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 INC COM 00484M106 284 11100 SH SOLE 5500 0 5600
ACTIVE NETWORK INC COM 00506D100 710 56700 SH SOLE 28400 0 28300
ACTIVISION BLIZZARD INC COM 00507V109 466 41300 SH SOLE 20700 0 20600
ACTUATE CORP COM 00508B102 349 49600 SH SOLE 25600 0 24000
ADOBE SYS INC COM 00724F101 730 22500 SH SOLE 11300 0 11200
ADTRAN INC COM 00738A106 202 11700 SH SOLE 6000 0 5700
AECOM TECHNOLOGY CORP DELAWA COM 00766T100 738 34900 SH SOLE 18000 0 16900
AEGION CORP COM 00770F104 232 12100 SH SOLE 6100 0 6000
AEP INDS INC COM 001031103 242 4000 SH SOLE 2200 0 1800
AEROVIRONMENT INC COM 008073108 242 10300 SH SOLE 5100 0 5200
AES CORP COM 00130H105 438 39900 SH SOLE 20300 0 19600
AETNA INC NEW COM 00817Y108 432 10900 SH SOLE 5400 0 5500
AFFYMAX INC COM 00826A109 1344 63800 SH SOLE 32400 0 31400
AFFYMETRIX INC COM 00826T108 227 52200 SH SOLE 26200 0 26000
AFLAC INC COM 001055102 555 11600 SH SOLE 5900 0 5700
AG MTG INVT TR INC COM 001228105 625 25900 SH SOLE 13200 0 12700
AGCO CORP COM 001084102 703 14800 SH SOLE 7300 0 7500
AGILENT TECHNOLOGIES INC COM 00846U101 542 14100 SH SOLE 7100 0 7000
AGL RES INC COM 001204106 671 16400 SH SOLE 8300 0 8100
AIR METHODS CORP COM PAR $.06 009128307 668 5600 SH SOLE 2900 0 2700
AIR TRANSPORT SERVICES GRP I COM 00922R105 65 14700 SH SOLE 7300 0 7400
AIRCASTLE LTD COM G0129K104 309 27300 SH SOLE 13700 0 13600
AIRGAS INC COM 009363102 494 6000 SH SOLE 3100 0 2900
AKORN INC COM 009728106 607 45900 SH SOLE 23200 0 22700
ALASKA AIR GROUP INC COM 011659109 929 26500 SH SOLE 13400 0 13100
ALBEMARLE CORP COM 012653101 769 14600 SH SOLE 7400 0 7200
ALLIANT ENERGY CORP COM 018802108 607 14000 SH SOLE 6900 0 7100
ALLIED WRLD ASSUR COM HLDG A SHS H01531104 409 5300 SH SOLE 2800 0 2500
ALLOT COMMUNICATIONS LTD SHS M0854Q105 676 25500 SH SOLE 12800 0 12700
ALLSCRIPTS HEALTHCARE SOLUTN COM 01988P108 591 47600 SH SOLE 23900 0 23700
ALPHA NATURAL RESOURCES INC COM 02076X102 777 118200 SH SOLE 59200 0 59000
ALTERA CORP COM 021441100 316 9300 SH SOLE 4700 0 4600
ALTISOURCE PORTFOLIO SOLNS S REG SHS L0175J104 587 6800 SH SOLE 3400 0 3400
AMC NETWORKS INC CL A 00164V103 1484 34100 SH SOLE 17300 0 16800
AMDOCS LTD ORD G02602103 604 18300 SH SOLE 9300 0 9000
AMERCO COM 023586100 457 4300 SH SOLE 2100 0 2200
AMEREN CORP COM 023608102 438 13400 SH SOLE 6700 0 6700
AMERICAN ASSETS TR INC COM 024013104 455 17000 SH SOLE 8700 0 8300
AMERICAN AXLE & MFG HLDGS IN COM 024061103 772 68500 SH SOLE 34700 0 33800
AMERICAN CAP LTD COM 02503Y103 285 25100 SH SOLE 12700 0 12400
AMERICAN EAGLE OUTFITTERS NE COM 02553E106 567 26900 SH SOLE 13500 0 13400
AMERICAN INTL GROUP INC COM NEW 026874784 502 15300 SH SOLE 7600 0 7700
AMERICAN TOWER CORP NEW COM 03027X100 207 2900 SH SOLE 1500 0 1400
AMERICAN VANGUARD CORP COM 030371108 651 18700 SH SOLE 9500 0 9200
AMERICAN WTR WKS CO INC NEW COM 030420103 708 19100 SH SOLE 9600 0 9500
AMERISAFE INC COM 03071H100 236 8700 SH SOLE 4700 0 4000
AMERISOURCEBERGEN CORP COM 03073E105 283 7300 SH SOLE 3700 0 3600
AMERISTAR CASINOS INC COM 03070Q101 429 24100 SH SOLE 12500 0 11600
AMTRUST FINANCIAL SERVICES I COM 032359309 774 30200 SH SOLE 15200 0 15000
ANADARKO PETE CORP COM 032511107 559 8000 SH SOLE 4100 0 3900
ANGLOGOLD ASHANTI LTD SPONSORED ADR 035128206 873 24900 SH SOLE 12400 0 12500
ANN INC COM 035623107 524 13900 SH SOLE 6900 0 7000
ANNIES INC COM 03600T104 421 9400 SH SOLE 4800 0 4600
APACHE CORP COM 037411105 303 3500 SH SOLE 1800 0 1700
APARTMENT INVT & MGMT CO CL A 03748R101 426 16400 SH SOLE 8600 0 7800
ARBITRON INC COM 03875Q108 306 8077 SH SOLE 4074 0 4003
ARCH COAL INC COM 039380100 149 23600 SH SOLE 12000 0 11600
ARIAD PHARMACEUTICALS INC COM 04033A100 407 16800 SH SOLE 8500 0 8300
ARKANSAS BEST CORP DEL COM 040790107 554 69887 SH SOLE 35892 0 33995
ARM HLDGS PLC SPONSORED ADR 042068106 448 16000 SH SOLE 8100 0 7900
ARMSTRONG WORLD INDS INC NEW COM 04247X102 621 13400 SH SOLE 6800 0 6600
ARQULE INC COM 04269E107 201 39400 SH SOLE 20400 0 19000
ARRAY BIOPHARMA INC COM 04269X105 164 28100 SH SOLE 14000 0 14100
ARROW ELECTRS INC COM 042735100 445 13200 SH SOLE 6700 0 6500
ARTHROCARE CORP COM 043136100 230 7100 SH SOLE 3500 0 3600
ARUBA NETWORKS INC COM 043176106 286 12700 SH SOLE 6300 0 6400
ASBURY AUTOMOTIVE GROUP INC COM 043436104 372 13300 SH SOLE 6900 0 6400
ASCENA RETAIL GROUP INC COM 04351G101 242 11300 SH SOLE 5600 0 5700
ASHFORD HOSPITALITY TR INC COM SHS 044103109 617 73500 SH SOLE 37900 0 35600
ASHLAND INC NEW COM 044209104 637 8900 SH SOLE 4500 0 4400
ASPEN TECHNOLOGY INC COM 045327103 605 23400 SH SOLE 11800 0 11600
ASSURED GUARANTY LTD COM G0585R106 907 66600 SH SOLE 33400 0 33200
ATHENAHEALTH INC COM 04685W103 991 10800 SH SOLE 5500 0 5300
ATMEL CORP COM 049513104 434 82600 SH SOLE 41700 0 40900
AUDIENCE INC COM 05070J102 866 139600 SH SOLE 70000 0 69600
AUTOZONE INC COM 053332102 739 2000 SH SOLE 1000 0 1000
AVAGO TECHNOLOGIES LTD SHS Y0486S104 390 11200 SH SOLE 5600 0 5600
AVID TECHNOLOGY INC COM 05367P100 201 21200 SH SOLE 11400 0 9800
AVISTA CORP COM 05379B107 680 26400 SH SOLE 13400 0 13000
AVNET INC COM 053807103 669 23000 SH SOLE 11700 0 11300
AVON PRODS INC COM 054303102 287 18000 SH SOLE 9200 0 8800
AZZ INC COM 002474104 357 9400 SH SOLE 4700 0 4700
BAIDU INC SPON ADR REP A 056752108 643 5500 SH SOLE 2800 0 2700
BALCHEM CORP COM 057665200 349 9500 SH SOLE 5000 0 4500
BALL CORP COM 058498106 491 11600 SH SOLE 6100 0 5500
BALLY TECHNOLOGIES INC COM 05874B107 247 5000 SH SOLE 2600 0 2400
BANCO BRADESCO S A SP ADR PFD NEW 059460303 384 23900 SH SOLE 12000 0 11900
BANCO SANTANDER CHILE NEW SP ADR REP COM 05965X109 256 3500 SH SOLE 1700 0 1800
BANCOLOMBIA S A SPON ADR PREF 05968L102 233 3900 SH SOLE 2000 0 1900
BANCORPSOUTH INC COM 059692103 200 13600 SH SOLE 6800 0 6800
BARNES & NOBLE INC COM 067774109 636 49800 SH SOLE 25200 0 24600
BARNES GROUP INC COM 067806109 525 21000 SH SOLE 10600 0 10400
BASIC ENERGY SVCS INC NEW COM 06985P100 1360 121200 SH SOLE 61600 0 59600
BAZAARVOICE INC COM 073271108 629 41500 SH SOLE 20800 0 20700
BED BATH & BEYOND INC COM 075896100 416 6600 SH SOLE 3400 0 3200
BHP BILLITON PLC SPONSORED ADR 05545E209 393 6300 SH SOLE 3200 0 3100
BIODELIVERY SCIENCES INTL IN COM 09060J106 197 31200 SH SOLE 17400 0 13800
BIOGEN IDEC INC COM 09062X103 239 1600 SH SOLE 800 0 800
BLACK HILLS CORP COM 092113109 260 7300 SH SOLE 3700 0 3600
BLUCORA INC COM 095229100 201 11300 SH SOLE 5800 0 5500
BLYTH INC COM NEW 09643P207 491 18900 SH SOLE 9600 0 9300
BMC SOFTWARE INC COM 055921100 851 20500 SH SOLE 10200 0 10300
BOEING CO COM 097023105 1441 20700 SH SOLE 10400 0 10300
BOISE INC COM 09746Y105 328 37400 SH SOLE 19200 0 18200
BOK FINL CORP COM NEW 05561Q201 520 8800 SH SOLE 4500 0 4300
BOSTON SCIENTIFIC CORP COM 101137107 549 95600 SH SOLE 47900 0 47700
BP PLC SPONSORED ADR 055622104 335 7900 SH SOLE 4100 0 3800
BRIDGEPOINT ED INC COM 10807M105 148 14600 SH SOLE 7400 0 7200
BRIGGS & STRATTON CORP COM 109043109 446 23900 SH SOLE 12100 0 11800
BROOKS AUTOMATION INC COM 114340102 184 22900 SH SOLE 11800 0 11100
BROWN & BROWN INC COM 115236101 248 9500 SH SOLE 4800 0 4700
BRUNSWICK CORP COM 117043109 756 33400 SH SOLE 16900 0 16500
BT GROUP PLC ADR 05577E101 751 20200 SH SOLE 10200 0 10000
BUCKEYE TECHNOLOGIES INC COM 118255108 468 14600 SH SOLE 7400 0 7200
CABLEVISION SYS CORP CL A NY CABLVS 12686C109 434 27400 SH SOLE 14100 0 13300
CADENCE DESIGN SYSTEM INC COM 127387108 1267 98500 SH SOLE 49600 0 48900
CAESARS ENTMT CORP COM 127686103 170 25000 SH SOLE 13100 0 11900
CAL MAINE FOODS INC COM NEW 128030202 328 7300 SH SOLE 3800 0 3500
CALAMP CORP COM 128126109 402 49000 SH SOLE 24600 0 24400
CALAVO GROWERS INC COM 128246105 645 25800 SH SOLE 13500 0 12300
CALLAWAY GOLF CO COM 131193104 199 32346 SH SOLE 15146 0 17200
CALPINE CORP COM NEW 131347304 175 10100 SH SOLE 5100 0 5000
CAMERON INTERNATIONAL CORP COM 13342B105 219 3900 SH SOLE 2000 0 1900
CAMPUS CREST CMNTYS INC COM 13466Y105 336 31100 SH SOLE 15700 0 15400
CAPELLA EDUCATION COMPANY COM 139594105 305 8700 SH SOLE 4500 0 4200
CAPITAL ONE FINL CORP COM 14040H105 473 8300 SH SOLE 4200 0 4100
CAPITAL SR LIVING CORP COM 140475104 375 25900 SH SOLE 13000 0 12900
CAPITOL FED FINL INC COM 14057J101 334 27900 SH SOLE 14100 0 13800
CAPLEASE INC COM 140288101 211 40900 SH SOLE 21600 0 19300
CARDINAL HEALTH INC COM 14149Y108 378 9700 SH SOLE 4900 0 4800
CAREFUSION CORP COM 14170T101 363 12800 SH SOLE 6500 0 6300
CARLISLE COS INC COM 142339100 680 13100 SH SOLE 6700 0 6400
CASEYS GEN STORES INC COM 147528103 291 5100 SH SOLE 2700 0 2400
CATERPILLAR INC DEL COM 149123101 267 3100 SH SOLE 1600 0 1500
CBEYOND INC COM 149847105 132 13400 SH SOLE 7700 0 5700
CBIZ INC COM 124805102 73 12200 SH SOLE 6900 0 5300
CBS CORP NEW CL B 124857202 490 13500 SH SOLE 6800 0 6700
CEDAR REALTY TRUST INC COM NEW 150602209 334 63300 SH SOLE 32400 0 30900
CELADON GROUP INC COM 150838100 239 14900 SH SOLE 7600 0 7300
CELANESE CORP DEL COM SER A 150870103 868 22900 SH SOLE 11700 0 11200
CELGENE CORP COM 151020104 688 9000 SH SOLE 4600 0 4400
CELLCOM ISRAEL LTD SHS M2196U109 114 13200 SH SOLE 7500 0 5700
CELLDEX THERAPEUTICS INC NEW COM 15117B103 211 33500 SH SOLE 17600 0 15900
CELSION CORPORATION COM NEW 15117N305 239 44000 SH SOLE 22100 0 21900
CENTRAIS ELETRICAS BRASILEIR SPONSORED ADR 15234Q207 1530 258000 SH SOLE 129500 0 128500
CENTRAL GARDEN & PET CO CL A NON-VTG 153527205 424 35100 SH SOLE 18200 0 16900
CEVA INC COM 157210105 147 10200 SH SOLE 5400 0 4800
CF INDS HLDGS INC COM 125269100 667 3000 SH SOLE 1500 0 1500
CHARTER COMMUNICATIONS INC D CL A NEW 16117M305 465 6200 SH SOLE 3200 0 3000
CHEMED CORP NEW COM 16359R103 734 10600 SH SOLE 5400 0 5200
CHEMTURA CORP COM NEW 163893209 1583 91900 SH SOLE 46400 0 45500
CHENIERE ENERGY INC COM NEW 16411R208 554 35700 SH SOLE 18100 0 17600
CHESAPEAKE LODGING TR SH BEN INT 165240102 614 30900 SH SOLE 15900 0 15000
CHESAPEAKE UTILS CORP COM 165303108 223 4700 SH SOLE 2500 0 2200
CHIPOTLE MEXICAN GRILL INC COM 169656105 445 1400 SH SOLE 700 0 700
CHIQUITA BRANDS INTL INC COM 170032809 316 41400 SH SOLE 21500 0 19900
CHOICE HOTELS INTL INC COM 169905106 547 17100 SH SOLE 8700 0 8400
CHUBB CORP COM 171232101 275 3600 SH SOLE 1900 0 1700
CIENA CORP COM NEW 171779309 883 65000 SH SOLE 33600 0 31400
CIGNA CORPORATION COM 125509109 981 20800 SH SOLE 10400 0 10400
CIMAREX ENERGY CO COM 171798101 609 10400 SH SOLE 5300 0 5100
CINCINNATI BELL INC NEW COM 171871106 133 23300 SH SOLE 13000 0 10300
CIRCOR INTL INC COM 17273K109 200 5300 SH SOLE 2900 0 2400
CISCO SYS INC COM 17275R102 1050 55000 SH SOLE 27700 0 27300
CITI TRENDS INC COM 17306X102 127 10100 SH SOLE 5200 0 4900
CITIGROUP INC COM NEW 172967424 350 10700 SH SOLE 5400 0 5300
CITRIX SYS INC COM 177376100 260 3400 SH SOLE 1700 0 1700
CLEAN HARBORS INC COM 184496107 728 14900 SH SOLE 7600 0 7300
CME GROUP INC COM 12572Q105 676 11800 SH SOLE 5900 0 5900
COACH INC COM 189754104 1176 21000 SH SOLE 10500 0 10500
COBALT INTL ENERGY INC COM 19075F106 241 10800 SH SOLE 5400 0 5400
COCA COLA CO COM 191216100 785 20700 SH SOLE 10500 0 10200
COGENT COMM GROUP INC COM NEW 19239V302 883 38400 SH SOLE 19600 0 18800
COGNIZANT TECHNOLOGY SOLUTIO CL A 192446102 433 6200 SH SOLE 3200 0 3000
COLONY FINL INC COM 19624R106 327 16800 SH SOLE 8500 0 8300
COLUMBIA BKG SYS INC COM 197236102 693 37400 SH SOLE 19200 0 18200
COMCAST CORP NEW CL A 20030N101 433 12100 SH SOLE 6200 0 5900
COMCAST CORP NEW CL A SPL 20030N200 205 5900 SH SOLE 3000 0 2900
COMMERCIAL METALS CO COM 201723103 816 61800 SH SOLE 31600 0 30200
COMMERCIAL VEH GROUP INC COM 202608105 116 15800 SH SOLE 8800 0 7000
COMMONWEALTH REIT COM SH BEN INT 203233101 386 26500 SH SOLE 13300 0 13200
COMPANHIA DE SANEAMENTO BASI SPONSORED ADR 20441A102 698 8600 SH SOLE 4400 0 4200
COMPANHIA ENERGETICA DE MINA SP ADR N-V PFD 204409601 976 80500 SH SOLE 40400 0 40100
COMPANHIA PARANAENSE ENERG C SPON ADR PFD 20441B407 1632 99400 SH SOLE 50200 0 49200
COMPUTER PROGRAMS & SYS INC COM 205306103 522 9400 SH SOLE 4700 0 4700
COMSCORE INC COM 20564W105 172 11300 SH SOLE 6000 0 5300
CONAGRA FOODS INC COM 205887102 372 13500 SH SOLE 6800 0 6700
CONOCOPHILLIPS COM 20825C104 343 6000 SH SOLE 3100 0 2900
CONTANGO OIL & GAS COMPANY COM NEW 21075N204 280 5700 SH SOLE 2800 0 2900
CONVERGYS CORP COM 212485106 328 20900 SH SOLE 10800 0 10100
CON-WAY INC COM 205944101 654 23900 SH SOLE 12200 0 11700
COOPER TIRE & RUBR CO COM 216831107 207 10800 SH SOLE 5600 0 5200
CORE LABORATORIES N V COM N22717107 474 3900 SH SOLE 2000 0 1900
CORELOGIC INC COM 21871D103 371 14000 SH SOLE 7100 0 6900
CORESITE RLTY CORP COM 21870Q105 251 9300 SH SOLE 4700 0 4600
COUSINS PPTYS INC COM 222795106 228 28700 SH SOLE 15100 0 13600
CRANE CO COM 224399105 559 14000 SH SOLE 7000 0 7000
CREDIT SUISSE GROUP SPONSORED ADR 225401108 1087 51400 SH SOLE 26000 0 25400
CROCS INC COM 227046109 1517 93600 SH SOLE 47200 0 46400
CROWN HOLDINGS INC COM 228368106 1382 37600 SH SOLE 19200 0 18400
CVR ENERGY INC COM 12662P108 702 19100 SH SOLE 9800 0 9300
CYBERONICS INC COM 23251P102 771 14700 SH SOLE 7400 0 7300
CYPRESS SEMICONDUCTOR CORP COM 232806109 581 54300 SH SOLE 27900 0 26400
DAKTRONICS INC COM 234264109 217 22800 SH SOLE 11735 0 11065
DANA HLDG CORP COM 235825205 664 54000 SH SOLE 27200 0 26800
DAWSON GEOPHYSICAL CO COM 239359102 270 10700 SH SOLE 5600 0 5100
DDR CORP COM 23317H102 304 19800 SH SOLE 9900 0 9900
DEAN FOODS CO NEW COM 242370104 387 23700 SH SOLE 12300 0 11400
DECKERS OUTDOOR CORP COM 243537107 1422 38800 SH SOLE 19600 0 19200
DELEK US HLDGS INC COM 246647101 1183 46400 SH SOLE 23500 0 22900
DELL INC COM 24702R101 821 83300 SH SOLE 41800 0 41500
DELTA AIR LINES INC DEL COM NEW 247361702 1054 115100 SH SOLE 58400 0 56700
DENBURY RES INC COM NEW 247916208 743 46000 SH SOLE 23100 0 22900
DENDREON CORP COM 24823Q107 941 195600 SH SOLE 98000 0 97600
DENTSPLY INTL INC NEW COM 249030107 248 6500 SH SOLE 3300 0 3200
DEUTSCHE BANK AG NAMEN AKT D18190898 1019 25700 SH SOLE 13000 0 12700
DEVON ENERGY CORP NEW COM 25179M103 309 5100 SH SOLE 2600 0 2500
DICE HLDGS INC COM 253017107 152 18000 SH SOLE 9100 0 8900
DIGITAL RLTY TR INC COM 253868103 203 2900 SH SOLE 1500 0 1400
DIRECTV COM 25490A309 598 11400 SH SOLE 5800 0 5600
DISCOVER FINL SVCS COM 254709108 274 6900 SH SOLE 3500 0 3400
DISH NETWORK CORP CL A 25470M109 750 24500 SH SOLE 12500 0 12000
DISNEY WALT CO COM DISNEY 254687106 230 4400 SH SOLE 2200 0 2200
DOLBY LABORATORIES INC COM 25659T107 390 11900 SH SOLE 5900 0 6000
DOLLAR TREE INC COM 256746108 695 14400 SH SOLE 7300 0 7100
DOMTAR CORP COM NEW 257559203 752 9600 SH SOLE 5000 0 4600
DONALDSON INC COM 257651109 569 16400 SH SOLE 8500 0 7900
DOUGLAS EMMETT INC COM 25960P109 434 18800 SH SOLE 9500 0 9300
DREW INDS INC COM NEW 26168L205 423 14000 SH SOLE 7100 0 6900
DU PONT E I DE NEMOURS & CO COM 263534109 261 5200 SH SOLE 2700 0 2500
DUN & BRADSTREET CORP DEL NE COM 26483E100 955 12000 SH SOLE 6000 0 6000
DUNKIN BRANDS GROUP INC COM 265504100 429 14700 SH SOLE 7400 0 7300
DYCOM INDS INC COM 267475101 732 50900 SH SOLE 25500 0 25400
EASTMAN CHEM CO COM 277432100 975 17100 SH SOLE 8700 0 8400
EATON CORP COM 278058102 208 4400 SH SOLE 2200 0 2200
EDISON INTL COM 281020107 288 6300 SH SOLE 3200 0 3100
EDUCATION RLTY TR INC COM 28140H104 117 10700 SH SOLE 5400 0 5300
EDWARDS LIFESCIENCES CORP COM 28176E108 429 4000 SH SOLE 2000 0 2000
EHEALTH INC COM 28238P109 343 18300 SH SOLE 9500 0 8800
ELAN PLC ADR 284131208 346 32300 SH SOLE 16400 0 15900
ELLIE MAE INC COM 28849P100 474 17400 SH SOLE 8900 0 8500
ELLINGTON FINANCIAL LLC COM 288522303 54155 2373136 SH SOLE 2373136 0 0
EMBRAER S A SP ADR REP 4 COM 29082A107 570 21400 SH SOLE 10800 0 10600
EMERITUS CORP COM 291005106 274 13100 SH SOLE 6800 0 6300
EMULEX CORP COM NEW 292475209 109 15100 SH SOLE 8100 0 7000
ENDO HEALTH SOLUTIONS INC COM 29264F205 644 20300 SH SOLE 10400 0 9900
ENDOCYTE INC COM 29269A102 177 17800 SH SOLE 9400 0 8400
ENERGIZER HLDGS INC COM 29266R108 425 5700 SH SOLE 2900 0 2800
ENZON PHARMACEUTICALS INC COM 293904108 95 13600 SH SOLE 6800 0 6800
EPOCH HOLDING CORP COM 29428R103 333 14400 SH SOLE 7500 0 6900
EQUINIX INC COM NEW 29444U502 433 2100 SH SOLE 1000 0 1100
ERICSSON ADR B SEK 10 294821608 131 14400 SH SOLE 7200 0 7200
ESSEX PPTY TR INC COM 297178105 208 1400 SH SOLE 700 0 700
EURONET WORLDWIDE INC COM 298736109 797 42400 SH SOLE 21700 0 20700
EVERCORE PARTNERS INC CLASS A 29977A105 691 25600 SH SOLE 13100 0 12500
EXELIS INC COM 30162A108 534 51600 SH SOLE 26400 0 25200
EXPEDITORS INTL WASH INC COM 302130109 742 20400 SH SOLE 10200 0 10200
EXPONENT INC COM 30214U102 263 4600 SH SOLE 2400 0 2200
EXTRA SPACE STORAGE INC COM 30225T102 216 6500 SH SOLE 3300 0 3200
EXXON MOBIL CORP COM 30231G102 210 2300 SH SOLE 1200 0 1100
F M C CORP COM NEW 302491303 953 17200 SH SOLE 8700 0 8500
FAIRCHILD SEMICONDUCTOR INTL COM 303726103 244 18600 SH SOLE 9600 0 9000
FEI CO COM 30241L109 594 11100 SH SOLE 5700 0 5400
FELCOR LODGING TR INC COM 31430F101 86 18200 SH SOLE 9400 0 8800
FIDELITY NATIONAL FINANCIAL CL A 31620R105 787 36800 SH SOLE 18700 0 18100
FIDUS INVT CORP COM 316500107 192 11500 SH SOLE 6000 0 5500
FINISH LINE INC CL A 317923100 584 25700 SH SOLE 12900 0 12800
FIRST AMERN FINL CORP COM 31847R102 739 34100 SH SOLE 17300 0 16800
FIRST INDUSTRIAL REALTY TRUS COM 32054K103 206 15700 SH SOLE 7900 0 7800
FIRST MERCHANTS CORP COM 320817109 275 18300 SH SOLE 9600 0 8700
FIRSTMERIT CORP COM 337915102 424 28800 SH SOLE 14500 0 14300
FLEXTRONICS INTL LTD ORD Y2573F102 670 111600 SH SOLE 56500 0 55100
FLOWSERVE CORP COM 34354P105 319 2500 SH SOLE 1300 0 1200
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