Mount Lucas Management LP's Q3 2023 13F: 2 new positions, 13 exits

Form 13F-HR for the quarter ended Sep 30, 2023 · filed Nov 14, 2023 · 127 reported positions · accession 0001140361-23-053158

View the filing on SEC.gov

What changed this quarter

Activity Security Weight before Weight now Change Shares Shares %
Increased ISHARES 1-3 YEAR TREASURY BO (SHY) 4.8% 8.7% +3.9 pts +117K sh +70%
Exited ISHARES 3-7 YEAR TREASURY BO (IEI) 1.8% — −1.8 pts −42,958 sh −100%
Exited ISHARES MSCI AUSTRALIA ETF (EWA) 1.1% — −1.1 pts −132K sh −100%
New ISHARES MORTGAGE REAL ESTATE (REM) — 0.9% +0.9 pts +107K sh new
Exited ARCHER-DANIELS-MIDLAND CO (ADM) 0.7% — −0.7 pts −26,303 sh −100%
New ISHARES PREFERRED & INCOME S (PFF) — 0.7% +0.7 pts +60,125 sh new
Exited PETROLEO BRASILEIRO-SPON ADR (PBR) 0.5% — −0.5 pts −105K sh −100%
Increased ANNALY CAPITAL MANAGEMENT IN (NLY) 1.1% 1.4% +0.3 pts +43,800 sh +29%
Exited ISHARES MSCI CHILE ETF (ECH) 0.3% — −0.3 pts −28,870 sh −100%
Exited ISHARES MSCI INDONESIA ETF (EIDO) 0.3% — −0.3 pts −34,347 sh −100%
Increased AGNC INVESTMENT CORP (AGNC) 1.1% 1.4% +0.3 pts +75,000 sh +24%
Exited ISHARES MSCI NETHERLANDS ETF (EWN) 0.3% — −0.3 pts −16,917 sh −100%
Reduced MARATHON PETROLEUM CORP (MPC) 1.3% 1.5% +0.2 pts −4,557 sh −15%
Exited ISHARES MSCI SWEDEN ETF (EWD) 0.3% — −0.3 pts −20,440 sh −100%
Increased VANGUARD HIGH DVD YIELD ETF (VYM) 0.4% 0.6% +0.3 pts +6,522 sh +66%
Exited FIRST HORIZON CORP (FHN) 0.2% — −0.2 pts −60,750 sh −100%
Reduced VALERO ENERGY CORP (VLO) 1.2% 1.3% +0.1 pts −4,286 sh −15%
Reduced ISHARES JP MORGAN USD EMERGI (EMB) 0.9% 0.6% −0.2 pts −7,140 sh −26%
Reduced INVESCO S&P 500 PURE VALUE E (RPV) 9.0% 8.9% −0.2 pts −7,841 sh −2%
Exited ARCH CAPITAL GROUP LTD (ACGL) 0.2% — −0.2 pts −8,000 sh −100%
Exited ISHARES IBOXX INVESTMENT GRA (LQD) 0.2% — −0.2 pts −4,789 sh −100%
Exited SPDR FTSE INTERNATIONAL GOVE (WIP) 0.2% — −0.2 pts −11,358 sh −100%
Reduced ISHARES NATIONAL MUNI BOND E (MUB) 0.2% 0.1% −0.1 pts −2,639 sh −55%
Reduced EQT CORP (EQT) 2.0% 2.0% 0.0 pts −6,254 sh −5%
New PHINIA INC (PHIN)
new — newly listed security (e.g. spin-off)
 — 0.1% +0.1 pts +8,701 sh new
Increased ISHARES MSCI TURKEY ETF (TUR) 0.2% 0.3% +0.2 pts +6,003 sh +37%
Reduced CARDINAL HEALTH INC (CAH) 2.1% 2.0% −0.1 pts −2,257 sh −4%
Reduced THE CIGNA GROUP (CI) 2.5% 2.6% +0.1 pts −684 sh −3%
Reduced UNITED AIRLINES HOLDINGS INC (UAL) 1.4% 1.0% −0.3 pts −4,550 sh −7%
Reduced EXXON MOBIL CORP (XOM) 1.2% 1.3% +0.1 pts −1,629 sh −5%
Reduced COTERRA ENERGY INC (CTRA) 1.2% 1.2% +0.1 pts −6,803 sh −5%
Reduced ISHARES MSCI SOUTH KOREA ETF (EWY) 0.3% 0.2% −0.1 pts −3,103 sh −25%
Reduced ISHARES MSCI GERMANY ETF (EWG) 0.3% 0.2% −0.1 pts −6,811 sh −27%
Reduced MARATHON OIL CORP (MRO) 1.0% 1.1% +0.2 pts −6,650 sh −6%
Reduced ISHARES MSCI SWITZERLAND ETF (EWL) 0.3% 0.2% −0.1 pts −4,044 sh −26%
Reduced CONOCOPHILLIPS (COP) 1.1% 1.2% +0.2 pts −1,412 sh −5%
Reduced PACCAR INC (PCAR) 1.1% 1.1% 0.0 pts −1,973 sh −5%
Reduced PHILLIPS 66 (PSX) 1.0% 1.3% +0.3 pts −1,342 sh −5%
Reduced PULTEGROUP INC (PHM) 1.1% 1.1% 0.0 pts −2,141 sh −5%
Reduced OCCIDENTAL PETROLEUM CORP (OXY) 1.0% 1.1% +0.1 pts −2,393 sh −5%
Reduced DELTA AIR LINES INC (DAL) 1.3% 1.0% −0.3 pts −4,067 sh −5%
Reduced HUMANA INC (HUM) 0.9% 0.9% +0.1 pts −292 sh −6%
Reduced MCKESSON CORP (MCK) 2.0% 2.1% +0.1 pts −321 sh −2%
Reduced MGM RESORTS INTERNATIONAL (MGM) 1.1% 0.9% −0.2 pts −3,716 sh −6%
Reduced APA CORP (APA) 0.8% 1.0% +0.2 pts −3,280 sh −5%
Reduced AMERICAN AIRLINES GROUP INC (AAL) 1.2% 0.9% −0.4 pts −10,490 sh −6%
Reduced CHEVRON CORP (CVX) 1.0% 1.1% +0.1 pts −792 sh −5%
Reduced ISHARES RUSSELL 1000 VALUE E (IWD) 0.9% 0.8% 0.0 pts −812 sh −5%
Reduced UBER TECHNOLOGIES INC (UBER) 0.3% 0.3% 0.0 pts −2,504 sh −11%
Reduced MOSAIC CO/THE (MOS) 0.8% 0.8% 0.0 pts −3,138 sh −5%

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 — 31.9% of the equity book

Changes in the top 10 this quarter: NLY entered · AGNC entered · XOM entered · IEI left · UAL left · DAL left

# Security Weight before Weight now
1 INVESCO S&P 500 PURE VALUE E (RPV) 9.0% 8.9%
2 ISHARES 1-3 YEAR TREASURY BO (SHY) 4.8% 8.7%
3 THE CIGNA GROUP (CI) 2.5% 2.6%
4 MCKESSON CORP (MCK) 2.0% 2.1%
5 EQT CORP (EQT) 2.0% 2.0%
6 CARDINAL HEALTH INC (CAH) 2.1% 2.0%
7 MARATHON PETROLEUM CORP (MPC) 1.3% 1.5%
8 ANNALY CAPITAL MANAGEMENT IN (NLY) 1.1% 1.4% Entered the top 10
9 AGNC INVESTMENT CORP (AGNC) 1.1% 1.4% Entered the top 10
10 EXXON MOBIL CORP (XOM) 1.2% 1.3% Entered the top 10
— ISHARES 3-7 YEAR TREASURY BO (IEI) 1.8% 0.0% Left the top 10
— UNITED AIRLINES HOLDINGS INC (UAL) 1.4% 1.0% Left the top 10
— DELTA AIR LINES INC (DAL) 1.3% 1.0% 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 CHINA LARGE-CAP ETF (NYC) Call 0 500K $13.3M
Exited WALT DISNEY CO/THE (DIS) Call 140K 0 $0