13F-HR 1 f2inv13f2013q1v1.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: March 31, 2013 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: F-Squared Investment Management, LLC Address: One Newton Executive Park 2221 Washington Street, Suite 201 Newton, Massachusetts 02462 13F File Number: 028-15329 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: Kara Brown Title: Chief Compliance Officer and Counsel Phone: 617-916-0623 Signature, Place, and Date of Signing: Kara Brown Newton, 5/15/2013 Massachusetts [Signature] [City, State] [Date] Report Type (Check only one.): [X] 13F Holdings Report, (Check here if all holdings of this reporting manager are reported in this report.) [_] 13F Notice. (Check here if no holdings reported are in this report, and all holdings are reported by other reporting manager(s).) [_] 13F Combination Report. (Check here if a portion of the holdings for this reporting manager are reported in this report and a portion are reported by other reporting manager(s).) List of Other Managers Reporting for this Manager: [If there are no entries in this list, omit this section.] Form 13F File Number Name FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 Form 13F Information Table Entry Total: 45 Form 13F Information Table Value Total: 165,664.73 (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. Form 13F File Number Names
Form 13F Information Table Column 1 Column 2 Column 3 Column 4 Column 5 Column 6 Column 7 Column 8 ----------------------------- -------------- --------- -------- ------------------ ---------- -------- ----------------------------- Value Shares/ Sh/ Put/ Investment Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt Prn Call Discretion Managers Sole Shared None ----------------------------- -------------- --------- -------- --------- --- ---- ---------- -------- --------- --------- --------- PROSHARES TR 74347R 71 41.75 750.61 SH Sole None None None None 9 ISHARES TR 464287 23 448.91 10496.02 SH Sole None None None None 4 ISHARES INC 464286 66 202.05 4065.44 SH Sole None None None None 5 ISHARES INC 464286 50 192.74 6760.46 SH Sole None None None None 9 ISHARES INC 464286 84 213.69 19785.84 SH Sole None None None None 8 ISHARES TR 46429B 65 163.30 3222.20 SH Sole None None None None 5 FIRST TR EXCHANGE TRADED FD 33734X 10 9.08 353.55 SH Sole None None None None 1 FIRST TR EXCHANGE TRADED FD 33734X 11 9.67 316.02 SH Sole None None None None 9 FIRST TR EXCHANGE TRADED FD 33734X 12 8.94 399.36 SH Sole None None None None 7 FIRST TR EXCHANGE TRADED FD 33734X 13 9.19 507.03 SH Sole None None None None 5 FIRST TR EXCHANGE TRADED FD 33734X 14 9.16 240.13 SH Sole None None None None 3 FIRST TR EXCHANGE TRADED FD 33734X 15 9.15 408.21 SH Sole None None None None 0 FIRST TR EXCHANGE TRADED FD 33734X 16 8.58 313.46 SH Sole None None None None 8 FIRST TR EXCHANGE TRADED FD 33734X 17 8.86 369.80 SH Sole None None None None 6 FIRST TR EXCHANGE TRADED FD 33734X 18 8.90 459.70 SH Sole None None None None 4 ISHARES TR 464287 69 174054.48 SH Sole None None None None 7 16,900.69 ISHARES TR 464287 79 353580.28 SH Sole None None None None 6 15,957.08 ISHARES TR 464287 78 18.34 270.22 SH Sole None None None None 8 ISHARES TR 464287 76 18.84 195.40 SH Sole None None None None 2 ISHARES TR 464287 75 200118.56 SH Sole None None None None 4 16,343.68 ISHARES TR 464287 73 145.13 2088.78 SH Sole None None None None 9 PROSHARES TR 74347R 73 45.17 402.14 SH Sole None None None None 5 ISHARES TR 464288 67 310.58 2817.55 SH Sole None None None None 9 SPDR SERIES TRUST 78462F 10 148.28 946.46 SH Sole None None None None 3 ISHARES TR 464287 17 164.27 1354.59 SH Sole None None None None 6 PROSHARES TR 74347R 75 43.78 439.99 SH Sole None None None None 0 PROSHARES TR 74347R 76 44.11 356.88 SH Sole None None None None 8 PROSHARES TR 74347R 68 45.43 659.07 SH Sole None None None None 5 PROSHARES TR 74347R 72 42.73 629.99 SH Sole None None None None 7 PROSHARES TR 74347X 63 42.04 498.27 SH Sole None None None None 3 PROSHARES TR 74347R 77 35.46 938.55 SH Sole None None None None 6 VANGUARD INTL EQUITY INDEX F 922042 87 590.41 SH Sole None None None None 4 12017.30962 SPDR SERIES TRUST 81369Y 10 SH Sole None None None None 0 16,948.27432574.4462 SPDR SERIES TRUST 81369Y 50 1,739.27 21930 SH Sole None None None None 6 SPDR SERIES TRUST 81369Y 60 SH Sole None None None None 5 18,017.20989467.01062 SPDR SERIES TRUST 81369Y 70 1,724.19 41288 SH Sole None None None None 4 SPDR SERIES TRUST 81369Y 80 1,650.83 54537 SH Sole None None None None 3 SPDR SERIES TRUST 81369Y 30 SH Sole None None None None 8 18,689.06469928.64848 SPDR SERIES TRUST 81369Y 88 1,782.22 45581 SH Sole None None None None 6 SPDR SERIES TRUST 81369Y 20 SH Sole None None None None 9 18,594.69404153.37194 SPDR SERIES TRUST 81369Y 40 SH Sole None None None None 7 18,117.97341848.48714 ISHARES TR 464287 72 SH Sole None None None None 1 15,795.66215463.95755 ISHARES TR 464288 51 163.80 SH Sole None None None None 3 1736.08196 ISHARES TR 464287 24 164.32 SH Sole None None None None 2 1370.46578 PROSHARES TR 74347R 69 37.27 494.62535 SH Sole None None None None 3