ELLINGTON MANAGEMENT GROUP LLC Historic Quarter Change: USA Everything Else, New

ELLINGTON MANAGEMENT GROUP LLC historic quarter change: USA Everything Else, New

In partnership units, exchange-traded notes and anything else (listed in the US), over 13 quarters from 2013-06-30 to 2016-09-30, ELLINGTON MANAGEMENT GROUP LLC opened 14 positions, added to 5, reduced 1 and sold out of 14.

Q1 2016: Stock ARCELORMITTAL SA LUXEMBOURG; Country of operation —; Class NY REGISTRY SH; Shares before 0.
Q3 2015: Stock HORIZON PHARMA INC; Country of operation —; Class NOTE 5.000%11/1; Shares before 0.
Q2 2015: Stock ARCELORMITTAL SA LUXEMBOURG; Country of operation —; Class NY REGISTRY SH; Shares before 0.
Q2 2015: Stock BARCLAYS BK PLC; Country of operation —; Class IPATH S&P500 VIX; Shares before 0.

Each consecutive pair of Form 13F-HR filings compared (SEC CIK 1098490), 13 quarters: Q3 2016 (2016-06-30 to 2016-09-30, filed 2016-11-14); Q2 2016 (2016-03-31 to 2016-06-30, filed 2016-08-15); Q1 2016 (2015-12-31 to 2016-03-31, filed 2016-05-16); Q4 2015 (2015-09-30 to 2015-12-31, filed 2016-05-27); Q3 2015 (2015-06-30 to 2015-09-30, filed 2016-05-27); Q2 2015 (2015-03-31 to 2015-06-30, filed 2015-08-14); Q1 2015 (2014-12-31 to 2015-03-31, filed 2015-05-15); Q4 2014 (2014-09-30 to 2014-12-31, filed 2015-02-17); Q3 2014 (2014-06-30 to 2014-09-30, filed 2014-11-14); Q2 2014 (2014-03-31 to 2014-06-30, filed 2014-08-14); Q1 2014 (2013-12-31 to 2014-03-31, filed 2014-05-15); Q4 2013 (2013-09-30 to 2013-12-31, filed 2014-02-14); Q3 2013 (2013-06-30 to 2013-09-30, filed 2013-11-14). Rows for the same security, class and put/call are added together. Value change is the filed value at each quarter end, so it includes the price move. Only the filings held here are compared; the firm's 13F-HR filings go back to the quarter ended 2005-09-30.

Quarter	Stock	Class	Shares after	Share change	Value before	Value after	Value change	Filed
Q1 2016	ARCELORMITTAL SA LUXEMBOURG CUSIP 03938L104	NY REGISTRY SH	41,500	+41,500	$0	$190,000	+$190,000	2016-05-16
Q3 2015	HORIZON PHARMA INC CUSIP 44047TAB5	NOTE 5.000%11/1	24,800	+24,800	$0	$492,000	+$492,000	2016-05-27
Q2 2015	ARCELORMITTAL SA LUXEMBOURG CUSIP 03938L104	NY REGISTRY SH	49,000	+49,000	$0	$476,000	+$476,000	2015-08-14
Q2 2015	BARCLAYS BK PLC CUSIP 06742E711	IPATH S&P500 VIX	14,100	+14,100	$0	$283,000	+$283,000	2015-08-14
Q1 2015	CARNIVAL CORP CUSIP 143658300	PAIRED CTF	10,300	+10,300	$0	$493,000	+$493,000	2015-05-15
Q1 2015	HORIZON PHARMA INC CUSIP 44047TAB5	NOTE 5.000%11/1	15,800	+15,800	$0	$410,000	+$410,000	2015-05-15
Q1 2015	IRSA INVERSIONES Y REP S A CUSIP 450047204	GLOBL DEP RCPT	10,600	+10,600	$0	$209,000	+$209,000	2015-05-15
Q2 2014	LINNCO LLC CUSIP 535782106	COMSHS LTD INT	20,200	+20,200	$0	$632,000	+$632,000	2014-08-14
Q1 2014	ARCELORMITTAL SA LUXEMBOURG CUSIP 03938L104	NY REGISTRY SH	13,700	+13,700	$0	$221,000	+$221,000	2014-05-15
Q4 2013	AEGON N V CUSIP 007924103	NY REGISTRY SH	29,600	+29,600	$0	$281,000	+$281,000	2014-02-14
Q3 2013	BARCLAYS BK PLC CUSIP 06740C188	IPATH S&P500 VIX	611,200	+611,200	$0	$8,984,000	+$8,984,000	2013-11-14
Q3 2013	MACQUARIE INFRASTR CO LLC CUSIP 55608B105	MEMBERSHIP INT	10,300	+10,300	$0	$551,000	+$551,000	2013-11-14
Q3 2013	NOBLE CORPORATION BAAR CUSIP H5833N103	NAMEN -AKT	9,900	+9,900	$0	$374,000	+$374,000	2013-11-14
Q3 2013	LINNCO LLC CUSIP 535782106	COMSHS LTD INT	7,600	+7,600	$0	$222,000	+$222,000	2013-11-14

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