Mount Lucas Management LP's Q1 2023 13F: 22 new positions, 20 exits

Form 13F-HR for the quarter ended Mar 31, 2023 · filed May 12, 2023 · 109 reported positions · accession 0001140361-23-024323

View the filing on SEC.gov

What changed this quarter

Activity Security Weight before Weight now Change Shares Shares %
Exited SCHWAB SHORT-TERM US TREAS (SCHO) 11.8% — −11.8 pts −744K sh −100%
New INVESCO QQQ TRUST SERIES 1 (QQQ) — 8.9% +8.9 pts +81,482 sh new
Exited INVESCO S&P 500 PURE VALUE E (RPV) 8.3% — −8.3 pts −324K sh −100%
Increased ISHARES 1-3 YEAR TREASURY BO (SHY) 8.7% 11.8% +3.1 pts +93,601 sh +28%
Exited ISHARES RUSSELL 1000 VALUE E (IWD) 2.6% — −2.6 pts −51,963 sh −100%
New JPMORGAN BETABUILDERS JAPAN (BBJP) — 1.2% +1.2 pts +71,654 sh new
New ISHARES 3-7 YEAR TREASURY BO (IEI) — 1.0% +1.0 pts +25,758 sh new
New AGNC INVESTMENT CORP (AGNC) — 1.0% +1.0 pts +299K sh new
New ANNALY CAPITAL MANAGEMENT IN (NLY) — 1.0% +1.0 pts +148K sh new
New INVESCO NASDAQ 100 ETF (QQQM) — 1.0% +1.0 pts +21,262 sh new
Exited VANGUARD HIGH DVD YIELD ETF (VYM) 0.9% — −0.9 pts −24,200 sh −100%
New ISHARES J.P. MORGAN EM HIGH (EMHY) — 0.8% +0.8 pts +69,734 sh new
Increased LYONDELLBASELL INDU-CL A (LYB) 0.2% 0.8% +0.6 pts +18,828 sh +274%
Exited UTILITIES SELECT SECTOR SPDR (XLU) 0.6% — −0.6 pts −24,016 sh −100%
New SPDR S&P INTER DVD ETF (DWX) — 0.5% +0.5 pts +45,157 sh new
New INVESCO S&P 500 BUYWRITE ETF (PBP) — 0.5% +0.5 pts +72,441 sh new
Increased DOW INC (DOW) 0.2% 0.7% +0.5 pts +27,827 sh +268%
Increased HP INC (HPQ) 0.2% 0.7% +0.5 pts +51,375 sh +273%
Exited ISHARES MSCI AUSTRALIA ETF (EWA) 0.5% — −0.5 pts −67,832 sh −100%
New ISHARES US&INTL HIGH YIELD C (GHYG) — 0.4% +0.4 pts +29,417 sh new
Increased TYSON FOODS INC-CL A (TSN) 0.2% 0.6% +0.4 pts +20,838 sh +272%
Exited HEALTH CARE SELECT SECTOR (XLV) 0.3% — −0.3 pts −7,429 sh −100%
Exited CONSUMER STAPLES SPDR (XLP) 0.3% — −0.3 pts −13,410 sh −100%
Exited INDUSTRIAL SELECT SECT SPDR (XLI) 0.3% — −0.3 pts −10,159 sh −100%
Exited ENERGY SELECT SECTOR SPDR (XLE) 0.3% — −0.3 pts −11,383 sh −100%
New ISHARES FALLEN ANGELS ETF (FALN) — 0.3% +0.3 pts +35,274 sh new
Reduced ISHARES MSCI THAILAND ETF (THD) 0.3% 0.0% −0.3 pts −10,862 sh −87%
New ISHARES MSCI GERMANY ETF (EWG) — 0.3% +0.3 pts +26,927 sh new
New ISHARES MSCI NETHERLANDS ETF (EWN) — 0.3% +0.3 pts +18,011 sh new
New ISHARES MSCI TAIWAN ETF (EWT) — 0.2% +0.2 pts +15,318 sh new
New ISHARES MSCI AUSTRIA ETF (EWO) — 0.2% +0.2 pts +34,276 sh new
New ISHARES MSCI SWEDEN ETF (EWD) — 0.2% +0.2 pts +18,824 sh new
New ISHARES MSCI POLAND ETF (EPOL) — 0.2% +0.2 pts +42,438 sh new
New ISHARES MSCI SWITZERLAND ETF (EWL) — 0.2% +0.2 pts +13,716 sh new
New ISHARES JP MORGAN USD EMERGI (EMB) — 0.2% +0.2 pts +6,832 sh new
Increased ISHARES MSCI PERU AND GLOBAL (EPU) 0.1% 0.3% +0.2 pts +18,133 sh +175%
New ISHARES NATIONAL MUNI BOND E (MUB) — 0.2% +0.2 pts +5,097 sh new
Increased INVESCO SENIOR LOAN ETF (BKLN) 0.7% 0.9% +0.2 pts +25,367 sh +26%
Increased ISHARES 0-5 YR HY CORP BOND (SHYG) 0.3% 0.4% +0.2 pts +9,734 sh +48%
Increased HEWLETT PACKARD ENTERPRISE (HPE) 1.7% 1.8% +0.2 pts +21,705 sh +7%
New ISHARES 1-5Y INV GRADE CORP (IGSB) — 0.1% +0.1 pts +6,678 sh new
Increased MARATHON PETROLEUM CORP (MPC) 2.3% 2.9% +0.6 pts +2,430 sh +4%
Increased EXXON MOBIL CORP (XOM) 2.2% 2.4% +0.2 pts +2,929 sh +5%
Increased DIAMONDBACK ENERGY INC (FANG) 1.9% 2.1% +0.2 pts +2,371 sh +6%
Increased PHILLIPS 66 (PSX) 2.0% 2.1% +0.1 pts +3,107 sh +5%
Reduced GLOBAL X MSCI GREECE ETF (GREK) 0.3% 0.3% 0.0 pts −10,061 sh −28%
Increased VALERO ENERGY CORP (VLO) 2.1% 2.5% +0.4 pts +2,176 sh +4%
Increased THE CIGNA GROUP (CI) 1.9% 1.6% −0.3 pts +975 sh +6%
Increased OCCIDENTAL PETROLEUM CORP (OXY) 1.8% 2.0% +0.1 pts +3,942 sh +4%
Increased ARCHER-DANIELS-MIDLAND CO (ADM) 1.8% 1.7% −0.1 pts +3,076 sh +5%

The 50 largest of 128 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 — 38.4% of the equity book

Changes in the top 10 this quarter: QQQ entered · FANG entered · OXY entered · HPE entered · SCHO left · RPV left · IWD left · CI left

# Security Weight before Weight now
1 ISHARES 1-3 YEAR TREASURY BO (SHY) 8.7% 11.8%
2 INVESCO QQQ TRUST SERIES 1 (QQQ) 0.0% 8.9% Entered the top 10
3 MARATHON PETROLEUM CORP (MPC) 2.3% 2.9%
4 VALERO ENERGY CORP (VLO) 2.1% 2.5%
5 EXXON MOBIL CORP (XOM) 2.2% 2.4%
6 PHILLIPS 66 (PSX) 2.0% 2.1%
7 DIAMONDBACK ENERGY INC (FANG) 1.9% 2.1% Entered the top 10
8 OCCIDENTAL PETROLEUM CORP (OXY) 1.8% 2.0% Entered the top 10
9 APA CORP (APA) 2.2% 1.9%
10 HEWLETT PACKARD ENTERPRISE (HPE) 1.7% 1.8% Entered the top 10
— SCHWAB SHORT-TERM US TREAS (SCHO) 11.8% 0.0% Left the top 10
— INVESCO S&P 500 PURE VALUE E (RPV) 8.3% 0.0% Left the top 10
— ISHARES RUSSELL 1000 VALUE E (IWD) 2.6% 0.0% Left the top 10
— THE CIGNA GROUP (CI) 1.9% 1.6% 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).

Option positions (puts and calls)

Reported separately from the positions above. The value a 13F reports for an option is that of the underlying shares, not the option itself.

Activity Security Type Shares before Shares now Reported value
New ISHARES MSCI EMERGING MARKET (NYC) Call 0 1.3M $51.3M
New WALT DISNEY CO/THE (DIS) Call 0 140K $14M
New SEA LTD-ADR (SE) Call 0 120K $10.4M
New PAYPAL HOLDINGS INC (PYPL) Call 0 125K $9.49M