0001085146-11-000633.txt : 20110516
0001085146-11-000633.hdr.sgml : 20110516
20110516110044
ACCESSION NUMBER: 0001085146-11-000633
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20110331
FILED AS OF DATE: 20110516
DATE AS OF CHANGE: 20110516
EFFECTIVENESS DATE: 20110516
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: 11844235
BUSINESS ADDRESS:
STREET 1: 53 FOREST AVENUE
STREET 2: 2ND FLOOR
CITY: OLD GREENWICH
STATE: CT
ZIP: 06870
BUSINESS PHONE: 2036981136
MAIL ADDRESS:
STREET 1: 53 FOREST AVENUE
STREET 2: 2ND FLOOR
CITY: OLD GREENWICH
STATE: CT
ZIP: 06870
13F-HR
1
emg1q2011.txt
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, 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 May 13, 2011
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: 466
Form 13F Information Table Value Total: $292,562 (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
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- --------
3-D SYS CORP DEL COM NEW 88554D205 272 5600 SH SOLE 5600 0 0
ABERCROMBIE & FITCH CO CL A 002896207 558 9500 SH SOLE 9500 0 0
ACACIA RESH CORP ACACIA TCH COM 003881307 660 19200 SH SOLE 19200 0 0
ACCENTURE PLC IRELAND SHS CLASS A G1151C101 1968 35800 SH SOLE 35800 0 0
ACCURAY INC COM 004397105 143 15900 SH SOLE 15900 0 0
ACHILLION PHARMACEUTICALS IN COM 00448Q201 747 104500 SH SOLE 104500 0 0
ACTUANT CORP CL A NEW 00508X203 290 10000 SH SOLE 10000 0 0
ADVANCE AMER CASH ADVANCE CT COM 00739W107 65 12300 SH SOLE 12300 0 0
AEGON N V NY REGISTRY SH 007924103 248 33000 SH SOLE 33000 0 0
AEROPOSTALE COM 007865108 1109 45600 SH SOLE 45600 0 0
AEROVIRONMENT INC COM 008073108 504 14400 SH SOLE 14400 0 0
AES CORP COM 00130H105 348 26800 SH SOLE 26800 0 0
AFFYMAX INC COM 00826A109 562 95800 SH SOLE 95800 0 0
AFFYMETRIX INC COM 00826T108 182 35000 SH SOLE 35000 0 0
AGCO CORP COM 001084102 297 5400 SH SOLE 5400 0 0
AKAMAI TECHNOLOGIES INC COM 00971T101 570 15000 SH SOLE 15000 0 0
ALASKA AIR GROUP INC COM 011659109 495 7800 SH SOLE 7800 0 0
ALLIANCE DATA SYSTEMS CORP COM 018581108 249 2900 SH SOLE 2900 0 0
ALLIANT ENERGY CORP COM 018802108 405 10400 SH SOLE 10400 0 0
ALLOT COMMUNICATIONS LTD SHS M0854Q105 532 34000 SH SOLE 34000 0 0
ALMOST FAMILY INC COM 020409108 211 5600 SH SOLE 5600 0 0
ALNYLAM PHARMACEUTICALS INC COM 02043Q107 199 20800 SH SOLE 20800 0 0
ALON USA ENERGY INC COM 020520102 411 30000 SH SOLE 30000 0 0
ALPHA NATURAL RESOURCES INC COM 02076X102 451 7600 SH SOLE 7600 0 0
ALTERA CORP COM 021441100 414 9400 SH SOLE 9400 0 0
AMAG PHARMACEUTICALS INC COM 00163U106 180 10800 SH SOLE 10800 0 0
AMARIN CORP PLC SPONS ADR NEW 023111206 144 19700 SH SOLE 19700 0 0
AMERICAN CAMPUS CMNTYS INC COM 024835100 347 10500 SH SOLE 10500 0 0
AMERICAN STS WTR CO COM 029899101 312 8700 SH SOLE 8700 0 0
AMKOR TECHNOLOGY INC COM 031652100 391 58000 SH SOLE 58000 0 0
AMYLIN PHARMACEUTICALS INC COM 032346108 414 36400 SH SOLE 36400 0 0
ANADIGICS INC COM 032515108 118 26400 SH SOLE 26400 0 0
ANNTAYLOR STORES CORP COM 036115103 271 9300 SH SOLE 9300 0 0
APPLIED MATLS INC COM 038222105 159 10200 SH SOLE 10200 0 0
ARES CAP CORP COM 04010L103 192 11300 SH SOLE 11300 0 0
ARRIS GROUP INC COM 04269Q100 127 10000 SH SOLE 10000 0 0
ASBURY AUTOMOTIVE GROUP INC COM 043436104 279 15100 SH SOLE 15100 0 0
ASHLAND INC NEW COM 044209104 283 4900 SH SOLE 4900 0 0
AUTOCHINA INTERNATIONAL LIMI SHS G06750106 270 8300 SH SOLE 8300 0 0
AUTOLIV INC COM 052800109 282 3800 SH SOLE 3800 0 0
AVEO PHARMACEUTICALS INC COM 053588109 372 27900 SH SOLE 27900 0 0
AVIAT NETWORKS INC COM 05366Y102 352 68100 SH SOLE 68100 0 0
AVIS BUDGET GROUP COM 053774105 285 15900 SH SOLE 15900 0 0
BARNES & NOBLE INC COM 067774109 947 103100 SH SOLE 103100 0 0
BB&T CORP COM 054937107 453 16500 SH SOLE 16500 0 0
BBVA BANCO FRANCES S A SPONSORED ADR 07329M100 143 13000 SH SOLE 13000 0 0
BEBE STORES INC COM 075571109 66 11200 SH SOLE 11200 0 0
BEMIS INC COM 081437105 289 8800 SH SOLE 8800 0 0
BENCHMARK ELECTRS INC COM 08160H101 290 15300 SH SOLE 15300 0 0
BERKSHIRE HATHAWAY INC DEL CL B NEW 084670702 1004 12000 SH SOLE 12000 0 0
BHP BILLITON LTD SPONSORED ADR 088606108 355 3700 SH SOLE 3700 0 0
BIG LOTS INC COM 089302103 456 10500 SH SOLE 10500 0 0
BIOLASE TECHNOLOGY INC COM 090911108 161 33100 SH SOLE 33100 0 0
BJS WHOLESALE CLUB INC COM 05548J106 288 5900 SH SOLE 5900 0 0
BLACKROCK INC COM 09247X101 2111 10500 SH SOLE 10500 0 0
BODY CENT CORP COM 09689U102 662 28500 SH SOLE 28500 0 0
BOISE INC COM 09746Y105 119 13000 SH SOLE 13000 0 0
BON-TON STORES INC COM 09776J101 406 26200 SH SOLE 26200 0 0
BOYD GAMING CORP COM 103304101 422 45000 SH SOLE 45000 0 0
BPZ RESOURCES INC COM 055639108 108 20400 SH SOLE 20400 0 0
BRASIL TELECOM SA SPONS ADR PFD 10553M101 556 20600 SH SOLE 20600 0 0
BRF-BRASIL FOODS S A SPONSORED ADR 10552T107 1174 61500 SH SOLE 61500 0 0
BRIDGEPOINT ED INC COM 10807M105 253 14800 SH SOLE 14800 0 0
BRONCO DRILLING CO INC COM 112211107 453 40100 SH SOLE 40100 0 0
BSQUARE CORP COM NEW 11776U300 245 34300 SH SOLE 34300 0 0
BUCKLE INC COM 118440106 315 7800 SH SOLE 7800 0 0
CABLEVISION SYS CORP CL A NY CABLVS 12686C109 578 16700 SH SOLE 16700 0 0
CABOT CORP COM 127055101 296 6400 SH SOLE 6400 0 0
CAL DIVE INTL INC DEL COM 12802T101 131 18800 SH SOLE 18800 0 0
CALIFORNIA PIZZA KITCHEN INC COM 13054D109 243 14400 SH SOLE 14400 0 0
CALPINE CORP COM NEW 131347304 1904 120000 SH SOLE 120000 0 0
CAPITALSOURCE INC COM 14055X102 470 66700 SH SOLE 66700 0 0
CARLISLE COS INC COM 142339100 891 20000 SH SOLE 20000 0 0
CBEYOND INC COM 149847105 141 12100 SH SOLE 12100 0 0
CELLCOM ISRAEL LTD SHS M2196U109 593 17900 SH SOLE 17900 0 0
CELLDEX THERAPEUTICS INC NEW COM 15117B103 133 33100 SH SOLE 33100 0 0
CEMEX SAB DE CV SPON ADR NEW 151290889 113 12600 SH SOLE 12600 0 0
CENTRAIS ELETRICAS BRASILEIR SPON ADR PFD B 15234Q108 292 15100 SH SOLE 15100 0 0
CERAGON NETWORKS LTD ORD M22013102 234 19400 SH SOLE 19400 0 0
CEVA INC COM 157210105 235 8800 SH SOLE 8800 0 0
CHANGYOU COM LTD ADS REP CL A 15911M107 389 12100 SH SOLE 12100 0 0
CHEESECAKE FACTORY INC COM 163072101 292 9700 SH SOLE 9700 0 0
CHEVRON CORP NEW COM 166764100 1086 10100 SH SOLE 10100 0 0
CHINA NORTH EAST PETE HLDG L COM 16941G102 60 12900 SH SOLE 12900 0 0
CHINA-BIOTICS INC COM 16937B109 153 19100 SH SOLE 19100 0 0
CHIQUITA BRANDS INTL INC COM 170032809 264 17200 SH SOLE 17200 0 0
CISCO SYS INC COM 17275R102 966 56300 SH SOLE 56300 0 0
CITRIX SYS INC COM 177376100 309 4200 SH SOLE 4200 0 0
CLEAR CHANNEL OUTDOOR HLDGS CL A 18451C109 313 21500 SH SOLE 21500 0 0
CLECO CORP NEW COM 12561W105 267 7800 SH SOLE 7800 0 0
CLOUD PEAK ENERGY INC COM 18911Q102 203 9400 SH SOLE 9400 0 0
COACH INC COM 189754104 297 5700 SH SOLE 5700 0 0
COCA COLA ENTERPRISES INC NE COM 19122T109 287 10500 SH SOLE 10500 0 0
COCA COLA FEMSA S A B DE C V SPON ADR REP L 191241108 285 3700 SH SOLE 3700 0 0
COEUR D ALENE MINES CORP IDA COM NEW 192108504 271 7800 SH SOLE 7800 0 0
COFFEE HLDGS INC COM 192176105 432 73900 SH SOLE 73900 0 0
COGDELL SPENCER INC COM 19238U107 350 59000 SH SOLE 59000 0 0
COHEN & STEERS INC COM 19247A100 332 11200 SH SOLE 11200 0 0
COLLECTIVE BRANDS INC COM 19421W100 268 12400 SH SOLE 12400 0 0
COLONIAL PPTYS TR COM SH BEN INT 195872106 789 41000 SH SOLE 41000 0 0
COLUMBIA SPORTSWEAR CO COM 198516106 380 6400 SH SOLE 6400 0 0
COMMERCE BANCSHARES INC COM 200525103 287 7100 SH SOLE 7100 0 0
COMPANHIA DE BEBIDAS DAS AME SPON ADR PFD 20441W203 1147 40500 SH SOLE 40500 0 0
COMPANHIA ENERGETICA DE MINA SP ADR N-V PFD 204409601 291 15100 SH SOLE 15100 0 0
COMPANHIA PARANAENSE ENERG C SPON ADR PFD 20441B407 292 10500 SH SOLE 10500 0 0
COMPUCREDIT HLDGS CORP COM 20478T107 562 86100 SH SOLE 86100 0 0
COMPUWARE CORP COM 205638109 120 10400 SH SOLE 10400 0 0
CONCEPTUS INC COM 206016107 475 32800 SH SOLE 32800 0 0
CONOCOPHILLIPS COM 20825C104 375 4700 SH SOLE 4700 0 0
CONSTELLATION BRANDS INC CL A 21036P108 256 12600 SH SOLE 12600 0 0
CONSTELLATION ENERGY GROUP I COM 210371100 414 13300 SH SOLE 13300 0 0
COSAN LTD SHS A G25343107 391 30300 SH SOLE 30300 0 0
COUSINS PPTYS INC COM 222795106 194 23200 SH SOLE 23200 0 0
CRAY INC COM NEW 225223304 170 26400 SH SOLE 26400 0 0
CTRIP COM INTL LTD AMERICAN DEP SHS 22943F100 423 10200 SH SOLE 10200 0 0
CUBIST PHARMACEUTICALS INC COM 229678107 273 10800 SH SOLE 10800 0 0
CVB FINL CORP COM 126600105 751 80700 SH SOLE 80700 0 0
CVR ENERGY INC COM 12662P108 540 23300 SH SOLE 23300 0 0
D R HORTON INC COM 23331A109 3495 300000 SH SOLE 300000 0 0
DAKTRONICS INC COM 234264109 120 11200 SH SOLE 11200 0 0
DARDEN RESTAURANTS INC COM 237194105 329 6700 SH SOLE 6700 0 0
DATALINK CORP COM 237934104 178 27800 SH SOLE 27800 0 0
DAWSON GEOPHYSICAL CO COM 239359102 255 5800 SH SOLE 5800 0 0
DECKERS OUTDOOR CORP COM 243537107 276 3200 SH SOLE 3200 0 0
DELEK US HLDGS INC COM 246647101 471 34700 SH SOLE 34700 0 0
DELTA AIR LINES INC DEL COM NEW 247361702 506 51600 SH SOLE 51600 0 0
DEMANDTEC INC COM NEW 24802R506 246 18700 SH SOLE 18700 0 0
DEPOMED INC COM 249908104 1795 178800 SH SOLE 178800 0 0
DEVELOPERS DIVERSIFIED RLTY COM 251591103 370 26400 SH SOLE 26400 0 0
DILLARDS INC CL A 254067101 377 9400 SH SOLE 9400 0 0
DISCOVERY COMMUNICATNS NEW COM SER A 25470F104 152 3800 SH SOLE 3800 0 0
DISCOVERY COMMUNICATNS NEW COM SER C 25470F302 162 4600 SH SOLE 4600 0 0
DISH NETWORK CORP CL A 25470M109 499 20500 SH SOLE 20500 0 0
DOLBY LABORATORIES INC COM 25659T107 620 12600 SH SOLE 12600 0 0
DONNELLEY R R & SONS CO COM 257867101 1703 90000 SH SOLE 90000 0 0
DOUBLE EAGLE PETE CO COM PAR $0.10 258570209 180 19800 SH SOLE 19800 0 0
DR PEPPER SNAPPLE GROUP INC COM 26138E109 286 7700 SH SOLE 7700 0 0
DST SYS INC DEL COM 233326107 1078 20400 SH SOLE 20400 0 0
DSW INC CL A 23334L102 647 16200 SH SOLE 16200 0 0
DUOYUAN GLOBAL WTR INC SPONSORED ADR 266043108 238 39500 SH SOLE 39500 0 0
E TRADE FINANCIAL CORP COM NEW 269246401 363 23200 SH SOLE 23200 0 0
ECOPETROL S A SPONSORED ADS 279158109 279 6700 SH SOLE 6700 0 0
EDUCATION RLTY TR INC COM 28140H104 96 11900 SH SOLE 11900 0 0
EDWARDS LIFESCIENCES CORP COM 28176E108 305 3500 SH SOLE 3500 0 0
EL PASO ELEC CO COM NEW 283677854 1186 39000 SH SOLE 39000 0 0
ELECTRONICS FOR IMAGING INC COM 286082102 374 25400 SH SOLE 25400 0 0
ELLINGTON FINANCIAL LLC COM 288522303 60123 2608400 SH SOLE 1250000 0 0
ENCORE CAP GROUP INC COM 292554102 244 10300 SH SOLE 10300 0 0
ENDEAVOUR INTL CORP COM NEW 29259G200 893 70300 SH SOLE 70300 0 0
ENERGEN CORP COM 29265N108 290 4600 SH SOLE 4600 0 0
ENERGY PARTNERS LTD COM NEW 29270U303 364 20200 SH SOLE 20200 0 0
ENERSIS S A SPONSORED ADR 29274F104 483 23200 SH SOLE 23200 0 0
ENSCO PLC SPONSORED ADR 29358Q109 283 4900 SH SOLE 4900 0 0
ENTROPIC COMMUNICATIONS INC COM 29384R105 308 36400 SH SOLE 36400 0 0
EPICOR SOFTWARE CORP COM 29426L108 167 15100 SH SOLE 15100 0 0
EXACT SCIENCES CORP COM 30063P105 201 27400 SH SOLE 27400 0 0
EXELIXIS INC COM 30161Q104 163 14400 SH SOLE 14400 0 0
EXIDE TECHNOLOGIES COM NEW 302051206 259 23200 SH SOLE 23200 0 0
EXPEDIA INC DEL COM 30212P105 288 12700 SH SOLE 12700 0 0
EXPRESS INC COM 30219E103 1315 67300 SH SOLE 67300 0 0
EXTERRAN HLDGS INC COM 30225X103 790 33300 SH SOLE 33300 0 0
F M C CORP COM NEW 302491303 2378 28000 SH SOLE 28000 0 0
FINISH LINE INC CL A 317923100 570 28700 SH SOLE 28700 0 0
FLOTEK INDS INC DEL COM 343389102 218 25900 SH SOLE 25900 0 0
FOOT LOCKER INC COM 344849104 292 14800 SH SOLE 14800 0 0
FORCE PROTECTION INC COM NEW 345203202 656 133900 SH SOLE 133900 0 0
FOREST LABS INC COM 345838106 284 8800 SH SOLE 8800 0 0
FORTUNE BRANDS INC COM 349631101 291 4700 SH SOLE 4700 0 0
FOSSIL INC COM 349882100 1096 11700 SH SOLE 11700 0 0
FREDS INC CL A 356108100 210 15800 SH SOLE 15800 0 0
FREEPORT-MCMORAN COPPER & GO COM 35671D857 167 3000 SH SOLE 3000 0 0
FREEPORT-MCMORAN COPPER & GO COM 35671D857 8334 150000 SH CALL SOLE 0 0 0
FREEPORT-MCMORAN COPPER & GO COM 35671D857 2778 50000 SH PUT SOLE 0 0 0
FURNITURE BRANDS INTL INC COM 360921100 152 33500 SH SOLE 33500 0 0
FUSHI COPPERWELD INC COM 36113E107 355 44300 SH SOLE 44300 0 0
GAMESTOP CORP NEW CL A 36467W109 1885 83700 SH SOLE 83700 0 0
GAP INC DEL COM 364760108 290 12800 SH SOLE 12800 0 0
GENERAL MLS INC COM 370334104 216 5900 SH SOLE 5900 0 0
GENESCO INC COM 371532102 446 11100 SH SOLE 11100 0 0
GENPACT LIMITED SHS G3922B107 279 19300 SH SOLE 19300 0 0
GENWORTH FINL INC COM CL A 37247D106 289 21500 SH SOLE 21500 0 0
GEOEYE INC COM 37250W108 287 6900 SH SOLE 6900 0 0
GERDAU S A SPONSORED ADR 373737105 153 12200 SH SOLE 12200 0 0
GERON CORP COM 374163103 199 39500 SH SOLE 39500 0 0
GIANT INTERACTIVE GROUP INC ADR 374511103 136 18200 SH SOLE 18200 0 0
GLATFELTER COM 377316104 465 34900 SH SOLE 34900 0 0
GLOBAL INDS LTD COM 379336100 1524 155700 SH SOLE 155700 0 0
GOOGLE INC CL A 38259P508 4107 7000 SH SOLE 7000 0 0
GREEN DOT CORP CL A 39304D102 240 5600 SH SOLE 5600 0 0
GREEN PLAINS RENEWABLE ENERG COM 393222104 902 75000 SH SOLE 75000 0 0
GRUPO FINANCIERO GALICIA S A SP ADR 10 SH B 399909100 229 18400 SH SOLE 18400 0 0
GT SOLAR INTL INC COM 3623E0209 267 25000 SH SOLE 25000 0 0
GUESS INC COM 401617105 232 5900 SH SOLE 5900 0 0
GULF ISLAND FABRICATION INC COM 402307102 296 9200 SH SOLE 9200 0 0
HANCOCK HLDG CO COM 410120109 673 20500 SH SOLE 20500 0 0
HANSEN NAT CORP COM 411310105 1620 26900 SH SOLE 26900 0 0
HANWHA SOLARONE CO LTD SPONSORED ADR 41135V103 388 51200 SH SOLE 51200 0 0
HARLEY DAVIDSON INC COM 412822108 391 9200 SH SOLE 9200 0 0
HARRIS CORP DEL COM 413875105 407 8200 SH SOLE 8200 0 0
HARRY WINSTON DIAMOND CORP COM 41587B100 754 46600 SH SOLE 46600 0 0
HAWAIIAN HOLDINGS INC COM 419879101 251 41800 SH SOLE 41800 0 0
HCC INS HLDGS INC COM 404132102 276 8800 SH SOLE 8800 0 0
HEALTH NET INC COM 42222G108 425 13000 SH SOLE 13000 0 0
HEALTHSOUTH CORP COM NEW 421924309 262 10500 SH SOLE 10500 0 0
HECLA MNG CO COM 422704106 443 48800 SH SOLE 48800 0 0
HELEN OF TROY CORP LTD COM G4388N106 570 19400 SH SOLE 19400 0 0
HEWLETT PACKARD CO COM 428236103 664 16200 SH SOLE 16200 0 0
HHGREGG INC COM 42833L108 155 11600 SH SOLE 11600 0 0
HI-TECH PHARMACAL INC COM 42840B101 721 35800 SH SOLE 35800 0 0
HOLLY CORP COM PAR $0.01 435758305 1088 17900 SH SOLE 17900 0 0
HOT TOPIC INC COM 441339108 199 34900 SH SOLE 34900 0 0
HOUSTON AMERN ENERGY CORP COM 44183U100 248 16100 SH SOLE 16100 0 0
HOVNANIAN ENTERPRISES INC CL A 442487203 5435 1539700 SH SOLE 1539700 0 0
HSBC HLDGS PLC SPON ADR NEW 404280406 238 4600 SH SOLE 4600 0 0
HUANENG PWR INTL INC SPON ADR H SHS 443304100 216 9200 SH SOLE 9200 0 0
HUMAN GENOME SCIENCES INC COM 444903108 280 10200 SH SOLE 10200 0 0
HUNTINGTON BANCSHARES INC COM 446150104 284 42700 SH SOLE 42700 0 0
HYATT HOTELS CORP COM CL A 448579102 288 6700 SH SOLE 6700 0 0
IAC INTERACTIVECORP COM PAR $.001 44919P508 291 9400 SH SOLE 9400 0 0
ICF INTL INC COM 44925C103 302 14700 SH SOLE 14700 0 0
IMMERSION CORP COM 452521107 123 16200 SH SOLE 16200 0 0
IMMUNOGEN INC COM 45253H101 186 20500 SH SOLE 20500 0 0
INCYTE CORP COM 45337C102 265 16700 SH SOLE 16700 0 0
INFOSPACE INC COM PAR $.0001 45678T300 249 28700 SH SOLE 28700 0 0
INSIGNIA SYS INC COM 45765Y105 86 12100 SH SOLE 12100 0 0
INSPIRE PHARMACEUTICALS INC COM 457733103 227 57200 SH SOLE 57200 0 0
INTERLINE BRANDS INC COM 458743101 371 18200 SH SOLE 18200 0 0
INTERMUNE INC COM 45884X103 1897 40200 SH SOLE 40200 0 0
INTERNAP NETWORK SVCS CORP COM PAR $.001 45885A300 141 21500 SH SOLE 21500 0 0
INTERNATIONAL FLAVORS&FRAGRA COM 459506101 299 4800 SH SOLE 4800 0 0
INTERNET CAP GROUP INC COM NEW 46059C205 189 13300 SH SOLE 13300 0 0
INTERPUBLIC GROUP COS INC COM 460690100 293 23300 SH SOLE 23300 0 0
ISIS PHARMACEUTICALS INC COM 464330109 261 28900 SH SOLE 28900 0 0
ISTA PHARMACEUTICALS INC COM NEW 45031X204 119 11800 SH SOLE 11800 0 0
IXIA COM 45071R109 256 16100 SH SOLE 16100 0 0
JAKKS PAC INC COM 47012E106 370 19100 SH SOLE 19100 0 0
JAMES RIVER COAL CO COM NEW 470355207 1107 45800 SH SOLE 45800 0 0
JANUS CAP GROUP INC COM 47102X105 263 21100 SH SOLE 21100 0 0
JAZZ PHARMACEUTICALS INC COM 472147107 965 30300 SH SOLE 30300 0 0
JETBLUE AIRWAYS CORP COM 477143101 1594 254300 SH SOLE 254300 0 0
JINKOSOLAR HLDG CO LTD SPONSORED ADR 47759T100 664 24600 SH SOLE 24600 0 0
JOHN BEAN TECHNOLOGIES CORP COM 477839104 381 19800 SH SOLE 19800 0 0
JOS A BANK CLOTHIERS INC COM 480838101 850 16700 SH SOLE 16700 0 0
KAPSTONE PAPER & PACKAGING C COM 48562P103 307 17900 SH SOLE 17900 0 0
KINDRED HEALTHCARE INC COM 494580103 220 9200 SH SOLE 9200 0 0
KINETIC CONCEPTS INC COM NEW 49460W208 414 7600 SH SOLE 7600 0 0
KIRKLANDS INC COM 497498105 287 18600 SH SOLE 18600 0 0
KNOLL INC COM NEW 498904200 620 29600 SH SOLE 29600 0 0
KRATON PERFORMANCE POLYMERS COM 50077C106 237 6200 SH SOLE 6200 0 0
KROGER CO COM 501044101 360 15000 SH SOLE 15000 0 0
KRONOS WORLDWIDE INC COM 50105F105 491 8400 SH SOLE 8400 0 0
L-1 IDENTITY SOLUTIONS INC COM 50212A106 128 10900 SH SOLE 10900 0 0
LAS VEGAS SANDS CORP COM 517834107 2364 56000 SH SOLE 56000 0 0
LATTICE SEMICONDUCTOR CORP COM 518415104 404 68400 SH SOLE 68400 0 0
LEAR CORP COM NEW 521865204 298 6100 SH SOLE 6100 0 0
LEGG MASON INC COM 524901105 292 8100 SH SOLE 8100 0 0
LIHUA INTL INC COM 532352101 255 29100 SH SOLE 29100 0 0
LINCOLN EDL SVCS CORP COM 533535100 475 29900 SH SOLE 29900 0 0
LINCOLN ELEC HLDGS INC COM 533900106 205 2700 SH SOLE 2700 0 0
LINEAR TECHNOLOGY CORP COM 535678106 245 7300 SH SOLE 7300 0 0
LIVE NATION ENTERTAINMENT IN COM 538034109 306 30600 SH SOLE 30600 0 0
LIVEPERSON INC COM 538146101 148 11700 SH SOLE 11700 0 0
LORAL SPACE & COMMUNICATNS I COM 543881106 240 3100 SH SOLE 3100 0 0
LOWES COS INC COM 548661107 793 30000 SH SOLE 30000 0 0
LSB INDS INC COM 502160104 436 11000 SH SOLE 11000 0 0
LTC PPTYS INC COM 502175102 349 12300 SH SOLE 12300 0 0
LULULEMON ATHLETICA INC COM 550021109 1567 17600 SH SOLE 17600 0 0
MACYS INC COM 55616P104 311 12800 SH SOLE 12800 0 0
MAGELLAN HEALTH SVCS INC COM NEW 559079207 402 8200 SH SOLE 8200 0 0
MAGIC SOFTWARE ENTERPRISES L ORD 559166103 228 30200 SH SOLE 30200 0 0
MARVELL TECHNOLOGY GROUP LTD ORD G5876H105 278 17900 SH SOLE 17900 0 0
MASCO CORP COM 574599106 287 20600 SH SOLE 20600 0 0
MATERION CORP COM 576690101 775 19000 SH SOLE 19000 0 0
MATTEL INC COM 577081102 319 12800 SH SOLE 12800 0 0
MAXIM INTEGRATED PRODS INC COM 57772K101 241 9400 SH SOLE 9400 0 0
MAXYGEN INC COM 577776107 226 43400 SH SOLE 43400 0 0
MBIA INC COM 55262C100 118 11800 SH SOLE 11800 0 0
MCCLATCHY CO CL A 579489105 401 117900 SH SOLE 117900 0 0
MEADWESTVACO CORP COM 583334107 294 9700 SH SOLE 9700 0 0
MEDASSETS INC COM 584045108 387 25400 SH SOLE 25400 0 0
MEDICINES CO COM 584688105 627 38500 SH SOLE 38500 0 0
MEDIDATA SOLUTIONS INC COM 58471A105 460 18000 SH SOLE 18000 0 0
MEDIFAST INC COM 58470H101 223 11300 SH SOLE 11300 0 0
MEREDITH CORP COM 589433101 393 11600 SH SOLE 11600 0 0
MERIDIAN BIOSCIENCE INC COM 589584101 456 19000 SH SOLE 19000 0 0
MERITAGE HOMES CORP COM 59001A102 2751 114000 SH SOLE 114000 0 0
MICROMET INC COM 59509C105 400 71400 SH SOLE 71400 0 0
MICROSOFT CORP COM 594918104 3275 129000 SH SOLE 129000 0 0
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