Consolidated Statement Of Cash Flows (USD $) In Thousands, unless otherwise specified	12 Months Ended
	Dec. 31, 2011	Dec. 31, 2010		Dec. 31, 2009
INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS:
NET INCREASE IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS	$ 10,327	$ 40,571		$ 93,381
Reconciliation of the net increase in shareholders' equity resulting from operations to net cash used in operating activities:
Change in net unrealized (gain) loss on investments and financial derivatives	61,199	9,377		(87,212)
Net realized (gain) loss on investments and financial derivatives	(26,831)	(25,161)		12,182
Amortization of premiums and accretion of discounts (net)	(9,012)	(6,643)		(10,905)
Purchase of investments	(3,510,693)	(2,738,252)		(1,223,509)
Proceeds from disposition of investments	3,456,869	2,193,660		879,821
Proceeds from principal payments of investments	105,974	111,279		103,861
Proceeds from investments sold short	903,545	814,444		509,587
Repurchase of investments sold short	(1,254,648)	(563,798)		(50,158)
Payments made to open financial derivatives	(150,437)	(310,677)		(122,125)
Proceeds received to close financial derivatives	255,346	211,160		163,162
Proceeds received to open financial derivatives	27,209	81,754		5,802
Payments made to close financial derivatives	(33,213)	(65,882)		(27,147)
Shares issued in connection with incentive fee payment	203	528		1,660
Share-based LTIP expense	147	1,987		3,625
(Increase) decrease in assets:
(Increase) decrease in repurchase agreements	9,934	(25,684)		4,529
(Increase) decrease in receivable for securities sold	265,434	(285,321)		(482,330)
(Increase) decrease in deposits with dealers held as collateral	(13,769)	2,677		(121)
(Increase) decrease in interest and principal receivable	(218)	3,389		(1,576)
(Increase) decrease in other assets				309
Increase (decrease) in liabilities:
Increase (decrease) in due to brokers on margin accounts	(86,674)	59,926		(18,337)
Increase (decrease) in payable for securities purchased	(56,496)	142,368		26,136
Increase (decrease) in accounts payable and accrued expenses	(239)	1,101		(353)
Increase (decrease) in incentive fee payable	(1,422)	(853)		2,275
Increase in interest and dividends payable	141	113		96
Increase (decrease) in base management fee payable	(129)	388		829
Net cash used in operating activities	(47,453)	(347,549)		(216,518)
Cash flows provided by (used in) financing activities:
Net proceeds received from the issuance of shares		98,310	[1]
Shares repurchased	(1,051)			(7,331)
Offering costs paid	(618)	(1,709)		(1,463)
Special distribution to Ellington Financial Management LLC				(1,837)
Dividends paid	(42,382)	(33,906)		(30,832)
Reverse repurchase agreements, net of repayments	118,450	217,782		299,444
Net cash provided by financing activities	74,399	280,477		257,981
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS	26,946	(67,072)		41,463
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD	35,791	102,863		61,400
CASH AND CASH EQUIVALENTS, END OF PERIOD	62,737	35,791		102,863
Supplemental disclosure of cash flow information:
Interest paid	6,600	3,631		2,309
Shares issued in connection with incentive fee payment (non-cash)	203	528		1,660
Share-based LTIP awards (non-cash)	147	1,987		3,625
Aggregate TBA trade activity (buys + sells) (non-cash)	$ 21,558,273	$ 16,071,356		$ 5,136,494

[1] Proceeds from the issuance of shares is net of placement fees of $2,940.