ELLINGTON MANAGEMENT GROUP LLC

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CIK 1098490

13F portfolio (2021-Q2)

$235M

Positions

146

Implied 1Y CAGR

modeled · as filed

Long positions in SEC Section 13(f) securities (US-listed stocks, ADRs and ETFs), largest first · Δ vs 2021-Q1. A lagged quarterly snapshot (filed ≤45 days after quarter-end); excludes shorts, options, cash, and shares listed only on non-US exchanges — foreign companies held via a US listing or ADR (e.g. Alibaba, TSMC) ARE included.

Implied return what this book implies · modeled, not advice methodology →

Open in PORT →

As filed = each book applied at its quarter-end (what the reported book did) · As copyable = applied at its statutory 45-day filing deadline (what a 13F follower could have earned).

Computing…

Hypothetical modeled performance constructed with hindsight — not actual results, and not indicative of future results. See the Disclaimer.

Exposures · what this manager owns, by sector & size (2021-Q2)

Holdings

146

Top 5

30.3%

Top 10

42.5%

Effective N

37.3

HHI

0.027

This quarter

27 new · 0 exit →

By sector

Unclassified65.0%

Real Estate16.7%

Consumer Discretionary7.0%

Financials4.9%

Consumer Staples2.8%

Energy1.8%

Utilities0.9%

Communication Services0.4%

Other0.5%

By market cap

Unknown65.0%

Mid ($2–10B)20.2%

Small ($300M–2B)8.2%

Large ($10–200B)5.0%

Micro (<$300M)1.5%

By region

Other65.0%

North America35.0%

By industry group GICS — finer than sector

Industry group	Weight	Names
Unclassified	65.04%	124
Equity Real Estate Investment Trusts (REITs)	9.74%	5
Real Estate Management & Development	6.94%	1
Banks	4.92%	1
Automobiles & Components	2.77%	2
Specialty Retail	2.58%	1
Food Products	2.12%	2
Oil, Gas & Consumable Fuels	1.83%	3
Utilities	0.92%	1
Hotels, Restaurants & Leisure	0.82%	1
Leisure Products	0.82%	1
Food & Staples Retailing	0.64%	1
Diversified Telecommunication Services	0.38%	1
Health Care Providers & Services	0.29%	1
Paper & Forest Products	0.20%	1

Top holdings

#	Ticker	Name	Sector	Weight
1	RITM	Rithm Capital Corp.	Real Estate	7.93%
2	EFC	Ellington Financial Inc.	Real Estate	6.94%
3		MR COOPER GROUP INC	Unclassified	5.54%
4	HYG	ISHARES TR	Unclassified	4.95%
5	PFSI	PennyMac Financial Services, Inc.	Financials	4.92%
6		MFA FINL INC	Unclassified	2.76%
7	KSS	KOHLS Corp	Consumer Discretionary	2.58%
8		VIACOMCBS INC	Unclassified	2.54%
9		RITHM PPTY TR INC	Unclassified	2.16%
10		VPC IMPACT ACQUISITION HLDG	Unclassified	2.14%

22/146 names classified · sector 35.0% of weight · industry 35.0% · mkt cap 35.0%; unclassified names shown, never dropped.

Sector allocation over time · how the GICS mix & top names shifted quarter by quarter

top 5/sector, rest → “Other” · 33 quarters

Consumer DiscretionaryKSS, DCH, VFC, LEA, TPR · other

FinancialsMTG, PFSI, ESNT, RDN, WT · other

IndustrialsUAL, DAL, CAT, LEN, CSX · other

Real EstateEFC, RC, RITM, AGNC, STWD · other

Information TechnologyPBI, MU, HPQ, DXC, VISN · other

MaterialsDECK, STLD, GT, CSTM, CROX · other

Health CareTHC, NVO, PCRX, ZTS, EW · other

EnergyNBR, DVN, SM, CHRD, AR · other

Communication ServicesAMCX, T, NFLX, PRKS, LUMN · other

Consumer StaplesSFM, CVS, CAG, CPB, PETS · other

UtilitiesNRG, KMI, CIG, PAM, AEE · other

UnclassifiedELLINGTON FINANCIAL LLC, HYG, ANNALY MORTGAGE MANAGEMENT, MFA FINL INC, NEW YORK MTG TR INC · other

Sector is classified on each name's CURRENT fundamentals, not point-in-time — apparent sector drift can reflect the market re-rating a holding, not a manager trade. 13F is a lagged quarterly snapshot of long positions in US-listed securities only — foreign companies held via a US listing or ADR ARE included, but shares listed only on non-US exchanges (plus shorts, options and cash) are not. Latest quarter: 35.0% of the book is sector-classified (unclassified names shown, never dropped).

Style box · size × value-growth placement of the reported book (2021-Q2), classified on current fundamentals (not point-in-time) — load it into PORT to overlay your own portfolio

Only 33% of book weight classified — the grid is NOT representative of the whole book.

holdings, colored by sector (18 classified)ELLINGTON MANAGEMENT GROUP LLC centroid (Small Core)

Real EstateConsumer DiscretionaryFinancialsConsumer StaplesEnergyUtilitiesCommunication ServicesHealth Care

Style box summary for ELLINGTON MANAGEMENT GROUP LLC: centroid Small Core. Heaviest cells: Small Value 12.2%, Small Core 9.9%, Small Growth 8.1%.

Classified: 33.0% of book weight (18/30 names) · unclassified 67.0%: , HYG, RC, EARN, XLF, SLMUF, DHC, BLUVF, JWSUF, CPTKW +2 more. Size: cap 70/20/10 bands; style: value/growth composite on our own metrics — not Morningstar's model.

Contribution holdings-based, any period

No contribution data for this period.

Holdings· 146 positions (2021-Q2) · largest first · Δ vs 2021-Q1

#	Security	Shares	Value	Weight	Δ QoQ
1	RITMRITHM CAPITAL CORP	1,759,306	$19M	7.9%	NEW
2	EFCELLINGTON FINANCIAL INC	850,887	$16M	6.9%	HOLD
3	MR COOPER GROUP INC	393,763	$13M	5.5%	ADD 309%
4	HYGISHARES TR	132,076	$12M	4.9%	NEW
5	PFSIPENNYMAC FINL SVCS INC NEW	187,278	$12M	4.9%	ADD 205%
6	MFA FINL INC	1,411,968	$6M	2.8%	ADD 124%
7	KSSKOHLS CORP	109,995	$6M	2.6%	NEW
8	VIACOMCBS INC	132,172	$6M	2.5%	NEW
9	RITHM PPTY TR INC	391,699	$5M	2.2%	TRIM −2%
10	VPC IMPACT ACQUISITION HLDG	500,000	$5M	2.1%	HOLD
11	ARES ACQUISITION CORPORATION	500,000	$5M	2.1%	HOLD
12	LEALEAR CORP	27,528	$5M	2.1%	NEW
13	NORDSTROM INC	110,714	$4M	1.7%	ADD 97%
14	ANZU SPECIAL ACQUISITIN CORP	399,700	$4M	1.7%	HOLD
15	CERBERUS TELECOM ACQUISITION	400,000	$4M	1.7%	NEW
16	JACK CREEK INVESTMENT CORP	350,000	$4M	1.5%	HOLD
17	PERIDOT ACQUISITION CORP II	350,000	$3M	1.5%	HOLD
18	CPBTHE CAMPBELLS COMPANY	64,700	$3M	1.3%	NEW
19	MASON INDUSTRIAL TECHNOLGY I	250,000	$3M	1.1%	HOLD
20	G SQUARED ASCEND I INC	250,000	$3M	1.1%	HOLD
21	EJF ACQUISITION CORP	250,000	$2M	1.1%	HOLD
22	RCREADY CAPITAL CORP	138,745	$2M	0.9%	TRIM −54%
23	KMIKINDER MORGAN INC DEL	119,000	$2M	0.9%	HOLD
24	CAGCONAGRA BRANDS INC	55,779	$2M	0.9%	NEW
25	FTAC HERA ACQUISITION CORP	200,000	$2M	0.9%	HOLD
26	HUDSON EXECUTIVE INVES III UNIT EX 022226	200,000	$2M	0.9%	HOLD
27	VECTOR ACQUISITION CORP II	200,000	$2M	0.8%	HOLD
28	WYNNWYNN RESORTS LTD	15,792	$2M	0.8%	ADD 462%
29	HASHASBRO INC	20,318	$2M	0.8%	NEW
30	NBRNABORS INDUSTRIES LTD	16,360	$2M	0.8%	ADD 75%
31	INDEPENDENCE HOLDINGS CORP	180,000	$2M	0.8%	HOLD
32	GMGENERAL MTRS CO	28,519	$2M	0.7%	NEW
33	KISMET ACQUISITION THREE	160,570	$2M	0.7%	HOLD
34	KERNEL GROUP HOLDINGS INC	150,000	$2M	0.7%	HOLD
35	THE MUSIC ACQUISITION CORP	150,000	$2M	0.6%	HOLD
36	AFRICAN GOLD ACQUISITION COR	150,000	$2M	0.6%	HOLD
37	DHC ACQUISITION CORP	150,000	$2M	0.6%	HOLD
38	ARCTOS NORTHSTAR ACQUISITION	150,000	$2M	0.6%	HOLD
39	TAILWIND INTERNATNAL ACQ COR	150,000	$2M	0.6%	HOLD
40	FINTECH EVOLUTION ACQUISITIO	150,000	$1M	0.6%	HOLD
41	TCW SPECIAL PURPOSE ACQU COR	150,000	$1M	0.6%	HOLD
42	HUDSON EXECUTIVE INVS CORP I	150,000	$1M	0.6%	HOLD
43	KRKROGER CO	39,000	$1M	0.6%	NEW
44	GOLDEN ARROW MERGER CORP	150,000	$1M	0.6%	HOLD
45	SCION TECH GROWTH II	150,000	$1M	0.6%	HOLD
46	ORCHID IS CAP INC	284,925	$1M	0.6%	NEW
47	NEW YORK MTG TR INC	323,426	$1M	0.6%	TRIM −45%
48	EARNELLINGTON CREDIT COMPANY	106,472	$1M	0.5%	NEW
49	APAAPA CORPORATION	57,198	$1M	0.5%	HOLD
50	QUADRO ACQUISITION ONE CORP	123,100	$1M	0.5%	HOLD
51	EQTEQT CORP	53,472	$1M	0.5%	NEW
52	LEO HOLDINGS III CORP	100,000	$1M	0.4%	HOLD
53	AUSTERLITZ ACQUISITION CORP	100,000	$1M	0.4%	NEW
54	SPARTAN ACQUISITION CORP III	100,000	$1M	0.4%	HOLD
55	LIVE OAK MOBILITY ACQUISI CO	100,000	$1M	0.4%	HOLD
56	ARROWROOT ACQUISITION CORP	100,000	$1M	0.4%	HOLD
57	HAYMAKER ACQUISITION CORP II	100,000	$1M	0.4%	HOLD
58	POWERED BRANDS	100,000	$1M	0.4%	HOLD
59	SILVERBOX ENGAGED MERGER CO	100,000	$1M	0.4%	HOLD
60	CORAZON CAPITAL V838 MONOCER	100,000	$1M	0.4%	HOLD
61	ESM ACQUISITION CORPORATION	100,000	$1M	0.4%	HOLD
62	MISSION ADVANCEMENT CORP UNIT	100,000	$999,000	0.4%	HOLD
63	FREEDOM ACQUISITION I CORP	100,000	$998,000	0.4%	HOLD
64	VELOCITY ACQUISITION CORP UNIT	95,000	$945,000	0.4%	HOLD
65	CARTESIAN GROWTH CORP	92,000	$918,000	0.4%	HOLD
66	XLFSELECT SECTOR SPDR TR	25,000	$917,000	0.4%	NEW
67	LUMNLUMEN TECHNOLOGIES INC	65,965	$896,000	0.4%	NEW
68	UNITED STATES STL CORP NEW	36,359	$873,000	0.4%	NEW
69	SLMUFSLAM CORP	80,000	$798,000	0.3%	HOLD
70	PRIVETERRA ACQUISITION CORP	75,000	$747,000	0.3%	HOLD
71	PATHFINDER ACQUISITION CORP	74,187	$737,000	0.3%	HOLD
72	GORES TECHNOLOGY PARTNERS II	70,000	$723,000	0.3%	HOLD
73	CENTRICUS ACQUISITION CORP	70,000	$717,000	0.3%	HOLD
74	GORES HOLDINGS VII INC	70,000	$704,000	0.3%	HOLD
75	GORES HLDGS VIII INC	70,000	$699,000	0.3%	HOLD
76	ORION ACQUISITION CORP	70,000	$694,000	0.3%	HOLD
77	CYHCOMMUNITY HEALTH SYS INC NEW	44,560	$688,000	0.3%	NEW
78	QVC GROUP INC	48,088	$629,000	0.3%	NEW
79	TZP STRATEGIES ACQUISTN CORP	63,327	$629,000	0.3%	HOLD
80	Z-WORK ACQUISITION CORP	61,786	$618,000	0.3%	HOLD
81	COLICITY INC UNIT EX 022426	60,000	$604,000	0.3%	HOLD
82	ONE EQUITY PARTNERS OPEN WTR	60,000	$600,000	0.3%	HOLD
83	DHCDIVERSIFIED HEALTHCARE TR	137,619	$575,000	0.2%	NEW
84	BLUVFBLUERIVER ACQUISITION CORP	55,000	$551,000	0.2%	HOLD
85	LAZARD GROWTH ACQUISITION CO	55,000	$549,000	0.2%	HOLD
86	ANYWHERE REAL ESTATE INC	29,208	$532,000	0.2%	NEW
87	BROADSCALE ACQUISITION CORP UNIT EX 020226	51,000	$510,000	0.2%	HOLD
88	SUSTAINABLE DEVELP ACQU I CO	50,000	$509,000	0.2%	HOLD
89	POWER & DIGITAL INFRA ACQ CO	50,000	$505,000	0.2%	HOLD
90	TISHMAN SPEYER INNOVATION CO	50,000	$504,000	0.2%	HOLD
91	JWSUFJAWS MUSTANG ACQUISITION COR	50,000	$503,000	0.2%	HOLD
92	NORTH ATLANTIC ACQUISITN COR	50,000	$502,000	0.2%	HOLD
93	SILVER CREST ACQUISITION CORP	50,000	$502,000	0.2%	HOLD
94	CHURCHILL CAPITAL CORP VII	50,000	$501,000	0.2%	HOLD
95	ADVANCED MERGER PARTNERS INC UNIT EX 063026	50,000	$500,000	0.2%	HOLD
96	DHB CAPITAL CORP UNIT EX 033128	50,000	$500,000	0.2%	HOLD
97	FIRST RESERVE SUSTAINABLE GW	50,000	$500,000	0.2%	HOLD
98	FUSION ACQUISITION CORP II	50,000	$500,000	0.2%	HOLD
99	SOCIAL LEVERAGE ACQUISN CORP	50,000	$500,000	0.2%	HOLD
100	RMG ACQUISITION CORP III	50,000	$500,000	0.2%	HOLD
101	RXR ACQUISITION CORP UNIT EXP 010125	50,000	$499,000	0.2%	HOLD
102	TWELVE SEAS INVESTMENT CO II	50,000	$498,000	0.2%	HOLD
103	CLARIM ACQUISITION CORP	50,000	$497,000	0.2%	HOLD
104	CATCHA INVESTMENT CORP	50,000	$497,000	0.2%	HOLD
105	CPTKWCROWN PROPTECH ACQUISITIONS	50,000	$497,000	0.2%	HOLD
106	CLWCLEARWATER PAPER CORP	16,163	$468,000	0.2%	NEW
107	OYSTER ENTERPRISES ACQUISITION CORP.	43,574	$435,000	0.2%	HOLD
108	ISOS ACQUISITION CORPORATION	40,000	$408,000	0.2%	HOLD
109	GORES TECHNOLOGY PARTNERS IN	40,000	$402,000	0.2%	HOLD
110	CSTUFCONSTELLATION ACQUISITN CORP	40,000	$400,000	0.2%	HOLD
111	GAMING & HOSPITALITY ACQU CO	40,000	$399,000	0.2%	HOLD
112	TRIUMPH GROUP INC NEW	19,151	$397,000	0.2%	NEW
113	EQ HEALTH ACQUISITION CORP UNIT EXP 020228	35,000	$349,000	0.1%	HOLD
114	LOGISTIC PROPERTIES OF THE AME USD ORD SHS	12,231	$310,000	0.1%	NEW
115	GROUP NINE ACQUISITION CORP	28,529	$287,000	0.1%	HOLD
116	USHG ACQUISITION CORP	25,750	$258,000	0.1%	HOLD
117	ALTIMAR ACQUISITION CORP III	25,000	$253,000	0.1%	HOLD
118	SCP & CO HEALTHCARE ACQUSTN	25,000	$252,000	0.1%	HOLD
119	D AND Z MEDIA ACQUISITION CO	25,000	$249,000	0.1%	HOLD
120	DONNELLEY R R & SONS CO	36,263	$228,000	0.1%	NEW
121	SPGSIMON PPTY GROUP INC NEW	1,658	$216,000	0.1%	NEW
122	KENSINGTON CAPITAL ACQUISITI	20,000	$208,000	0.1%	HOLD
123	ALKURI GLOBAL ACQUISITION CO	20,000	$205,000	0.1%	HOLD
124	ECP ENVIRONMENTAL GW OPT COR	20,000	$203,000	0.1%	HOLD
125	GORES METROPOULOS II INC	20,000	$203,000	0.1%	HOLD
126	SIMON PROPERTY GRP ACQ HOLDI	20,000	$201,000	0.1%	HOLD
127	THUNDER BRIDGE CAP PRTNRS II	20,000	$200,000	0.1%	HOLD
128	APOLLO STRATEGIC GRWT CPTL I	20,000	$200,000	0.1%	HOLD
129	ITIQUIRA ACQUISITION CORP	20,000	$200,000	0.1%	HOLD
130	SUPERNOVA PARTNERS ACQUISTN	20,000	$200,000	0.1%	HOLD
131	WARRIOR TECHNOLOGIES ACQUI CO UNIT EX 033128	15,000	$151,000	0.1%	HOLD
132	PIVOTAL HOLDINGS CORP	15,000	$150,000	0.1%	HOLD
133	TUATARA CAPITAL ACQUISITN CO	12,300	$125,000	0.1%	HOLD
134	Impac Mortgage Holdings Inc	51,900	$110,000	0.0%	HOLD
135	THIMBLE POINT ACQUISITION CORP UNIT	10,000	$104,000	0.0%	HOLD
136	DECARBONIZATION PLUS ACQU II	10,000	$103,000	0.0%	HOLD
137	FORTISTAR SUSTAINABLE SOL CO	10,000	$103,000	0.0%	HOLD
138	PRIMAVERA CAPITAL ACQUIST CO	10,000	$102,000	0.0%	HOLD
139	B RILEY PRINCIPAL 150 MERGER	10,000	$101,000	0.0%	HOLD
140	CLIMATE REAL IMPACT SLUTINS	10,000	$101,000	0.0%	HOLD
141	IBERE PHARMACEUTICALS	10,000	$101,000	0.0%	HOLD
142	DIAMONDHEAD HOLDINGS CORP	10,000	$100,000	0.0%	HOLD
143	MCAP ACQUISITION CORP	10,000	$100,000	0.0%	HOLD
144	CC NEUBERGER PRINCIPAL HOLDN	10,000	$100,000	0.0%	HOLD
145	KHOSLA VENTURES ACQUISITION	10,000	$99,000	0.0%	HOLD
146	SCIENCE STRATEGIC ACQ ALPHA	10,000	$99,000	0.0%	HOLD

☆ELLINGTON MANAGEMENT GROUP LLC