICAN EQTY INVT LIFE HLD COM 025676206 512 41900 SH SOLE 23900 0 18000
AMERICAN WOODMARK CORP COM 030506109 417 15000 SH SOLE 8600 0 6400
AMERICAN WTR WKS CO INC NEW COM 030420103 676 18200 SH SOLE 10400 0 7800
AMERISOURCEBERGEN CORP COM 03073E105 600 13900 SH SOLE 7900 0 6000
AMTRUST FINANCIAL SERVICES I COM 032359309 505 17600 SH SOLE 10000 0 7600
ANADARKO PETE CORP COM 032511107 528 7100 SH SOLE 4100 0 3000
ANNALY CAP MGMT INC COM 035710409 145 10300 SH SOLE 5900 0 4400
ANNIES INC COM 03600T104 762 22800 SH SOLE 13100 0 9700
AOL INC COM 00184X105 1081 36500 SH SOLE 20900 0 15600
APACHE CORP COM 037411105 408 5200 SH SOLE 3000 0 2200
APARTMENT INVT & MGMT CO CL A 03748R101 357 13200 SH SOLE 7500 0 5700
APOGEE ENTERPRISES INC COM 037598109 407 17000 SH SOLE 9700 0 7300
APOLLO GROUP INC CL A 037604105 1653 79000 SH SOLE 45000 0 34000
APPLE INC COM 037833100 1118 2100 SH SOLE 1200 0 900
ARCH CAP GROUP LTD ORD G0450A105 282 6400 SH SOLE 3700 0 2700
ARCH COAL INC COM 039380100 1088 148700 SH SOLE 84800 0 63900
ARGAN INC COM 04010E109 328 18200 SH SOLE 10400 0 7800
ARIAD PHARMACEUTICALS INC COM 04033A100 857 44700 SH SOLE 25400 0 19300
ARMSTRONG WORLD INDS INC NEW COM 04247X102 776 15300 SH SOLE 8700 0 6600
ARROW ELECTRS INC COM 042735100 392 10300 SH SOLE 5800 0 4500
ARUBA NETWORKS INC COM 043176106 1062 51200 SH SOLE 29200 0 22000
ASBURY AUTOMOTIVE GROUP INC COM 043436104 596 18600 SH SOLE 10700 0 7900
ASCENA RETAIL GROUP INC COM 04351G101 1363 73800 SH SOLE 42200 0 31600
ASCENT CAP GROUP INC COM SER A 043632108 229 3700 SH SOLE 2100 0 1600
ASHFORD HOSPITALITY TR INC COM SHS 044103109 150 14300 SH SOLE 8200 0 6100
ASHLAND INC NEW COM 044209104 1198 14900 SH SOLE 8400 0 6500
ASML HOLDING N V N Y REGISTRY SHS N07059210 1204 18700 SH SOLE 10600 0 8100
ASPEN INSURANCE HOLDINGS LTD SHS G05384105 263 8200 SH SOLE 4700 0 3500
AT&T INC COM 00206R102 388 11500 SH SOLE 6500 0 5000
ATLANTIC TELE NETWORK INC COM NEW 049079205 213 5800 SH SOLE 3300 0 2500
AUTONAVI HLDGS LTD SPONSORED ADR 05330F106 209 18400 SH SOLE 10500 0 7900
AUTOZONE INC COM 053332102 354 1000 SH SOLE 500 0 500
AVAGO TECHNOLOGIES LTD SHS Y0486S104 791 25000 SH SOLE 14400 0 10600
AVEO PHARMACEUTICALS INC COM 053588109 284 35300 SH SOLE 20100 0 15200
AVG TECHNOLOGIES N V SHS N07831105 174 11000 SH SOLE 6300 0 4700
AVON PRODS INC COM 054303102 472 32900 SH SOLE 18700 0 14200
AXIS CAPITAL HOLDINGS INV SHS G0692U109 440 12700 SH SOLE 7200 0 5500
BAIDU INC SPON ADR REP A 056752108 2297 22900 SH SOLE 13100 0 9800
BANCO SANTANDER BRASIL S A ADS REP 1 UNIT 05967A107 1538 211300 SH SOLE 120600 0 90700
BANNER CORP COM NEW 06652V208 212 6900 SH SOLE 4000 0 2900
BARNES GROUP INC COM 067806109 660 29400 SH SOLE 16700 0 12700
BB&T CORP COM 054937107 309 10600 SH SOLE 6000 0 4600
BEACON ROOFING SUPPLY INC COM 073685109 459 13800 SH SOLE 7700 0 6100
BELDEN INC COM 077454106 216 4800 SH SOLE 2800 0 2000
BELO CORP COM SER A 080555105 153 19900 SH SOLE 11300 0 8600
BENCHMARK ELECTRS INC COM 08160H101 346 20800 SH SOLE 11800 0 9000
BERKLEY W R CORP COM 084423102 200 5300 SH SOLE 3000 0 2300
BERKSHIRE HATHAWAY INC DEL CL B NEW 084670702 251 2800 SH SOLE 1600 0 1200
BOEING CO COM 097023105 1266 16800 SH SOLE 9400 0 7400
BOISE INC COM 09746Y105 544 68380 SH SOLE 38121 0 30259
BOK FINL CORP COM NEW 05561Q201 561 10300 SH SOLE 5900 0 4400
BOOZ ALLEN HAMILTON HLDG COR CL A 099502106 310 22300 SH SOLE 12800 0 9500
BOSTON PRIVATE FINL HLDGS IN COM 101119105 90 10000 SH SOLE 5700 0 4300
BOSTON SCIENTIFIC CORP COM 101137107 334 58300 SH SOLE 33300 0 25000
BP PLC SPONSORED ADR 055622104 516 12400 SH SOLE 7100 0 5300
BRANDYWINE RLTY TR SH BEN INT NEW 105368203 194 15900 SH SOLE 9000 0 6900
BRASKEM S A SP ADR PFD A 105532105 315 23600 SH SOLE 13500 0 10100
BRAVO BRIO RESTAURANT GROUP COM 10567B109 274 20400 SH SOLE 11700 0 8700
BRINKER INTL INC COM 109641100 211 6800 SH SOLE 3800 0 3000
BRISTOL MYERS SQUIBB CO COM 110122108 319 9800 SH SOLE 5600 0 4200
BROADRIDGE FINL SOLUTIONS IN COM 11133T103 247 10800 SH SOLE 6100 0 4700
BROCADE COMMUNICATIONS SYS I COM NEW 111621306 426 79900 SH SOLE 45600 0 34300
BROOKDALE SR LIVING INC COM 112463104 403 15900 SH SOLE 9100 0 6800
BROWN & BROWN INC COM 115236101 558 21900 SH SOLE 12500 0 9400
BROWN FORMAN CORP CL B 115637209 670 10600 SH SOLE 6000 0 4600
BROWN SHOE INC NEW COM 115736100 252 13700 SH SOLE 7800 0 5900
BRUKER CORP COM 116794108 517 33900 SH SOLE 19400 0 14500
BRUNSWICK CORP COM 117043109 902 31000 SH SOLE 17700 0 13300
BUCKLE INC COM 118440106 527 11800 SH SOLE 6800 0 5000
BUFFALO WILD WINGS INC COM 119848109 233 3200 SH SOLE 1800 0 1400
C H ROBINSON WORLDWIDE INC COM NEW 12541W209 1068 16900 SH SOLE 9600 0 7300
CABOT MICROELECTRONICS CORP COM 12709P103 440 12400 SH SOLE 7100 0 5300
CADENCE DESIGN SYSTEM INC COM 127387108 1490 110300 SH SOLE 63000 0 47300
CALAMP CORP COM 128126109 361 43400 SH SOLE 24800 0 18600
CALIFORNIA WTR SVC GROUP COM 130788102 297 16200 SH SOLE 9300 0 6900
CALLAWAY GOLF CO COM 131193104 202 31000 SH SOLE 17700 0 13300
CALPINE CORP COM NEW 131347304 1773 97800 SH SOLE 55800 0 42000
CAMBREX CORP COM 132011107 503 44228 SH SOLE 25457 0 18771
CANTEL MEDICAL CORP COM 138098108 716 24100 SH SOLE 13700 0 10400
CAPELLA EDUCATION COMPANY COM 139594105 423 15000 SH SOLE 8500 0 6500
CAPITAL ONE FINL CORP COM 14040H105 295 5100 SH SOLE 2900 0 2200
CAPITAL SR LIVING CORP COM 140475104 587 31400 SH SOLE 17900 0 13500
CAPITALSOURCE INC COM 14055X102 531 70000 SH SOLE 40000 0 30000
CARDTRONICS INC COM 14161H108 601 25300 SH SOLE 14400 0 10900
CAREFUSION CORP COM 14170T101 409 14300 SH SOLE 8200 0 6100
CARLISLE COS INC COM 142339100 270 4600 SH SOLE 2600 0 2000
CBEYOND INC COM 149847105 147 16300 SH SOLE 9300 0 7000
CBL & ASSOC PPTYS INC COM 124830100 528 24900 SH SOLE 14300 0 10600
CBS CORP NEW CL B 124857202 479 12600 SH SOLE 7200 0 5400
CELANESE CORP DEL COM SER A 150870103 249 5600 SH SOLE 3200 0 2400
CELLCOM ISRAEL LTD SHS M2196U109 372 44900 SH SOLE 25600 0 19300
CEMEX SAB DE CV SPON ADR NEW 151290889 1372 139000 SH SOLE 79300 0 59700
CENTENE CORP DEL COM 15135B101 968 23600 SH SOLE 13500 0 10100
CENTRAIS ELETRICAS BRASILEIR SPONSORED ADR 15234Q207 447 143200 SH SOLE 81800 0 61400
CEPHEID COM 15670R107 897 26500 SH SOLE 15000 0 11500
CF INDS HLDGS INC COM 125269100 1625 8000 SH SOLE 4400 0 3600
CHARLES RIV LABS INTL INC COM 159864107 555 14800 SH SOLE 8300 0 6500
CHARTER COMMUNICATIONS INC D CL A NEW 16117M305 374 4900 SH SOLE 2700 0 2200
CHECKPOINT SYS INC COM 162825103 149 13900 SH SOLE 7900 0 6000
CHEESECAKE FACTORY INC COM 163072101 530 16200 SH SOLE 9200 0 7000
CHEMTURA CORP COM NEW 163893209 1101 51800 SH SOLE 29600 0 22200
CHICAGO BRIDGE & IRON CO N V N Y REGISTRY SH 167250109 2234 48200 SH SOLE 27500 0 20700
CHILDRENS PL RETAIL STORES I COM 168905107 1315 29700 SH SOLE 16900 0 12800
CHINA LIFE INS CO LTD SPON ADR REP H 16939P106 711 14300 SH SOLE 8200 0 6100
CHIPMOS TECH BERMUDA LTD SHS G2110R114 121 10400 SH SOLE 5900 0 4500
CHIQUITA BRANDS INTL INC COM 170032809 377 45700 SH SOLE 26100 0 19600
CHOICE HOTELS INTL INC COM 169905106 377 11200 SH SOLE 6400 0 4800
CIMAREX ENERGY CO COM 171798101 421 7300 SH SOLE 4300 0 3000
CINEMARK HOLDINGS INC COM 17243V102 382 14700 SH SOLE 8300 0 6400
CIT GROUP INC COM NEW 125581801 236 6100 SH SOLE 3400 0 2700
CITI TRENDS INC COM 17306X102 205 14900 SH SOLE 8500 0 6400
CITIGROUP INC COM NEW 172967424 261 6600 SH SOLE 3800 0 2800
CLEAR CHANNEL OUTDOOR HLDGS CL A 18451C109 82 11700 SH SOLE 6700 0 5000
CLOUD PEAK ENERGY INC COM 18911Q102 1015 52500 SH SOLE 30000 0 22500
CME GROUP INC COM 12572Q105 1322 26100 SH SOLE 14900 0 11200
CNH GLOBAL N V SHS NEW N20935206 226 5600 SH SOLE 3200 0 2400
COACH INC COM 189754104 877 15800 SH SOLE 9100 0 6700
COCA COLA ENTERPRISES INC NE COM 19122T109 378 11900 SH SOLE 6800 0 5100
COINSTAR INC COM 19259P300 837 16100 SH SOLE 9200 0 6900
COMMERCE BANCSHARES INC COM 200525103 526 15003 SH SOLE 8502 0 6501
COMMUNITY HEALTH SYS INC NEW COM 203668108 689 22400 SH SOLE 12900 0 9500
COMPANHIA DE BEBIDAS DAS AME SPON ADR PFD 20441W203 840 20000 SH SOLE 11400 0 8600
COMPANHIA ENERGETICA DE MINA SP ADR N-V PFD 204409601 1259 115900 SH SOLE 66100 0 49800
COMPANHIA PARANAENSE ENERG C SPON ADR PFD 20441B407 424 27600 SH SOLE 15700 0 11900
COMPANHIA SIDERURGICA NACION SPONSORED ADR 20440W105 268 45500 SH SOLE 26000 0 19500
COMPUTER PROGRAMS & SYS INC COM 205306103 398 7900 SH SOLE 4500 0 3400
COMSCORE INC COM 20564W105 328 23800 SH SOLE 13600 0 10200
COMSTOCK RES INC COM NEW 205768203 1018 67300 SH SOLE 38400 0 28900
CONAGRA FOODS INC COM 205887102 679 23000 SH SOLE 13100 0 9900
CONSTANT CONTACT INC COM 210313102 463 32600 SH SOLE 18600 0 14000
CON-WAY INC COM 205944101 278 10000 SH SOLE 5700 0 4300
COOPER COS INC COM NEW 216648402 481 5200 SH SOLE 3000 0 2200
COOPER TIRE & RUBR CO COM 216831107 1210 47700 SH SOLE 27200 0 20500
COPART INC COM 217204106 664 22500 SH SOLE 12900 0 9600
CORE MARK HOLDING CO INC COM 218681104 284 6000 SH SOLE 3400 0 2600
CORELOGIC INC COM 21871D103 291 10800 SH SOLE 6100 0 4700
CORNING INC COM 219350105 599 47500 SH SOLE 27100 0 20400
COSAN LTD SHS A G25343107 886 51200 SH SOLE 29200 0 22000
CRAY INC COM NEW 225223304 707 44300 SH SOLE 25300 0 19000
CREDIT ACCEP CORP MICH COM 225310101 376 3700 SH SOLE 2100 0 1600
CREXUS INVT CORP COM 226553105 379 30900 SH SOLE 17600 0 13300
CROCS INC COM 227046109 1238 86000 SH SOLE 49000 0 37000
CROSSTEX ENERGY INC COM 22765Y104 151 10500 SH SOLE 6000 0 4500
CROWN HOLDINGS INC COM 228368106 313 8500 SH SOLE 4900 0 3600
CSX CORP COM 126408103 339 17200 SH SOLE 9800 0 7400
CTC MEDIA INC COM 12642X106 500 64300 SH SOLE 36700 0 27600
CUBESMART COM 229663109 169 11600 SH SOLE 6600 0 5000
CULLEN FROST BANKERS INC COM 229899109 901 16600 SH SOLE 9500 0 7100
CVS CAREMARK CORPORATION COM 126650100 338 7000 SH SOLE 4000 0 3000
CYBERONICS INC COM 23251P102 310 5900 SH SOLE 3300 0 2600
CYNOSURE INC CL A 232577205 557 23100 SH SOLE 13200 0 9900
CYPRESS SEMICONDUCTOR CORP COM 232806109 1637 151000 SH SOLE 86100 0 64900
D R HORTON INC COM 23331A109 477 24100 SH SOLE 13800 0 10300
DAKTRONICS INC COM 234264109 315 28400 SH SOLE 16300 0 12100
DEAN FOODS CO NEW COM 242370104 1248 75600 SH SOLE 43200 0 32400
DELEK US HLDGS INC COM 246647101 833 32900 SH SOLE 18800 0 14100
DELL INC COM 24702R101 806 79500 SH SOLE 45300 0 34200
DELTA AIR LINES INC DEL COM NEW 247361702 707 59600 SH SOLE 34000 0 25600
DEMAND MEDIA INC COM 24802N109 152 16400 SH SOLE 9400 0 7000
DENBURY RES INC COM NEW 247916208 897 55400 SH SOLE 31600 0 23800
DEPOMED INC COM 249908104 90 14600 SH SOLE 8300 0 6300
DESARROLLADORA HOMEX S A DE SPONSORED ADR 25030W100 889 71200 SH SOLE 40600 0 30600
DEVON ENERGY CORP NEW COM 25179M103 349 6700 SH SOLE 3800 0 2900
DIAMOND OFFSHORE DRILLING IN COM 25271C102 720 10600 SH SOLE 6100 0 4500
DIANA SHIPPING INC COM Y2066G104 279 38200 SH SOLE 21800 0 16400
DICKS SPORTING GOODS INC COM 253393102 632 13900 SH SOLE 7900 0 6000
DIGI INTL INC COM 253798102 136 14400 SH SOLE 8200 0 6200
DIME CMNTY BANCSHARES COM 253922108 183 13200 SH SOLE 7500 0 5700
DIODES INC COM 254543101 571 32900 SH SOLE 18700 0 14200
DIRECTV COM 25490A309 451 9000 SH SOLE 5100 0 3900
DISCOVER FINL SVCS COM 254709108 717 18600 SH SOLE 10600 0 8000
DISH NETWORK CORP CL A 25470M109 1041 28600 SH SOLE 16300 0 12300
DISNEY WALT CO COM DISNEY 254687106 349 7000 SH SOLE 4000 0 3000
DOLBY LABORATORIES INC COM 25659T107 1214 41400 SH SOLE 23500 0 17900
DOLLAR GEN CORP NEW COM 256677105 569 12900 SH SOLE 7400 0 5500
DOMINOS PIZZA INC COM 25754A201 1067 24500 SH SOLE 13900 0 10600
DOMTAR CORP COM NEW 257559203 284 3400 SH SOLE 2000 0 1400
DRIL-QUIP INC COM 262037104 321 4400 SH SOLE 2500 0 1900
DST SYS INC DEL COM 233326107 564 9300 SH SOLE 5300 0 4000
DSW INC CL A 23334L102 617 9400 SH SOLE 5300 0 4100
DUN & BRADSTREET CORP DEL NE COM 26483E100 409 5200 SH SOLE 2900 0 2300
EAGLE MATERIALS INC COM 26969P108 328 5600 SH SOLE 3200 0 2400
EARTHLINK INC COM 270321102 184 28506 SH SOLE 15830 0 12676
EAST WEST BANCORP INC COM 27579R104 1158 53900 SH SOLE 30700 0 23200
EASTMAN CHEM CO COM 277432100 367 5400 SH SOLE 3100 0 2300
EBIX INC COM NEW 278715206 248 15402 SH SOLE 8389 0 7013
ECHOSTAR CORP CL A 278768106 339 9900 SH SOLE 5600 0 4300
EDGEN GROUP INC CL A 28014Q107 103 14600 SH SOLE 8300 0 6300
EDISON INTL COM 281020107 456 10100 SH SOLE 5700 0 4400
EHEALTH INC COM 28238P109 352 12800 SH SOLE 7400 0 5400
EL PASO ELEC CO COM NEW 283677854 533 16700 SH SOLE 9500 0 7200
ELAN PLC ADR 284131208 826 80900 SH SOLE 46100 0 34800
ELLINGTON FINANCIAL LLC COM 288522303 43703 1945826 SH SOLE 1945826 0 0
EMBRAER S A SP ADR REP 4 COM 29082A107 507 17800 SH SOLE 10200 0 7600
EMERGENT BIOSOLUTIONS INC COM 29089Q105 388 24200 SH SOLE 13800 0 10400
EMERITUS CORP COM 291005106 284 11500 SH SOLE 6600 0 4900
EMPRESAS ICA S A DE CV SPONS ADR NEW 292448206 193 19200 SH SOLE 10900 0 8300
ENDEAVOUR INTL CORP COM NEW 29259G200 163 31500 SH SOLE 18000 0 13500
ENDO HEALTH SOLUTIONS INC COM 29264F205 929 35400 SH SOLE 20200 0 15200
ENDURANCE SPECIALTY HLDGS LT SHS G30397106 429 10800 SH SOLE 6100 0 4700
ENERGEN CORP COM 29265N108 1163 25800 SH SOLE 14800 0 11000
ENERSIS S A SPONSORED ADR 29274F104 1026 56300 SH SOLE 32100 0 24200
EQUITY LIFESTYLE PPTYS INC COM 29472R108 646 9600 SH SOLE 5500 0 4100
ERICSSON ADR B SEK 10 294821608 402 39800 SH SOLE 22700 0 17100
ESTERLINE TECHNOLOGIES CORP COM 297425100 528 8300 SH SOLE 4700 0 3600
EVERBANK FINL CORP COM 29977G102 234 15700 SH SOLE 8900 0 6800
EVEREST RE GROUP LTD COM G3223R108 572 5200 SH SOLE 3000 0 2200
EXPEDITORS INTL WASH INC COM 302130109 633 16000 SH SOLE 9100 0 6900
EXPRESS INC COM 30219E103 285 18900 SH SOLE 10800 0 8100
EXTERRAN HLDGS INC COM 30225X103 776 35400 SH SOLE 20300 0 15100
F M C CORP COM NEW 302491303 421 7200 SH SOLE 4100 0 3100
F5 NETWORKS INC COM 315616102 1516 15600 SH SOLE 8800 0 6800
FEDERATED INVS INC PA CL B 314211103 1119 55300 SH SOLE 31500 0 23800
FELCOR LODGING TR INC COM 31430F101 116 24800 SH SOLE 14200 0 10600
FIDELITY NATIONAL FINANCIAL CL A 31620R105 631 26800 SH SOLE 15200 0 11600
FIDELITY NATL INFORMATION SV COM 31620M106 811 23300 SH SOLE 13300 0 10000
FINANCIAL ENGINES INC COM 317485100 585 21100 SH SOLE 11900 0 9200
FINISH LINE INC CL A 317923100 1230 65000 SH SOLE 37100 0 27900
FIRST AMERN FINL CORP COM 31847R102 966 40100 SH SOLE 22800 0 17300
FIRST COMWLTH FINL CORP PA COM 319829107 94 13800 SH SOLE 7800 0 6000
FIRST HORIZON NATL CORP COM 320517105 1020 102900 SH SOLE 58600 0 44300
FIRST MERCHANTS CORP COM 320817109 200 13496 SH SOLE 7696 0 5800
FIRST MIDWEST BANCORP DEL COM 320867104 331 26400 SH SOLE 15000 0 11400
FIRST REP BK SAN FRANCISCO C COM 33616C100 439 13400 SH SOLE 7600 0 5800
FISERV INC COM 337738108 727 9200 SH SOLE 5200 0 4000
FIVE STAR QUALITY CARE INC COM 33832D106 166 33100 SH SOLE 18900 0 14200
FLAGSTAR BANCORP INC COM PAR .001 337930705 425 21900 SH SOLE 12500 0 9400
FLEXTRONICS INTL LTD ORD Y2573F102 379 61000 SH SOLE 34700 0 26300
FLUOR CORP NEW COM 343412102 1422 24200 SH SOLE 13800 0 10400
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