Mount Lucas Management LP's Q1 2022 13F: 10 new positions, 28 exits
Form 13F-HR for the quarter ended Mar 31, 2022 · filed May 12, 2022 · 111 reported positions · accession 0001567619-22-010227
What changed this quarter
| Activity | Security | Weight before | Weight now | Change | Shares | Shares % |
|---|---|---|---|---|---|---|
| Increased | ISHARES 1-3 YEAR TREASURY BO (SHY) | 12.5% | 19.7% | +7.1 pts | +298K sh | +58% |
| New | ISHARES MSCI EAFE VALUE ETF (EFV) | — | 3.0% | +3.0 pts | +206K sh | new |
| Increased | INVESCO S&P 500 PURE VALUE E (RPV) | 0.6% | 3.6% | +3.1 pts | +120K sh | +467% |
| New | JPMORGAN BETABUILDERS JAPAN (BBJP) | — | 2.6% | +2.6 pts | +177K sh | new |
| New | JPMORGAN BETABUILDERS EUROPE (BBEU) | — | 1.9% | +1.9 pts | +117K sh | new |
| Exited | ISHARES 7-10 YEAR TREASURY B (IEF) | 1.6% | — | −1.6 pts | −47,555 sh | −100% |
| Exited | INVESCO SENIOR LOAN ETF (BKLN) | 1.4% | — | −1.4 pts | −228K sh | −100% |
| Exited | ISHARES PREFERRED & INCOME S (PFF) | 1.4% | — | −1.4 pts | −128K sh | −100% |
| Exited | SPDR BLOOMBERG HIGH YIELD BO (JNK) | 1.0% | — | −1.0 pts | −31,308 sh | −100% |
| Exited | ISHARES 0-5 YR HY CORP BOND (SHYG) | 1.0% | — | −1.0 pts | −75,036 sh | −100% |
| Exited | ISHARES MORTGAGE REAL ESTATE (REM) | 0.8% | — | −0.8 pts | −76,431 sh | −100% |
| Exited | SPDR S&P INTER DVD ETF (DWX) | 0.7% | — | −0.7 pts | −60,848 sh | −100% |
| Increased | TELLURIAN INC (TELL) | 0.4% | 1.2% | +0.9 pts | +400K sh | +100% |
| Exited | INVESCO S&P 500 PURE GROWTH (RPG) | 0.6% | — | −0.6 pts | −9,293 sh | −100% |
| Exited | ISHARES FALLEN ANGELS ETF (FALN) | 0.5% | — | −0.5 pts | −52,815 sh | −100% |
| Exited | FLEXSHARES HIGH YIELD VALUE (HYGV) | 0.5% | — | −0.5 pts | −32,310 sh | −100% |
| Exited | SPDR BLOOMBERG SHORT TERM HI (SJNK) | 0.5% | — | −0.5 pts | −58,301 sh | −100% |
| Reduced | MOSAIC CO/THE (MOS) | 2.6% | 4.0% | +1.4 pts | −23,068 sh | −10% |
| Reduced | VANGUARD HIGH DVD YIELD ETF (VYM) | 1.1% | 0.7% | −0.3 pts | −11,173 sh | −33% |
| Reduced | INVESCO S&P 500 BUYWRITE ETF (PBP) | 1.1% | 0.8% | −0.3 pts | −52,822 sh | −32% |
| Exited | MATERIALS SELECT SECTOR SPDR (XLB) | 0.3% | — | −0.3 pts | −12,982 sh | −100% |
| Exited | INDUSTRIAL SELECT SECT SPDR (XLI) | 0.3% | — | −0.3 pts | −11,117 sh | −100% |
| Exited | TECHNOLOGY SELECT SECT SPDR (XLK) | 0.3% | — | −0.3 pts | −6,766 sh | −100% |
| Exited | CONSUMER DISCRETIONARY SELT (XLY) | 0.3% | — | −0.3 pts | −5,754 sh | −100% |
| Reduced | VANGUARD REAL ESTATE ETF (VNQ) | 0.7% | 0.4% | −0.4 pts | −10,546 sh | −49% |
| Reduced | UTILITIES SELECT SECTOR SPDR (XLU) | 1.0% | 0.7% | −0.3 pts | −14,624 sh | −31% |
| Exited | ISHARES IBOXX INVESTMENT GRA (LQD) | 0.3% | — | −0.3 pts | −7,916 sh | −100% |
| Exited | ISHARES NATIONAL MUNI BOND E (MUB) | 0.3% | — | −0.3 pts | −9,021 sh | −100% |
| New | ISHARES MSCI PERU ETF (EPU) | — | 0.3% | +0.3 pts | +25,310 sh | new |
| New | ISHARES MSCI SOUTH AFRICA ET (EZA) | — | 0.3% | +0.3 pts | +16,745 sh | new |
| New | ISHARES MSCI BRAZIL ETF (EWZ) | — | 0.3% | +0.3 pts | +24,259 sh | new |
| Reduced | HP INC (HPQ) | 2.7% | 2.4% | −0.3 pts | −23,878 sh | −10% |
| Exited | ISHARES MSCI TAIWAN ETF (EWT) | 0.2% | — | −0.2 pts | −11,854 sh | −100% |
| Exited | ISHARES MSCI INDIA ETF (INDA) | 0.2% | — | −0.2 pts | −17,225 sh | −100% |
| Reduced | ISHARES MSCI PHILIPPINES ETF (EPHE) | 0.2% | 0.0% | −0.2 pts | −23,681 sh | −95% |
| New | ISHARES MSCI MALAYSIA ETF (EWM) | — | 0.2% | +0.2 pts | +27,529 sh | new |
| Reduced | ARCHER-DANIELS-MIDLAND CO (ADM) | 1.2% | 1.4% | +0.3 pts | −6,320 sh | −10% |
| Reduced | WHIRLPOOL CORP (WHR) | 2.3% | 1.6% | −0.7 pts | −3,273 sh | −9% |
| Reduced | FREEPORT-MCMORAN INC (FCX) | 1.2% | 1.3% | +0.1 pts | −11,323 sh | −11% |
| Exited | TURQUOISE HILL RESOURCES LTD (TRQ) | 0.2% | — | −0.2 pts | −34,407 sh | −100% |
| Exited | SPDR BLOOMBERG INVESTMENT GR (FLRN) | 0.2% | — | −0.2 pts | −17,963 sh | −100% |
| Reduced | BATH & BODY WORKS INC (BBWI) | 2.2% | 1.4% | −0.8 pts | −11,052 sh | −10% |
| Reduced | NUCOR CORP (NUE) | 1.3% | 1.6% | +0.3 pts | −3,475 sh | −9% |
| Reduced | HEWLETT PACKARD ENTERPRISE (HPE) | 1.3% | 1.2% | 0.0 pts | −29,398 sh | −11% |
| Reduced | AMERICAN INTERNATIONAL GROUP (AIG) | 1.2% | 1.2% | 0.0 pts | −7,822 sh | −11% |
| Reduced | METLIFE INC (MET) | 1.2% | 1.2% | 0.0 pts | −6,896 sh | −11% |
| Reduced | TYSON FOODS INC-CL A (TSN) | 1.2% | 1.1% | −0.1 pts | −5,281 sh | −11% |
| Reduced | FINANCIAL SELECT SECTOR SPDR (XLF) | 0.3% | 0.2% | −0.1 pts | −12,179 sh | −40% |
| Increased | REAL ESTATE SELECT SECT SPDR (XLRE) | 0.3% | 0.5% | +0.1 pts | +9,643 sh | +42% |
| Reduced | CVS HEALTH CORP (CVS) | 1.3% | 1.1% | −0.1 pts | −4,583 sh | −11% |
The 50 largest of 139 changes, by size of the trade. Full holdings for this quarter.
Reported by the fund in its Form 13F filed with the SEC; holdings are as of the quarter-end report date and may have changed since. For informational purposes only — not investment advice or a recommendation to buy or sell any security. FilingExplorer is not affiliated with or endorsed by this fund. How this brief is compiled
Top 10 positions — 41.7% of the equity book
Changes in the top 10 this quarter: RPV entered · EFV entered · BBJP entered · BBEU entered · NUE entered · ADM entered · BBWI left · IEF left · HCA left · PFF left · BKLN left · MS left
| # | Security | Weight before | Weight now | |
|---|---|---|---|---|
| 1 | ISHARES 1-3 YEAR TREASURY BO (SHY) | 12.5% | 19.7% | |
| 2 | MOSAIC CO/THE (MOS) | 2.6% | 4.0% | |
| 3 | INVESCO S&P 500 PURE VALUE E (RPV) | 0.6% | 3.6% | Entered the top 10 |
| 4 | ISHARES MSCI EAFE VALUE ETF (EFV) | 0.0% | 3.0% | Entered the top 10 |
| 5 | JPMORGAN BETABUILDERS JAPAN (BBJP) | 0.0% | 2.6% | Entered the top 10 |
| 6 | HP INC (HPQ) | 2.7% | 2.4% | |
| 7 | JPMORGAN BETABUILDERS EUROPE (BBEU) | 0.0% | 1.9% | Entered the top 10 |
| 8 | WHIRLPOOL CORP (WHR) | 2.3% | 1.6% | |
| 9 | NUCOR CORP (NUE) | 1.3% | 1.6% | Entered the top 10 |
| 10 | ARCHER-DANIELS-MIDLAND CO (ADM) | 1.2% | 1.4% | Entered the top 10 |
| — | BATH & BODY WORKS INC (BBWI) | 2.2% | 1.4% | Left the top 10 |
| — | ISHARES 7-10 YEAR TREASURY B (IEF) | 1.6% | 0.0% | Left the top 10 |
| — | HCA HEALTHCARE INC (HCA) | 1.5% | 1.3% | Left the top 10 |
| — | ISHARES PREFERRED & INCOME S (PFF) | 1.4% | 0.0% | Left the top 10 |
| — | INVESCO SENIOR LOAN ETF (BKLN) | 1.4% | 0.0% | Left the top 10 |
| — | MORGAN STANLEY (MS) | 1.4% | 1.2% | Left the top 10 |
Weights are each position's reported value as a share of the fund's reported equity positions (options and principal-amount holdings excluded).