Mount Lucas Management LP's Q3 2024 13F: 9 new positions, 18 exits

Form 13F-HR for the quarter ended Sep 30, 2024 · filed Nov 6, 2024 · 145 reported positions · accession 0001140361-24-045415

View the filing on SEC.gov

What changed this quarter

Activity Security Weight before Weight now Change Shares Shares %
Increased KRANESHARES CSI CHINA INTERN (KWEB) 0.8% 16.0% +15.2 pts +1.3M sh +1529%
New ALIBABA GROUP HOLDING-SP ADR (BABA) — 7.2% +7.2 pts +200K sh new
New JD.COM INC-ADR (JD) — 2.7% +2.7 pts +200K sh new
Increased INVESCO QQQ TRUST SERIES 1 (QQQ) 6.7% 8.9% +2.2 pts +14,015 sh +36%
Exited INVESCO S&P 500 PURE VALUE E (RPV) 2.0% — −2.0 pts −69,108 sh −100%
Reduced HARTFORD FINANCIAL SVCS GRP (HIG) 2.8% 1.5% −1.3 pts −40,050 sh −51%
Reduced LOEWS CORP (L) 2.5% 1.2% −1.3 pts −50,724 sh −54%
Reduced PULTEGROUP INC (PHM) 1.6% 0.8% −0.8 pts −24,541 sh −60%
Reduced DAVITA INC (DVA) 1.7% 0.8% −0.9 pts −20,522 sh −60%
Exited SIMPLIFY MBS ETF (MTBA) 1.1% — −1.1 pts −61,500 sh −100%
Reduced SYNCHRONY FINANCIAL (SYF) 2.0% 0.9% −1.1 pts −64,513 sh −54%
Reduced ARCH CAPITAL GROUP LTD (ACGL) 2.1% 1.2% −0.9 pts −28,195 sh −48%
Reduced UNITED AIRLINES HOLDINGS INC (UAL) 1.7% 0.9% −0.8 pts −54,341 sh −54%
Reduced ASSURANT INC (AIZ) 1.5% 0.7% −0.8 pts −14,859 sh −60%
Reduced DELTA AIR LINES INC (DAL) 1.9% 1.0% −0.9 pts −55,767 sh −49%
Reduced JPMORGAN CHASE & CO (JPM) 2.0% 1.1% −1.0 pts −13,407 sh −47%
Reduced COSTCO WHOLESALE CORP (COST) 2.2% 1.2% −1.0 pts −3,161 sh −44%
Reduced EVEREST GROUP LTD (EG) 1.7% 0.8% −0.9 pts −6,597 sh −54%
Reduced REPUBLIC SERVICES INC (RSG) 2.0% 1.1% −0.9 pts −12,811 sh −44%
Reduced PACCAR INC (PCAR) 1.8% 0.8% −1.0 pts −25,272 sh −51%
Reduced UNITED RENTALS INC (URI) 0.9% 0.4% −0.5 pts −2,457 sh −60%
Reduced HCA HEALTHCARE INC (HCA) 0.9% 0.4% −0.5 pts −4,728 sh −60%
New SIMPLIFY VOLATILITY PREMIUM (SVOL) — 0.6% +0.6 pts +83,100 sh new
Reduced BANK OF NEW YORK MELLON CORP (BK) 0.9% 0.4% −0.5 pts −24,939 sh −60%
Reduced T-MOBILE US INC (TMUS) 1.0% 0.6% −0.5 pts −8,622 sh −52%
Reduced TARGA RESOURCES CORP (TRGP) 0.9% 0.4% −0.5 pts −11,197 sh −60%
Reduced UNIVERSAL HEALTH SERVICES-B (UHS) 0.8% 0.4% −0.4 pts −7,067 sh −60%
Reduced LENNAR CORP-A (LEN) 0.8% 0.4% −0.4 pts −8,593 sh −60%
Reduced METLIFE INC (MET) 0.8% 0.4% −0.4 pts −18,839 sh −60%
Reduced WELLS FARGO & CO (WFC) 0.9% 0.3% −0.6 pts −26,489 sh −60%
Reduced CHUBB LTD (CB) 0.7% 0.3% −0.4 pts −4,974 sh −60%
Reduced WR BERKLEY CORP (WRB) 0.5% 0.3% −0.2 pts −24,757 sh −60%
Reduced CINTAS CORP (CTAS) 0.9% 0.6% −0.4 pts −6,820 sh −45%
Reduced BROWN & BROWN INC (BRO) 0.9% 0.6% −0.4 pts −12,865 sh −45%
Reduced GENERAL MOTORS CO (GM) 0.8% 0.3% −0.5 pts −28,998 sh −60%
Reduced ISHARES 1-3 YEAR TREASURY BO (SHY) 1.4% 0.9% −0.5 pts −15,631 sh −33%
Reduced AMERICAN INTERNATIONAL GROUP (AIG) 0.8% 0.3% −0.5 pts −17,504 sh −60%
Reduced TJX COMPANIES INC (TJX) 0.9% 0.5% −0.4 pts −10,793 sh −45%
Reduced ARTHUR J GALLAGHER & CO (AJG) 0.9% 0.6% −0.4 pts −4,425 sh −43%
Reduced CBOE GLOBAL MARKETS INC (CBOE) 0.8% 0.6% −0.3 pts −5,950 sh −43%
Reduced COMCAST CORP-CLASS A (CMCSA) 0.7% 0.3% −0.4 pts −29,020 sh −60%
Reduced BROADRIDGE FINANCIAL SOLUTIO (BR) 0.9% 0.5% −0.4 pts −5,611 sh −43%
Reduced FORD MOTOR CO (F) 0.8% 0.3% −0.6 pts −113K sh −60%
Reduced DIAMONDBACK ENERGY INC (FANG) 0.8% 0.3% −0.5 pts −6,916 sh −60%
Reduced COPART INC (CPRT) 1.0% 0.5% −0.5 pts −22,475 sh −43%
Reduced CELANESE CORP (CE) 0.7% 0.3% −0.4 pts −8,619 sh −60%
Reduced AMPHENOL CORP-CL A (APH) 0.9% 0.5% −0.5 pts −17,807 sh −45%
Reduced VISA INC-CLASS A SHARES (V) 0.9% 0.5% −0.4 pts −4,172 sh −43%
Reduced CME GROUP INC (CME) 0.8% 0.5% −0.3 pts −5,165 sh −43%
Reduced ROPER TECHNOLOGIES INC (ROP) 0.9% 0.5% −0.4 pts −1,993 sh −43%

The 50 largest of 160 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

† Security identifier (CUSIP) changed — read as one continuing position, not an exit and a new position:

  • SUPER MICRO COMPUTER INC (SMCI): 86800U104 → 86800U302, 331 → 339 shares (share count changed with the identifier; not shown as a trade)

Top 10 positions — 43.6% of the equity book

Changes in the top 10 this quarter: KWEB entered · BABA entered · JD entered · AGNC entered · NLY entered · EWA entered · ACGL left · RPV left · JPM left · SYF left · RSG left · DAL left

# Security Weight before Weight now
1 KRANESHARES CSI CHINA INTERN (KWEB) 0.8% 16.0% Entered the top 10
2 INVESCO QQQ TRUST SERIES 1 (QQQ) 6.7% 8.9%
3 ALIBABA GROUP HOLDING-SP ADR (BABA) 0.0% 7.2% Entered the top 10
4 JD.COM INC-ADR (JD) 0.0% 2.7% Entered the top 10
5 AGNC INVESTMENT CORP (AGNC) 1.7% 1.8% Entered the top 10
6 ANNALY CAPITAL MANAGEMENT IN (NLY) 1.7% 1.8% Entered the top 10
7 HARTFORD FINANCIAL SVCS GRP (HIG) 2.8% 1.5%
8 ISHARES MSCI AUSTRALIA ETF (EWA) 1.1% 1.2% Entered the top 10
9 COSTCO WHOLESALE CORP (COST) 2.2% 1.2%
10 LOEWS CORP (L) 2.5% 1.2%
— ARCH CAPITAL GROUP LTD (ACGL) 2.1% 1.2% Left the top 10
— INVESCO S&P 500 PURE VALUE E (RPV) 2.0% 0.0% Left the top 10
— JPMORGAN CHASE & CO (JPM) 2.0% 1.1% Left the top 10
— SYNCHRONY FINANCIAL (SYF) 2.0% 0.9% Left the top 10
— REPUBLIC SERVICES INC (RSG) 2.0% 1.1% Left the top 10
— DELTA AIR LINES INC (DAL) 1.9% 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
Exited ALIBABA GROUP HOLDING-SP ADR (BABA) Call 750K 0 $0
Exited KRANESHARES CSI CHINA INTERN (KWEB) Call 500K 0 $0