0001085146-17-001327.txt : 20170515 0001085146-17-001327.hdr.sgml : 20170515 20170515105324 ACCESSION NUMBER: 0001085146-17-001327 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20170331 FILED AS OF DATE: 20170515 DATE AS OF CHANGE: 20170515 EFFECTIVENESS DATE: 20170515 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: 17842075 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 primary_doc.xml 13F-HR LIVE false true false 0001098490 XXXXXXXX 03-31-2017 03-31-2017 false ELLINGTON MANAGEMENT GROUP LLC

53 FOREST AVENUE OLD GREENWICH CT 06870

13F COMBINATION REPORT 028-11539 0001578299 028-17749 DLD Asset Management, LP N David Rice 203-698-1200 /s/ David Rice Greenwich CT 05-12-2017 0 653 2932253 INFORMATION TABLE 2 form13fInfoTable.xml DESCRIPTION FOR INFORMATION TABLE A10 NETWORKS INC COM 002121101 107 11700 SH SOLE 11700 0 0 ABBOTT LABS COM 002824100 400 9000 SH SOLE 9000 0 0 ABBVIE INC COM 00287Y109 254 3900 SH SOLE 3900 0 0 ABERCROMBIE & FITCH CO CL A 002896207 812 68100 SH SOLE 68100 0 0 ABIOMED INC COM 003654100 538 4300 SH SOLE 4300 0 0 ACTIVISION BLIZZARD INC COM 00507V109 608 12200 SH SOLE 12200 0 0 ADECOAGRO S A COM L00849106 1115 97300 SH SOLE 97300 0 0 ADIENT PLC ORD SHS G0084W101 269 3700 SH SOLE 3700 0 0 ADOBE SYS INC COM 00724F101 846 6500 SH SOLE 6500 0 0 ADVANCED ACCELERATOR APPLIC SPONSORED ADS 00790T100 215 5400 SH SOLE 5400 0 0 ADVANSIX INC COM 00773T101 298 10900 SH SOLE 10900 0 0 ADVAXIS INC COM NEW 007624208 317 38800 SH SOLE 38800 0 0 AEGEAN MARINE PETROLEUM NETW SHS Y0017S102 328 27200 SH SOLE 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ISHARES TR IBOXX HI YD ETF 464288513 2837 32319 SH SOLE 32319 0 0 ISHARES TR IBOXX HI YD ETF 464288513 90765 1034000 SH Call SOLE 0 0 1034000 ISHARES TR IBOXX HI YD ETF 464288513 117098 1334000 SH Put SOLE 0 0 1334000 ISTAR INC COM 45031U101 152 12900 SH SOLE 12900 0 0 JABIL CIRCUIT INC COM 466313103 477 16500 SH SOLE 16500 0 0 JD COM INC SPON ADR CL A 47215P106 675 21700 SH SOLE 21700 0 0 JOHNSON & JOHNSON COM 478160104 560 4500 SH SOLE 4500 0 0 JONES LANG LASALLE INC COM 48020Q107 1126 10100 SH SOLE 10100 0 0 KAISER ALUMINUM CORP COM PAR $0.01 483007704 511 6400 SH SOLE 6400 0 0 KATE SPADE & CO COM 485865109 221 9500 SH SOLE 9500 0 0 KIMCO RLTY CORP COM 49446R109 1193 54000 SH SOLE 54000 0 0 KINDRED HEALTHCARE INC COM 494580103 123 14700 SH SOLE 14700 0 0 KITE RLTY GROUP TR COM NEW 49803T300 239 11100 SH SOLE 11100 0 0 KLA-TENCOR CORP COM 482480100 342 3600 SH SOLE 3600 0 0 KNOWLES CORP COM 49926D109 256 13500 SH SOLE 13500 0 0 KORN FERRY INTL COM NEW 500643200 834 26500 SH SOLE 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NAUTILUS INC COM 63910B102 531 29100 SH SOLE 29100 0 0 NAVIGATOR HOLDINGS LTD SHS Y62132108 304 22100 SH SOLE 22100 0 0 NCR CORP NEW COM 62886E108 1471 32200 SH SOLE 32200 0 0 NEKTAR THERAPEUTICS COM 640268108 1164 49600 SH SOLE 49600 0 0 NELNET INC CL A 64031N108 206 4700 SH SOLE 4700 0 0 NEOPHOTONICS CORP COM 64051T100 111 12300 SH SOLE 12300 0 0 NETAPP INC COM 64110D104 678 16200 SH SOLE 16200 0 0 NETEASE INC SPONSORED ADR 64110W102 1108 3900 SH SOLE 3900 0 0 NEUROCRINE BIOSCIENCES INC COM 64125C109 502 11600 SH SOLE 11600 0 0 NEW ORIENTAL ED & TECH GRP I SPON ADR 647581107 489 8100 SH SOLE 8100 0 0 NEWELL BRANDS INC COM 651229106 278 5900 SH SOLE 5900 0 0 NEWFIELD EXPL CO COM 651290108 982 26600 SH SOLE 26600 0 0 NEWLINK GENETICS CORP COM 651511107 222 9200 SH SOLE 9200 0 0 NEWPARK RES INC COM PAR $.01NEW 651718504 90 11100 SH SOLE 11100 0 0 NEWS CORP NEW CL B 65249B208 352 26100 SH SOLE 26100 0 0 NMI HLDGS INC CL A 629209305 450 39500 SH SOLE 39500 0 0 NORDSTROM INC COM 655664100 834 17900 SH SOLE 17900 0 0 NOVOCURE LTD ORD SHS G6674U108 214 26400 SH SOLE 26400 0 0 NRG ENERGY INC COM NEW 629377508 813 43500 SH SOLE 43500 0 0 NUCOR CORP COM 670346105 788 13200 SH SOLE 13200 0 0 O REILLY AUTOMOTIVE INC NEW COM 67103H107 702 2600 SH SOLE 2600 0 0 OCCIDENTAL PETE CORP DEL COM 674599105 1628 25700 SH SOLE 25700 0 0 OCLARO INC COM NEW 67555N206 365 37200 SH SOLE 37200 0 0 OCULAR THERAPEUTIX INC COM 67576A100 113 12200 SH SOLE 12200 0 0 OCWEN FINL CORP COM NEW 675746309 190 34700 SH SOLE 34700 0 0 OFFICE DEPOT INC COM 676220106 121 25900 SH SOLE 25900 0 0 OLLIES BARGAIN OUTLT HLDGS I COM 681116109 265 7900 SH SOLE 7900 0 0 ON SEMICONDUCTOR CORP COM 682189105 908 58600 SH SOLE 58600 0 0 ONEOK INC NEW COM 682680103 721 13000 SH SOLE 13000 0 0 OOMA INC COM 683416101 127 12800 SH SOLE 12800 0 0 OPKO HEALTH INC COM 68375N103 1410 176200 SH SOLE 176200 0 0 ORACLE CORP COM 68389X105 754 16900 SH SOLE 16900 0 0 ORASURE TECHNOLOGIES INC COM 68554V108 961 74300 SH SOLE 74300 0 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PETROLEO BRASILEIRO SA PETRO SP ADR NON VTG 71654V101 659 71500 SH SOLE 71500 0 0 PG&E CORP COM 69331C108 717 10800 SH SOLE 10800 0 0 PHH CORP COM NEW 693320202 185 14500 SH SOLE 14500 0 0 PHILLIPS 66 COM 718546104 507 6400 SH SOLE 6400 0 0 PHOTRONICS INC COM 719405102 151 14100 SH SOLE 14100 0 0 PINNACLE ENTMT INC NEW COM 72348Y105 361 18500 SH SOLE 18500 0 0 PIXELWORKS INC COM NEW 72581M305 185 39669 SH SOLE 39669 0 0 PJT PARTNERS INC COM CL A 69343T107 491 14000 SH SOLE 14000 0 0 PLANTRONICS INC NEW COM 727493108 720 13300 SH SOLE 13300 0 0 PLEXUS CORP COM 729132100 301 5200 SH SOLE 5200 0 0 PLY GEM HLDGS INC COM 72941W100 323 16400 SH SOLE 16400 0 0 PNC FINL SVCS GROUP INC COM 693475105 469 3900 SH SOLE 3900 0 0 POTLATCH CORP NEW COM 737630103 347 7600 SH SOLE 7600 0 0 POWERSHARES QQQ TRUST UNIT SER 1 73935A104 2250460 1700000 SH Call SOLE 0 0 1700000 PRA HEALTH SCIENCES INC COM 69354M108 333 5100 SH SOLE 5100 0 0 PRESTIGE BRANDS HLDGS INC COM 74112D101 850 15300 SH SOLE 15300 0 0 PROGRESS SOFTWARE CORP COM 743312100 360 12400 SH SOLE 12400 0 0 PROGRESSIVE CORP OHIO COM 743315103 1199 30600 SH SOLE 30600 0 0 PROLOGIS INC COM 74340W103 815 15700 SH SOLE 15700 0 0 PROVIDENCE SVC CORP COM 743815102 493 11100 SH SOLE 11100 0 0 PROVIDENT FINL SVCS INC COM 74386T105 607 23500 SH SOLE 23500 0 0 PUBLIC STORAGE COM 74460D109 657 3000 SH SOLE 3000 0 0 PURE STORAGE INC CL A 74624M102 608 61808 SH SOLE 61808 0 0 PVH CORP COM 693656100 704 6800 SH SOLE 6800 0 0 QIWI PLC SPON ADR REP B 74735M108 213 12400 SH SOLE 12400 0 0 QTS RLTY TR INC COM CL A 74736A103 312 6400 SH SOLE 6400 0 0 QUAD / GRAPHICS INC COM CL A 747301109 262 10400 SH SOLE 10400 0 0 QUANTA SVCS INC COM 74762E102 575 15500 SH SOLE 15500 0 0 QUEST DIAGNOSTICS INC COM 74834L100 717 7300 SH SOLE 7300 0 0 QUOTIENT TECHNOLOGY INC COM 749119103 381 39900 SH SOLE 39900 0 0 RADIANT LOGISTICS INC COM 75025X100 86 17100 SH SOLE 17100 0 0 RADWARE LTD ORD M81873107 196 12100 SH SOLE 12100 0 0 RALPH LAUREN CORP CL A 751212101 784 9600 SH SOLE 9600 0 0 RAMCO-GERSHENSON PPTYS TR COM SH BEN INT 751452202 494 35200 SH SOLE 35200 0 0 RAVEN INDS INC COM 754212108 221 7600 SH SOLE 7600 0 0 RAYMOND JAMES FINANCIAL INC COM 754730109 702 9200 SH SOLE 9200 0 0 RAYONIER ADVANCED MATLS INC COM 75508B104 327 24300 SH SOLE 24300 0 0 RAYONIER INC COM 754907103 879 31000 SH SOLE 31000 0 0 RAYTHEON CO COM NEW 755111507 534 3500 SH SOLE 3500 0 0 REALOGY HLDGS CORP COM 75605Y106 1031 34600 SH SOLE 34600 0 0 REDWOOD TR INC COM 758075402 488 29400 SH SOLE 29400 0 0 RELIANCE STEEL & ALUMINUM CO COM 759509102 392 4900 SH SOLE 4900 0 0 RENEWABLE ENERGY GROUP INC COM NEW 75972A301 493 47200 SH SOLE 47200 0 0 RETROPHIN INC COM 761299106 225 12200 SH SOLE 12200 0 0 REVANCE THERAPEUTICS INC COM 761330109 341 16400 SH SOLE 16400 0 0 REX AMERICAN RESOURCES CORP COM 761624105 308 3400 SH SOLE 3400 0 0 RIO TINTO PLC SPONSORED ADR 767204100 773 19000 SH SOLE 19000 0 0 ROCKWELL COLLINS INC COM 774341101 525 5400 SH SOLE 5400 0 0 RPC INC COM 749660106 282 15400 SH SOLE 15400 0 0 RUDOLPH TECHNOLOGIES INC COM 781270103 408 18200 SH SOLE 18200 0 0 RUSH ENTERPRISES INC CL A 781846209 447 13500 SH SOLE 13500 0 0 RYDER SYS INC COM 783549108 407 5400 SH SOLE 5400 0 0 SABRA HEALTH CARE REIT INC COM 78573L106 316 11300 SH SOLE 11300 0 0 SANCHEZ ENERGY CORP COM 79970Y105 314 32900 SH SOLE 32900 0 0 SANDERSON FARMS INC COM 800013104 436 4200 SH SOLE 4200 0 0 SANGAMO THERAPEUTICS INC COM 800677106 71 13700 SH SOLE 13700 0 0 SASOL LTD SPONSORED ADR 803866300 238 8100 SH SOLE 8100 0 0 SCHLUMBERGER LTD COM 806857108 1218 15600 SH SOLE 15600 0 0 SCHULMAN A INC COM 808194104 579 18400 SH SOLE 18400 0 0 SEAGATE TECHNOLOGY PLC SHS G7945M107 308 6700 SH SOLE 6700 0 0 SEALED AIR CORP NEW COM 81211K100 532 12200 SH SOLE 12200 0 0 SEATTLE GENETICS INC COM 812578102 214 3400 SH SOLE 3400 0 0 SEI INVESTMENTS CO COM 784117103 686 13600 SH SOLE 13600 0 0 SELECT SECTOR SPDR TR SBI INT-FINL 81369Y605 13790 581100 SH Call SOLE 0 0 581100 SEMPRA ENERGY COM 816851109 884 8000 SH SOLE 8000 0 0 SEMTECH CORP COM 816850101 460 13600 SH SOLE 13600 0 0 SENIOR HSG PPTYS TR SH BEN INT 81721M109 555 27400 SH SOLE 27400 0 0 SERES THERAPEUTICS INC COM 81750R102 119 10600 SH SOLE 10600 0 0 SHIRE PLC SPONSORED ADR 82481R106 366 2100 SH SOLE 2100 0 0 SHORETEL INC COM 825211105 138 22500 SH SOLE 22500 0 0 SIBANYE GOLD LTD SPONSORED ADR 825724206 124 14100 SH SOLE 14100 0 0 SIGNATURE BK NEW YORK N Y COM 82669G104 386 2600 SH SOLE 2600 0 0 SILGAN HOLDINGS INC COM 827048109 332 5600 SH SOLE 5600 0 0 SILICOM LTD ORD M84116108 278 5600 SH SOLE 5600 0 0 SILICON MOTION TECHNOLOGY CO SPONSORED ADR 82706C108 238 5100 SH SOLE 5100 0 0 SIMON PPTY GROUP INC NEW COM 828806109 740 4300 SH SOLE 4300 0 0 SITEONE LANDSCAPE SUPPLY INC COM 82982L103 208 4300 SH SOLE 4300 0 0 SIX FLAGS ENTMT CORP NEW COM 83001A102 428 7200 SH SOLE 7200 0 0 SMITH A O COM 831865209 440 8600 SH SOLE 8600 0 0 SOCIEDAD QUIMICA MINERA DE C SPON ADR SER B 833635105 447 13000 SH 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COM 867652406 281 46100 SH SOLE 46100 0 0 SUNTRUST BKS INC COM 867914103 1305 23600 SH SOLE 23600 0 0 SUPREME INDS INC CL A 868607102 296 14600 SH SOLE 14600 0 0 SYNAPTICS INC COM 87157D109 257 5200 SH SOLE 5200 0 0 SYNCHRONOSS TECHNOLOGIES INC COM 87157B103 217 8900 SH SOLE 8900 0 0 SYNCHRONY FINL COM 87165B103 1005 29300 SH SOLE 29300 0 0 SYNERGY PHARMACEUTICALS DEL COM NEW 871639308 52 11100 SH SOLE 11100 0 0 SYNOPSYS INC COM 871607107 628 8700 SH SOLE 8700 0 0 T MOBILE US INC COM 872590104 904 14000 SH SOLE 14000 0 0 TAILORED BRANDS INC COM 87403A107 263 17600 SH SOLE 17600 0 0 TAIWAN SEMICONDUCTOR MFG LTD SPONSORED ADR 874039100 752 22900 SH SOLE 22900 0 0 TAKE-TWO INTERACTIVE SOFTWAR COM 874054109 551 9300 SH SOLE 9300 0 0 TAL ED GROUP ADS REPSTG COM 874080104 544 5100 SH SOLE 5100 0 0 TARGA RES CORP COM 87612G101 1048 17500 SH SOLE 17500 0 0 TAUBMAN CTRS INC COM 876664103 680 10300 SH SOLE 10300 0 0 TAYLOR MORRISON HOME CORP CL A 87724P106 757 35500 SH SOLE 35500 0 0 TE CONNECTIVITY LTD REG SHS H84989104 656 8800 SH SOLE 8800 0 0 TECH DATA CORP COM 878237106 1822 19400 SH SOLE 19400 0 0 TEGNA INC COM 87901J105 1048 40900 SH SOLE 40900 0 0 TELIGENT INC NEW COM 87960W104 142 18200 SH SOLE 18200 0 0 TEREX CORP NEW COM 880779103 364 11600 SH SOLE 11600 0 0 TERNIUM SA SPON ADR 880890108 217 8300 SH SOLE 8300 0 0 TEXAS ROADHOUSE INC COM 882681109 209 4700 SH SOLE 4700 0 0 THERAPEUTICSMD INC COM 88338N107 300 41700 SH SOLE 41700 0 0 THOMSON REUTERS CORP COM 884903105 1094 25300 SH SOLE 25300 0 0 TIER REIT INC COM NEW 88650V208 200 11500 SH SOLE 11500 0 0 TILLYS INC CL A 886885102 198 21900 SH SOLE 21900 0 0 TIME INC NEW COM 887228104 317 16400 SH SOLE 16400 0 0 TIVITY HEALTH INC COM 88870R102 233 8000 SH SOLE 8000 0 0 TIVO CORP COM 88870P106 714 38100 SH SOLE 38100 0 0 TOPBUILD CORP COM 89055F103 254 5400 SH SOLE 5400 0 0 TORO CO COM 891092108 1031 16500 SH SOLE 16500 0 0 TOTAL SYS SVCS INC COM 891906109 834 15600 SH SOLE 15600 0 0 TOWER INTL INC COM 891826109 388 14300 SH SOLE 14300 0 0 TRACTOR SUPPLY CO COM 892356106 752 10900 SH SOLE 10900 0 0 TRI POINTE GROUP INC COM 87265H109 297 23700 SH SOLE 23700 0 0 TRIMAS CORP COM NEW 896215209 307 14800 SH SOLE 14800 0 0 TRITON INTL LTD CL A G9078F107 843 32700 SH SOLE 32700 0 0 TRIVAGO N V SPON ADS A SHS 89686D105 194 14900 SH SOLE 14900 0 0 TTM TECHNOLOGIES INC COM 87305R109 426 26400 SH SOLE 26400 0 0 TUESDAY MORNING CORP COM NEW 899035505 59 15700 SH SOLE 15700 0 0 TWO HBRS INVT CORP COM 90187B101 257 26800 SH SOLE 26800 0 0 TYSON FOODS INC CL A 902494103 636 10300 SH SOLE 10300 0 0 UBS GROUP AG SHS H42097107 919 57600 SH SOLE 57600 0 0 ULTRA CLEAN HLDGS INC COM 90385V107 349 20700 SH SOLE 20700 0 0 UNDER ARMOUR INC CL A 904311107 1193 60300 SH SOLE 60300 0 0 UNDER ARMOUR INC CL C 904311206 1442 78800 SH SOLE 78800 0 0 UNILEVER N V N Y SHS NEW 904784709 1053 21200 SH SOLE 21200 0 0 UNILEVER PLC SPON ADR NEW 904767704 873 17700 SH SOLE 17700 0 0 UNISYS CORP COM NEW 909214306 520 37300 SH SOLE 37300 0 0 UNIT CORP COM 909218109 300 12400 SH SOLE 12400 0 0 UNITED RENTALS INC COM 911363109 663 5300 SH SOLE 5300 0 0 UNITED STATES STL CORP NEW COM 912909108 4564 135000 SH Put SOLE 0 0 135000 UNITED STATES STL CORP NEW COM 912909108 463 13700 SH SOLE 13700 0 0 UNIVERSAL CORP VA COM 913456109 495 7000 SH SOLE 7000 0 0 UNIVERSAL DISPLAY CORP COM 91347P105 603 7000 SH SOLE 7000 0 0 UNIVERSAL HLTH SVCS INC CL B 913903100 597 4800 SH SOLE 4800 0 0 VAIL RESORTS INC COM 91879Q109 1055 5500 SH SOLE 5500 0 0 VALE S A ADR REPSTG PFD 91912E204 1299 144700 SH SOLE 144700 0 0 VALEANT PHARMACEUTICALS INTL COM 91911K102 1116 101200 SH SOLE 101200 0 0 VARIAN MED SYS INC COM 92220P105 565 6200 SH SOLE 6200 0 0 VARONIS SYS INC COM 922280102 219 6900 SH SOLE 6900 0 0 VECTOR GROUP LTD COM 92240M108 678 32600 SH SOLE 32600 0 0 VERITIV CORP COM 923454102 249 4800 SH SOLE 4800 0 0 VERTEX PHARMACEUTICALS INC COM 92532F100 525 4800 SH SOLE 4800 0 0 VIACOM INC NEW CL B 92553P201 788 16900 SH SOLE 16900 0 0 VIAVI SOLUTIONS INC COM 925550105 470 43800 SH SOLE 43800 0 0 VISHAY INTERTECHNOLOGY INC COM 928298108 242 14700 SH SOLE 14700 0 0 VISTEON CORP COM NEW 92839U206 225 2300 SH SOLE 2300 0 0 VMWARE INC CL A COM 928563402 212 2300 SH SOLE 2300 0 0 VODAFONE GROUP PLC NEW SPONSORED ADR 92857W308 957 36200 SH SOLE 36200 0 0 VOYA FINL INC COM 929089100 953 25100 SH SOLE 25100 0 0 VULCAN MATLS CO COM 929160109 904 7500 SH SOLE 7500 0 0 W & T OFFSHORE INC COM 92922P106 1108 400000 SH SOLE 400000 0 0 WABCO HLDGS INC COM 92927K102 646 5500 SH SOLE 5500 0 0 WALKER & DUNLOP INC COM 93148P102 208 5000 SH SOLE 5000 0 0 WEATHERFORD INTL LTD NOTE 5.875% 7/0 947075AH0 1815 273000 SH SOLE 273000 0 0 WELLS FARGO & CO NEW COM 949746101 629 11300 SH SOLE 11300 0 0 WEST PHARMACEUTICAL SVSC INC COM 955306105 375 4600 SH SOLE 4600 0 0 WILDHORSE RESOURCE DEV CORP COM 96812T102 843 67800 SH SOLE 67800 0 0 WILEY JOHN & SONS INC CL A 968223206 237 4400 SH SOLE 4400 0 0 WILLDAN GROUP INC COM 96924N100 332 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