0000919574-19-005185.txt : 20190814 0000919574-19-005185.hdr.sgml : 20190814 20190813195342 ACCESSION NUMBER: 0000919574-19-005185 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20190630 FILED AS OF DATE: 20190814 DATE AS OF CHANGE: 20190813 EFFECTIVENESS DATE: 20190814 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ALPHASIMPLEX GROUP, LLC CENTRAL INDEX KEY: 0001387941 IRS NUMBER: 043488687 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-12259 FILM NUMBER: 191022412 BUSINESS ADDRESS: STREET 1: 255 MAIN STREET CITY: CAMBRIDGE STATE: MA ZIP: 02142 BUSINESS PHONE: (617) 475-7100 MAIL ADDRESS: STREET 1: 255 MAIN STREET CITY: CAMBRIDGE STATE: MA ZIP: 02142 13F-HR 1 primary_doc.xml 13F-HR LIVE false true false 0001387941 XXXXXXXX 06-30-2019 06-30-2019 false ALPHASIMPLEX GROUP, LLC

255 Main Street Cambridge MA 02142

13F COMBINATION REPORT 028-12259 0001018331 NATIXIS ADVISORS, L.P. N Arnout M. Eikeboom 617-475-7107 /s/ Arnout M. Eikeboom Cambridge MA 08-13-2019 0 211 320687414 INFORMATION TABLE 2 infotable.xml ADOBE INC COM 00724F101 1106705 3756 SH SOLE 3756 0 0 ADVANCE AUTO PARTS INC COM 00751Y106 1269343 8235 SH SOLE 8235 0 0 AFLAC INC COM 001055102 1437118 26220 SH SOLE 26220 0 0 AG MTG INVT TR INC COM 001228105 583928 36725 SH SOLE 36725 0 0 AGNC INVT CORP COM 00123Q104 600508 35702 SH SOLE 35702 0 0 AIR PRODS & CHEMS INC COM 009158106 1442203 6371 SH SOLE 6371 0 0 ALEXANDERS INC COM 014752109 1084609 2929 SH SOLE 2929 0 0 ALLERGAN PLC SHS G0177J108 3410382 20369 SH SOLE 20369 0 0 ALLIANCE DATA SYSTEMS CORP COM 018581108 1141079 8143 SH SOLE 8143 0 0 ALLIANT ENERGY CORP COM 018802108 594457 12112 SH SOLE 12112 0 0 ALLSTATE CORP COM 020002101 1456811 14326 SH SOLE 14326 0 0 ALPHABET INC CAP STK CL A 02079K305 1449869 1339 SH SOLE 1339 0 0 AMDOCS LTD SHS G02602103 1658734 26715 SH SOLE 26715 0 0 AMEREN CORP COM 023608102 588938 7841 SH SOLE 7841 0 0 AMERICAN FINL GROUP INC OHIO COM 025932104 1443085 14083 SH SOLE 14083 0 0 AMERICAN HOMES 4 RENT CL A 02665T306 587986 24187 SH SOLE 24187 0 0 AMERICAN WTR WKS CO INC NEW COM 030420103 575940 4965 SH SOLE 4965 0 0 ANNALY CAP MGMT INC COM 035710409 570835 62523 SH SOLE 62523 0 0 AON PLC SHS CL A G0408V102 1450438 7516 SH SOLE 7516 0 0 APARTMENT INVT & MGMT CO CL A 03748R754 583397 11640 SH SOLE 11640 0 0 APOGEE ENTERPRISES INC COM 037598109 1374528 31642 SH SOLE 31642 0 0 APOLLO INVT CORP COM NEW 03761U502 1366479 86486 SH SOLE 86486 0 0 APTARGROUP INC COM 038336103 1459379 11737 SH SOLE 11737 0 0 ARCONIC INC COM 03965L100 1030812 39923 SH SOLE 39923 0 0 ARES CAP CORP COM 04010L103 1433711 79917 SH SOLE 79917 0 0 ARMOUR RESIDENTIAL REIT INC COM NEW 042315507 611336 32797 SH SOLE 32797 0 0 ATMOS ENERGY CORP COM 049560105 589236 5582 SH SOLE 5582 0 0 AUTOMATIC DATA PROCESSING IN COM 053015103 1911049 11559 SH SOLE 11559 0 0 AVALONBAY CMNTYS INC COM 053484101 563215 2772 SH SOLE 2772 0 0 AVANGRID INC COM 05351W103 568630 11260 SH SOLE 11260 0 0 BANK NEW YORK MELLON CORP COM 064058100 1587193 35950 SH SOLE 35950 0 0 BARINGS BDC INC COM 06759L103 614646 62464 SH SOLE 62464 0 0 BAXTER INTL INC COM 071813109 1909826 23319 SH SOLE 23319 0 0 BERKSHIRE HATHAWAY INC DEL CL A 084670108 1591750 5 SH SOLE 5 0 0 BERRY GLOBAL GROUP INC COM 08579W103 1612409 30660 SH SOLE 30660 0 0 BLACKROCK TCP CAP CORP COM 09259E108 822182 57697 SH SOLE 57697 0 0 BLACKSTONE MTG TR INC COM CL A 09257W100 576538 16204 SH SOLE 16204 0 0 BRIGHT HORIZONS FAM SOL IN D COM 109194100 1771516 11742 SH SOLE 11742 0 0 BROOKFIELD ASSET MGMT INC CL A LTD VT SH 112585104 1425182 29828 SH SOLE 29828 0 0 BROOKFIELD INFRAST PARTNERS LP INT UNIT G16252101 1432822 33368 SH SOLE 33368 0 0 BROWN & BROWN INC COM 115236101 1453699 43394 SH SOLE 43394 0 0 CAESARS ENTMT CORP COM 127686103 3398132 287490 SH SOLE 287490 0 0 CAMDEN PPTY TR SH BEN INT 133131102 602957 5776 SH SOLE 5776 0 0 CAMPBELL SOUP CO COM 134429109 1075078 26830 SH SOLE 26830 0 0 CAPITOL FED FINL INC COM 14057J101 1260616 91548 SH SOLE 91548 0 0 CAPSTEAD MTG CORP COM NO PAR 14067E506 1395160 167085 SH SOLE 167085 0 0 CARS COM INC COM 14575E105 960837 48724 SH SOLE 48724 0 0 CBRE GROUP INC CL A 12504L109 1536692 29955 SH SOLE 29955 0 0 CENTENE CORP DEL COM 15135B101 1043346 19896 SH SOLE 19896 0 0 CENTERPOINT ENERGY INC COM 15189T107 582048 20330 SH SOLE 20330 0 0 CERNER CORP COM 156782104 1426491 19461 SH SOLE 19461 0 0 CHENIERE ENERGY INC COM NEW 16411R208 1469758 21472 SH SOLE 21472 0 0 CHESAPEAKE LODGING TR SH BEN INT 165240102 3266822 114948 SH SOLE 114948 0 0 CHIMERA INVT CORP COM NEW 16934Q208 597028 31639 SH SOLE 31639 0 0 CHIPOTLE MEXICAN GRILL INC COM 169656105 1240766 1693 SH SOLE 1693 0 0 CHUBB LIMITED COM H1467J104 1420317 9643 SH SOLE 9643 0 0 CITIGROUP INC COM NEW 172967424 1686392 24081 SH SOLE 24081 0 0 CITRIX SYS INC COM 177376100 3555318 36227 SH SOLE 36227 0 0 CMS ENERGY CORP COM 125896100 596936 10308 SH SOLE 10308 0 0 COCA COLA CO COM 191216100 577280 11337 SH SOLE 11337 0 0 COLGATE PALMOLIVE CO COM 194162103 589916 8231 SH SOLE 8231 0 0 COLUMBIA FINL INC COM 197641103 666393 44132 SH SOLE 44132 0 0 CONAGRA BRANDS INC COM 205887102 900301 33948 SH SOLE 33948 0 0 CONSOLIDATED EDISON INC COM 209115104 586053 6684 SH SOLE 6684 0 0 CVR ENERGY INC COM 12662P108 1154019 23085 SH SOLE 23085 0 0 DANAHER CORPORATION COM 235851102 1911555 13375 SH SOLE 13375 0 0 DEVON ENERGY CORP NEW COM 25179M103 944297 33110 SH SOLE 33110 0 0 DIAMONDBACK ENERGY INC COM 25278X109 1106372 10153 SH SOLE 10153 0 0 DOLLAR TREE INC COM 256746108 1349463 12566 SH SOLE 12566 0 0 DOMINION ENERGY INC COM 25746U109 617014 7980 SH SOLE 7980 0 0 DOUGLAS EMMETT INC COM 25960P109 539274 13536 SH SOLE 13536 0 0 DTE ENERGY CO COM 233331107 582749 4557 SH SOLE 4557 0 0 DUKE ENERGY CORP NEW COM NEW 26441C204 550000 6233 SH SOLE 6233 0 0 DUPONT DE NEMOURS INC COM 26614N102 842511 11223 SH SOLE 11223 0 0 DXC TECHNOLOGY CO COM 23355L106 1127156 20438 SH SOLE 20438 0 0 EAGLE MATERIALS INC COM 26969P108 1085610 11711 SH SOLE 11711 0 0 EBAY INC COM 278642103 1417932 35897 SH SOLE 35897 0 0 ECOLAB INC COM 278865100 1640726 8310 SH SOLE 8310 0 0 ELLINGTON FINANCIAL INC COM 28852N109 916686 51012 SH SOLE 51012 0 0 ENTERGY CORP NEW COM 29364G103 610066 5927 SH SOLE 5927 0 0 EQUITY COMWLTH COM SH BEN INT 294628102 592514 18220 SH SOLE 18220 0 0 EQUITY LIFESTYLE PPTYS INC COM 29472R108 581947 4796 SH SOLE 4796 0 0 EQUITY RESIDENTIAL SH BEN INT 29476L107 557481 7343 SH SOLE 7343 0 0 EVERGY INC COM 30034W106 579245 9630 SH SOLE 9630 0 0 EVERSOURCE ENERGY COM 30040W108 574488 7583 SH SOLE 7583 0 0 EXELON CORP COM 30161N101 542297 11312 SH SOLE 11312 0 0 FIDELITY NATL INFORMATION SV COM 31620M106 1423947 11607 SH SOLE 11607 0 0 FIRSTENERGY CORP COM 337932107 1954448 45654 SH SOLE 45654 0 0 FORTUNE BRANDS HOME & SEC IN COM 34964C106 1329187 23266 SH SOLE 23266 0 0 GALLAGHER ARTHUR J & CO COM 363576109 1420272 16215 SH SOLE 16215 0 0 GENERAL ELECTRIC CO COM 369604103 985383 93846 SH SOLE 93846 0 0 GENESEE & WYO INC CL A 371559105 1357100 13571 SH SOLE 13571 0 0 GENPACT LIMITED SHS G3922B107 1723611 45251 SH SOLE 45251 0 0 GOLUB CAP BDC INC COM 38173M102 1040481 58454 SH SOLE 58454 0 0 GRANITE PT MTG TR INC COM 38741L107 1445487 75325 SH SOLE 75325 0 0 HAIN CELESTIAL GROUP INC COM 405217100 939335 42892 SH SOLE 42892 0 0 HAWAIIAN ELEC INDUSTRIES COM 419870100 599161 13758 SH SOLE 13758 0 0 HD SUPPLY HLDGS INC COM 40416M105 1643384 40799 SH SOLE 40799 0 0 HENRY JACK & ASSOC INC COM 426281101 1622575 12116 SH SOLE 12116 0 0 HERCULES CAPITAL INC COM 427096508 1538682 120022 SH SOLE 120022 0 0 HERSHEY CO COM 427866108 1472856 10989 SH SOLE 10989 0 0 HESS CORP COM 42809H107 1118387 17593 SH SOLE 17593 0 0 HFF INC CL A 40418F108 2173171 47783 SH SOLE 47783 0 0 HIGHWOODS PPTYS INC COM 431284108 585304 14172 SH SOLE 14172 0 0 HILTON WORLDWIDE HLDGS INC COM 43300A203 1680737 17196 SH SOLE 17196 0 0 HONEYWELL INTL INC COM 438516106 1707316 9779 SH SOLE 9779 0 0 IAC INTERACTIVECORP COM 44919P508 1062199 4883 SH SOLE 4883 0 0 IDACORP INC COM 451107106 574761 5723 SH SOLE 5723 0 0 INVESCO MORTGAGE CAPITAL INC COM 46131B100 641254 39780 SH SOLE 39780 0 0 INVESTORS BANCORP INC NEW COM 46146L101 1477854 132543 SH SOLE 132543 0 0 ISHARES TR CORE US AGGBD ET 464287226 2496022 22416 SH SOLE 22416 0 0 ISHARES TR JPMORGAN USD EMG 464288281 1664268 14690 SH SOLE 14690 0 0 ISHARES TR IBOXX HI YD ETF 464288513 42930360 492433 SH SOLE 492433 0 0 JACK IN THE BOX INC COM 466367109 1388025 17054 SH SOLE 17054 0 0 JOHNSON & JOHNSON COM 478160104 1437927 10324 SH SOLE 10324 0 0 KKR REAL ESTATE FIN TR INC COM 48251K100 1386791 69618 SH SOLE 69618 0 0 LEGACY TEX FINL GROUP INC COM 52471Y106 3422530 84071 SH SOLE 84071 0 0 LIBERTY PPTY TR SH BEN INT 531172104 603182 12054 SH SOLE 12054 0 0 LIONS GATE ENTMNT CORP CL A VTG 535919401 637735 52060 SH SOLE 52060 0 0 LOEWS CORP COM 540424108 1436618 26278 SH SOLE 26278 0 0 LORAL SPACE & COMMUNICATNS I COM 543881106 577180 16725 SH SOLE 16725 0 0 LOWES COS INC COM 548661107 1470662 14574 SH SOLE 14574 0 0 MADISON SQUARE GARDEN CO NEW CL A 55825T103 1300601 4646 SH SOLE 4646 0 0 MAGELLAN HEALTH INC COM NEW 559079207 999655 13467 SH SOLE 13467 0 0 MAIN STREET CAPITAL CORP COM 56035L104 1436280 34929 SH SOLE 34929 0 0 MARKEL CORP COM 570535104 1446989 1328 SH SOLE 1328 0 0 MARSH & MCLENNAN COS INC COM 571748102 1421936 14255 SH SOLE 14255 0 0 MCDONALDS CORP COM 580135101 1443029 6949 SH SOLE 6949 0 0 MFA FINL INC COM 55272X102 604599 84206 SH SOLE 84206 0 0 MGM RESORTS INTERNATIONAL COM 552953101 1199254 41976 SH SOLE 41976 0 0 MICROSOFT CORP COM 594918104 1563849 11674 SH SOLE 11674 0 0 MID AMER APT CMNTYS INC COM 59522J103 595277 5055 SH SOLE 5055 0 0 MONDELEZ INTL INC CL A 609207105 3389070 62877 SH SOLE 62877 0 0 NASDAQ INC COM 631103108 1422835 14795 SH SOLE 14795 0 0 NATIONAL HEALTH INVS INC COM 63633D104 591467 7580 SH SOLE 7580 0 0 NEW MTN FIN CORP COM 647551100 1206156 86339 SH SOLE 86339 0 0 NEW YORK MTG TR INC COM PAR $.02 649604501 643975 103867 SH SOLE 103867 0 0 NEXTERA ENERGY INC COM 65339F101 608844 2972 SH SOLE 2972 0 0 NORTHWESTERN CORP COM NEW 668074305 580086 8040 SH SOLE 8040 0 0 OGE ENERGY CORP COM 670837103 585370 13754 SH SOLE 13754 0 0 ON SEMICONDUCTOR CORP COM 682189105 981539 48567 SH SOLE 48567 0 0 ONE GAS INC COM 68235P108 581984 6445 SH SOLE 6445 0 0 ONESPAWORLD HOLDINGS LIMITED COM P73684113 1619812 104504 SH SOLE 104504 0 0 OPEN TEXT CORP COM 683715106 1983080 48133 SH SOLE 48133 0 0 ORITANI FINL CORP DEL COM 68633D103 954057 53780 SH SOLE 53780 0 0 PAYPAL HLDGS INC COM 70450Y103 1297519 11336 SH SOLE 11336 0 0 PEABODY ENERGY CORP NEW COM 704551100 888326 36860 SH SOLE 36860 0 0 PENNANTPARK FLOATING RATE CA COM 70806A106 598554 51778 SH SOLE 51778 0 0 PENNYMAC MTG INVT TR COM 70931T103 624600 28612 SH SOLE 28612 0 0 PEPSICO INC COM 713448108 602411 4594 SH SOLE 4594 0 0 PFIZER INC COM 717081103 1658593 38287 SH SOLE 38287 0 0 PINNACLE WEST CAP CORP COM 723484101 560400 5956 SH SOLE 5956 0 0 PORTLAND GEN ELEC CO COM NEW 736508847 592349 10935 SH SOLE 10935 0 0 PPG INDS INC COM 693506107 1721006 14746 SH SOLE 14746 0 0 PROCTER AND GAMBLE CO COM 742718109 2693333 24563 SH SOLE 24563 0 0 PUBLIC SVC ENTERPRISE GRP IN COM 744573106 554496 9427 SH SOLE 9427 0 0 READY CAP CORP COM 75574U101 964909 64759 SH SOLE 64759 0 0 RENT A CTR INC NEW COM 76009N100 1025867 38523 SH SOLE 38523 0 0 REPUBLIC SVCS INC COM 760759100 1430426 16510 SH SOLE 16510 0 0 RUDOLPH TECHNOLOGIES INC COM 781270103 1411009 51068 SH SOLE 51068 0 0 SEMPRA ENERGY COM 816851109 2051979 14930 SH SOLE 14930 0 0 SLM CORP COM 78442P106 1389911 142995 SH SOLE 142995 0 0 SOLAR CAP LTD COM 83413U100 513537 25014 SH SOLE 25014 0 0 SONOCO PRODS CO COM 835495102 1445321 22120 SH SOLE 22120 0 0 SOUTHERN CO COM 842587107 598627 10829 SH SOLE 10829 0 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 17937370 61219 SH SOLE 61219 0 0 SPDR SERIES TRUST BLOMBERG INTL TR 78464A516 1523795 52690 SH SOLE 52690 0 0 STARBUCKS CORP COM 855244109 1805614 21539 SH SOLE 21539 0 0 STARWOOD PPTY TR INC COM 85571B105 595241 26199 SH SOLE 26199 0 0 SUBURBAN PROPANE PARTNERS L UNIT LTD PARTN 864482104 962127 39610 SH SOLE 39610 0 0 SUN CMNTYS INC COM 866674104 586341 4574 SH SOLE 4574 0 0 SYMANTEC CORP COM 871503108 988492 45427 SH SOLE 45427 0 0 SYSCO CORP COM 871829107 3291026 46536 SH SOLE 46536 0 0 T MOBILE US INC COM 872590104 1644203 22177 SH SOLE 22177 0 0 TABLEAU SOFTWARE INC CL A 87336U105 2802418 16880 SH SOLE 16880 0 0 TCG BDC INC COM 872280102 1437681 94336 SH SOLE 94336 0 0 TEREX CORP NEW COM 880779103 1084807 34548 SH SOLE 34548 0 0 TFS FINL CORP COM 87240R107 1010149 55902 SH SOLE 55902 0 0 TIFFANY & CO NEW COM 886547108 1052701 11242 SH SOLE 11242 0 0 TORCHMARK CORP COM 891027104 1670129 18669 SH SOLE 18669 0 0 TOTAL SYS SVCS INC COM 891906109 3395563 26472 SH SOLE 26472 0 0 TPG RE FIN TR INC COM 87266M107 1417159 73466 SH SOLE 73466 0 0 TPG SPECIALTY LENDING INC COM 87265K102 1397029 71277 SH SOLE 71277 0 0 TRINITY INDS INC COM 896522109 1009882 48669 SH SOLE 48669 0 0 TWO HBRS INVT CORP COM NEW 90187B408 588813 46473 SH SOLE 46473 0 0 UDR INC COM 902653104 554840 12360 SH SOLE 12360 0 0 UGI CORP NEW COM 902681105 611651 11452 SH SOLE 11452 0 0 UNITED TECHNOLOGIES CORP COM 913017109 1744159 13396 SH SOLE 13396 0 0 UNIVAR INC COM 91336L107 1006633 45673 SH SOLE 45673 0 0 US BANCORP DEL COM NEW 902973304 1645046 31394 SH SOLE 31394 0 0 US FOODS HLDG CORP COM 912008109 1378798 38557 SH SOLE 38557 0 0 VANGUARD CHARLOTTE FDS INTL BD IDX ETF 92203J407 1476564 25769 SH SOLE 25769 0 0 VANGUARD INDEX FDS MID CAP ETF 922908629 2084820 12472 SH SOLE 12472 0 0 VANGUARD INDEX FDS TOTAL STK MKT 922908769 2142084 14272 SH SOLE 14272 0 0 VANGUARD INDEX FDS VALUE ETF 922908744 2108922 19013 SH SOLE 19013 0 0 VANGUARD INTL EQUITY INDEX F FTSE PACIFIC ETF 922042866 1029064 15573 SH SOLE 15573 0 0 VANGUARD INTL EQUITY INDEX F FTSE EUROPE ETF 922042874 1045241 19039 SH SOLE 19039 0 0 VANGUARD INTL EQUITY INDEX F FTSE SMCAP ETF 922042718 1049653 9972 SH SOLE 9972 0 0 VANGUARD SCOTTSDALE FDS INT-TERM CORP 92206C870 2554373 28429 SH SOLE 28429 0 0 VANGUARD TAX MANAGED INTL FD FTSE DEV MKT ETF 921943858 1049090 25152 SH SOLE 25152 0 0 VERISK ANALYTICS INC COM 92345Y106 1443803 9858 SH SOLE 9858 0 0 VERRA MOBILITY CORP COM 92511U102 1375955 105115 SH SOLE 105115 0 0 W P CAREY INC COM 92936U109 580762 7154 SH SOLE 7154 0 0 WEC ENERGY GROUP INC COM 92939U106 607517 7287 SH SOLE 7287 0 0 WENDYS CO COM 95058W100 1884458 96244 SH SOLE 96244 0 0 WESCO INTL INC COM 95082P105 1451426 28656 SH SOLE 28656 0 0 WESTERN ASSET MTG CAP CORP COM 95790D105 670357 67170 SH SOLE 67170 0 0 WHITE MTNS INS GROUP LTD COM G9618E107 1484181 1453 SH SOLE 1453 0 0 XCEL ENERGY INC COM 98389B100 602574 10129 SH SOLE 10129 0 0 YUM BRANDS INC COM 988498101 1440370 13015 SH SOLE 13015 0 0 ZIMMER BIOMET HLDGS INC COM 98956P102 1712882 14548 SH SOLE 14548 0 0