Mount Lucas Management LP's Q1 2024 13F: 4 new positions, 1 exit
Form 13F-HR for the quarter ended Mar 31, 2024 · filed May 10, 2024 · 142 reported positions · accession 0001140361-24-025380
What changed this quarter
| Activity | Security | Weight before | Weight now | Change | Shares | Shares % |
|---|---|---|---|---|---|---|
| Reduced | INVESCO QQQ TRUST SERIES 1 (QQQ) | 6.5% | 2.1% | −4.4 pts | −31,119 sh | −69% |
| Increased | INVESCO S&P 500 PURE VALUE E (RPV) | 2.2% | 6.6% | +4.4 pts | +147K sh | +196% |
| Increased | KRANESHARES CSI CHINA INTERN (KWEB) | 1.0% | 1.5% | +0.6 pts | +75,000 sh | +75% |
| Exited | TAIWAN SEMICONDUCTOR-SP ADR (TSM) | 0.6% | — | −0.6 pts | −15,000 sh | −100% |
| New | BAIDU INC - SPON ADR (BIDU) | — | 0.5% | +0.5 pts | +15,000 sh | new |
| Reduced | ISHARES 7-10 YEAR TREASURY B (IEF) | 1.2% | 0.7% | −0.5 pts | −12,613 sh | −35% |
| Reduced | INVESCO NASDAQ 100 ETF (QQQM) | 0.5% | 0.2% | −0.4 pts | −6,068 sh | −69% |
| Increased | ISHARES RUSSELL 1000 VALUE E (IWD) | 0.2% | 0.5% | +0.3 pts | +5,676 sh | +190% |
| New | ISHARES MSCI SOUTH KOREA ETF (EWY) | — | 0.3% | +0.3 pts | +12,987 sh | new |
| Reduced | ISHARES 3-7 YEAR TREASURY BO (IEI) | 1.2% | 0.9% | −0.3 pts | −6,045 sh | −20% |
| Reduced | PACCAR INC (PCAR) | 2.4% | 2.6% | +0.3 pts | −5,644 sh | −8% |
| Reduced | UNITED RENTALS INC (URI) | 2.2% | 2.4% | +0.2 pts | −880 sh | −8% |
| Reduced | PULTEGROUP INC (PHM) | 2.2% | 2.3% | 0.0 pts | −5,114 sh | −8% |
| New | ISHARES MSCI INDONESIA ETF (EIDO) | — | 0.2% | +0.2 pts | +26,586 sh | new |
| Reduced | CARDINAL HEALTH INC (CAH) | 2.3% | 2.3% | −0.1 pts | −4,999 sh | −8% |
| Reduced | DELTA AIR LINES INC (DAL) | 2.0% | 2.0% | +0.1 pts | −11,411 sh | −8% |
| Increased | ISHARES US&INTL HIGH YIELD C (GHYG) | 0.4% | 0.6% | +0.2 pts | +11,740 sh | +42% |
| Increased | SPDR BLOOMBERG HIGH YIELD BO (JNK) | 0.4% | 0.6% | +0.2 pts | +5,369 sh | +41% |
| Increased | FLEXSHARES HIGH YIELD VALUE (HYGV) | 0.4% | 0.6% | +0.2 pts | +12,361 sh | +41% |
| Increased | ISHARES FALLEN ANGELS ETF (FALN) | 0.4% | 0.6% | +0.2 pts | +18,812 sh | +40% |
| Increased | ISHARES 0-5 YR HY CORP BOND (SHYG) | 0.4% | 0.6% | +0.1 pts | +11,829 sh | +40% |
| Reduced | UNITED AIRLINES HOLDINGS INC (UAL) | 1.7% | 1.8% | 0.0 pts | −10,084 sh | −8% |
| Reduced | HARTFORD FINANCIAL SVCS GRP (HIG) | 1.7% | 1.9% | +0.2 pts | −4,685 sh | −8% |
| Reduced | HCA HEALTHCARE INC (HCA) | 1.6% | 1.7% | +0.1 pts | −1,368 sh | −8% |
| Reduced | LOEWS CORP (L) | 1.8% | 1.7% | 0.0 pts | −5,684 sh | −8% |
| Reduced | EVEREST GROUP LTD (EG) | 1.6% | 1.6% | 0.0 pts | −1,040 sh | −8% |
| Increased | ISHARES MSCI TURKEY ETF (TUR) | 0.1% | 0.3% | +0.1 pts | +11,156 sh | +101% |
| New | UTILITIES SELECT SECTOR SPDR (XLU) | — | 0.1% | +0.1 pts | +5,748 sh | new |
| Reduced | ARCH CAPITAL GROUP LTD (ACGL) | 1.1% | 1.2% | +0.1 pts | −3,507 sh | −8% |
| Reduced | FORD MOTOR CO (F) | 1.7% | 1.6% | 0.0 pts | −23,644 sh | −6% |
| Reduced | MGM RESORTS INTERNATIONAL (MGM) | 1.2% | 1.1% | −0.1 pts | −6,285 sh | −8% |
| Reduced | JPMORGAN CHASE & CO (JPM) | 1.0% | 1.1% | 0.0 pts | −1,437 sh | −8% |
| Reduced | LENNAR CORP-A (LEN) | 1.0% | 1.0% | 0.0 pts | −1,615 sh | −8% |
| Reduced | JPMORGAN BETABUILDERS JAPAN (BBJP) | 1.2% | 1.2% | 0.0 pts | −4,552 sh | −7% |
| Reduced | COPART INC (CPRT) | 1.0% | 1.0% | 0.0 pts | −4,339 sh | −8% |
| Reduced | BOSTON SCIENTIFIC CORP (BSX) | 1.0% | 1.0% | 0.0 pts | −3,648 sh | −8% |
| Reduced | COSTCO WHOLESALE CORP (COST) | 1.1% | 1.0% | 0.0 pts | −341 sh | −8% |
| Reduced | THE CIGNA GROUP (CI) | 0.9% | 0.9% | +0.1 pts | −677 sh | −8% |
| Reduced | REPUBLIC SERVICES INC (RSG) | 1.0% | 1.0% | 0.0 pts | −1,275 sh | −8% |
| Reduced | AUTOZONE INC (AZO) | 0.9% | 1.0% | +0.1 pts | −77 sh | −7% |
| Reduced | DAVITA INC (DVA) | 0.8% | 0.9% | +0.1 pts | −1,754 sh | −8% |
| Reduced | GENERAL MOTORS CO (GM) | 0.8% | 0.9% | +0.1 pts | −5,261 sh | −8% |
| Reduced | AMERICAN AIRLINES GROUP INC (AAL) | 0.9% | 0.9% | 0.0 pts | −15,298 sh | −8% |
| Reduced | MCKESSON CORP (MCK) | 0.8% | 0.9% | 0.0 pts | −435 sh | −8% |
| Reduced | O'REILLY AUTOMOTIVE INC (ORLY) | 0.9% | 0.9% | 0.0 pts | −204 sh | −8% |
| Reduced | BANK OF NEW YORK MELLON CORP (BK) | 0.8% | 0.8% | 0.0 pts | −3,869 sh | −8% |
| Reduced | VISA INC-CLASS A SHARES (V) | 1.0% | 0.9% | −0.1 pts | −786 sh | −7% |
| Reduced | WELLS FARGO & CO (WFC) | 0.8% | 0.9% | 0.0 pts | −3,783 sh | −8% |
| Reduced | CELANESE CORP (CE) | 0.9% | 0.8% | 0.0 pts | −1,272 sh | −8% |
| Reduced | SYNCHRONY FINANCIAL (SYF) | 0.9% | 0.8% | 0.0 pts | −5,001 sh | −8% |
The 50 largest of 142 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 — 25.6% of the equity book
Changes in the top 10 this quarter: HIG entered · NLY left
| # | Security | Weight before | Weight now | |
|---|---|---|---|---|
| 1 | INVESCO S&P 500 PURE VALUE E (RPV) | 2.2% | 6.6% | |
| 2 | PACCAR INC (PCAR) | 2.4% | 2.6% | |
| 3 | UNITED RENTALS INC (URI) | 2.2% | 2.4% | |
| 4 | PULTEGROUP INC (PHM) | 2.2% | 2.3% | |
| 5 | CARDINAL HEALTH INC (CAH) | 2.3% | 2.3% | |
| 6 | INVESCO QQQ TRUST SERIES 1 (QQQ) | 6.5% | 2.1% | |
| 7 | DELTA AIR LINES INC (DAL) | 2.0% | 2.0% | |
| 8 | HARTFORD FINANCIAL SVCS GRP (HIG) | 1.7% | 1.9% | Entered the top 10 |
| 9 | UNITED AIRLINES HOLDINGS INC (UAL) | 1.7% | 1.8% | |
| 10 | LOEWS CORP (L) | 1.8% | 1.7% | |
| — | ANNALY CAPITAL MANAGEMENT IN (NLY) | 1.7% | 1.7% | 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 |
|---|---|---|---|---|---|
| Increased | ALIBABA GROUP HOLDING-SP ADR (BABA) | Call | 500K | 750K | $54.3M |
| Exited | ISHARES CHINA LARGE-CAP ETF (FXI) | Call | 500K | 0 | $0 |