SEC 13F Intelligence

Managers / Q2 2020 · view latest →

ALPHASIMPLEX GROUP, LLC

CIK 0001387941 · 200 STATE STREET, BOSTON, MA, 02109 · (617) 475-7100

Reported Value
$133M
Q2 2020
Positions
253
Filings on Record
16
2019–present window
Filed
Aug 14, 2020
original filing

Summary

Alphasimplex Group, LLC reported $133M in U.S.-listed holdings across 253 positions for Q2 2020.

Its largest position, AGG, represents 5.1% of the portfolio.

Compared with Q1 2020, the fund opened 179 new positions and exited 34.

Portfolio Metrics

Turnover
+26.7%
vs prior filed quarter
Top-10 Concentration
+17.2%
share of reported value
Largest Position
+5.1%
Ishares Tr
New / Exited
179 / 34
positions this quarter

Methodology: turnover is min(value bought, value sold) ÷ average reported value across the two quarters — value-based, so market moves inflate it slightly versus a share-based measure. Concentration and largest position are shares of the filing’s total reported value, options excluded, with multiple share classes and repeated sub-manager rows for the same issuer combined into one position — the same rule the holdings table uses by default. New/exited counts compare against the prior filed quarter. All figures derive solely from the fund’s 13F filings.

Reported Value by Quarter

13F Reported Value
Q1 ’19: $297MQ1 ’19Q2 ’19: $321MQ3 ’19: $262MQ3 ’19Q4 ’19: $265MQ1 ’20: $66MQ1 ’20Q2 ’20: $133MQ3 ’20: $220MQ3 ’20Q4 ’20: $286MQ1 ’21: $239MQ1 ’21Q2 ’21: $200MQ3 ’21: $121MQ3 ’21Q4 ’21: $59MQ1 ’22: $27MQ1 ’22Q2 ’22: $14MQ3 ’22: $10MQ3 ’22filingsflow.com

Portfolio Composition

By security type
Common Stock: 79.7%ETP: 11.7%Other: 4.9%REIT: 3.3%MLP: 0.4%
  • Common Stock · 79.7% · $106M
  • ETP · 11.7% · $16M
  • Other · 4.9% · $7M
  • REIT · 3.3% · $4M
  • MLP · 0.4% · $532,000

Quarter-over-Quarter Changes full breakdown →

vs Q1 2020 (amended baseline)

IssuerMoveShare ΔShares nowValue ΔValue now
TAT&T INCNEW+54.1K54.1K+$2M$2M
ALLALLSTATE CORPNEW+12.3K12.3K+$1M$1M
MRSHMARSH & MCLENNAN COS INCNEW+11.0K11.0K+$1M$1M
AMZNAMAZON COM INCNEW+378378+$1M$1M
BAHBOOZ ALLEN HAMILTON HLDG CORNEW+12.7K12.7K+$987,000$987,000
OPTUALTICE USA INCNEW+40.7K40.7K+$917,000$917,000
AAGILENT TECHNOLOGIES INCNEW+10.4K10.4K+$917,000$917,000
ACNACCENTURE PLC IRELANDNEW+4.2K4.2K+$893,000$893,000

Value changes conflate price moves with buying and selling — share changes are the real signal. Share counts are not split-adjusted.

Holdings — Q2 2020

246 positions (from 253 filing rows — )
Export to Excel
#IssuerClass% PortfolioValue ↓Shares
1AGGISHARES TRIBOXX HI YD ETF · CORE US AGGBD ET · JPMORGAN USD EMG5.11%$7M76.2K
2VTIVANGUARD INDEX FDSTOTAL STK MKT · VALUE ETF · MID CAP ETF2.38%$3M23.9K
3VGKVANGUARD INTL EQUITY INDEX FFTSE EUROPE ETF · FTSE PACIFIC ETF · FTSE EMR MKT ETF · FTSE SMCAP ETF1.68%$2M40.3K
4DHRDANAHER CORPORATIONhistory →COM1.26%$2M9.5K
5TAT&T INChistory →COM1.23%$2M54.1K
6PGPROCTER AND GAMBLE COhistory →COM1.20%$2M13.4K
7AMTTD AMERITRADE HLDG CORPhistory →COM1.17%$2M43.0K
8OTEXOPEN TEXT CORPhistory →COM1.12%$1M35.1K
9CERNER CORPCOM1.07%$1M20.8K
10BAXBAXTER INTL INCCOM0.93%$1M14.4K
11ALLALLSTATE CORPCOM0.89%$1M12.3K
12MRSHMARSH & MCLENNAN COS INCCOM0.88%$1M11.0K
13EBAYEBAY INC.COM0.79%$1M20.2K
14AMZNAMAZON COM INCCOM0.78%$1M378
15BAHBOOZ ALLEN HAMILTON HLDG CORCL A0.74%$987,00012.7K
16IBERIABANK CORPCOM0.72%$956,00021.0K
17CMGCHIPOTLE MEXICAN GRILL INCCOM0.71%$950,000903
18MDLZMONDELEZ INTL INCCL A0.70%$940,00018.4K
19OPTUALTICE USA INCCL A0.69%$917,00040.7K
20AAGILENT TECHNOLOGIES INCCOM0.69%$917,00010.4K
21ACNACCENTURE PLC IRELANDSHS CLASS A0.67%$893,0004.2K
22GENNORTONLIFELOCK INCCOM0.65%$867,00043.7K
23TYLTYLER TECHNOLOGIES INCCOM0.64%$848,0002.4K
24ODFLOLD DOMINION FREIGHT LINE INCOM0.62%$829,0004.9K
25SEAGATE TECHNOLOGY PLCSHS0.60%$804,00016.6K
26KOCOCA COLA COCOM0.58%$779,00017.4K
27BNYBANK NEW YORK MELLON CORPCOM0.57%$764,00019.8K
28VEAVANGUARD TAX-MANAGED FDSFTSE DEV MKT ETF0.57%$763,00019.7K
29SBUXSTARBUCKS CORPCOM0.57%$756,00010.3K
30VCITVANGUARD SCOTTSDALE FDSINT-TERM CORP0.57%$755,0007.9K
31HAINHAIN CELESTIAL GROUP INCCOM0.56%$743,00023.6K
32BWXSPDR SER TRBLOMBERG INTL TR0.55%$740,00025.6K
33BNDXVANGUARD CHARLOTTE FDSINTL BD IDX ETF0.55%$728,00012.6K
34HLTHILTON WORLDWIDE HLDGS INCCOM0.55%$727,0009.9K
35CVLTCOMMVAULT SYSTEMS INCCOM0.54%$717,00018.5K
36CAGCONAGRA BRANDS INCCOM0.53%$711,00020.2K
37PTCPTC INCCOM0.53%$708,0009.1K
38ZENDESK INCCOM0.52%$695,0007.9K
39AAPADVANCE AUTO PARTS INCCOM0.52%$692,0004.9K
40NFGNATIONAL FUEL GAS CO N JCOM0.51%$682,00016.3K
41DGXQUEST DIAGNOSTICS INCCOM0.51%$682,0006.0K
42NOWSERVICENOW INCCOM0.51%$676,0001.7K
43KRNYKEARNY FINL CORP MDCOM0.50%$672,00082.1K
44ECLECOLAB INCCOM0.50%$670,0003.4K
45CLBKCOLUMBIA FINL INCCOM0.50%$667,00047.8K
46NWBINORTHWEST BANCSHARES INC MDCOM0.50%$665,00065.0K
47RITCHIE BROS AUCTIONEERSCOM0.50%$664,00016.3K
48MCDMCDONALDS CORPCOM0.50%$663,0003.6K
49LOWLOWES COS INCCOM0.50%$663,0004.9K
50AXSAXIS CAPITAL HOLDINGS LTDSHS0.49%$660,00016.3K
51TRNTRINITY INDS INCCOM0.49%$658,00030.9K
52IHS MARKIT LTDSHS0.49%$658,0008.7K
53HPQHP INCCOM0.49%$656,00037.6K
54ALXALEXANDERS INCCOM0.49%$653,0002.7K
55TTCTORO COCOM0.49%$650,0009.8K
56CRMSALESFORCE COM INCCOM0.48%$646,0003.4K
57MDTMEDTRONIC PLCSHS0.48%$645,0007.0K
58NEUNEWMARKET CORPCOM0.48%$645,0001.6K
59SLGNSILGAN HOLDINGS INCCOM0.48%$643,00019.9K
60AONAON PLCSHS CL A0.48%$642,0003.3K
61JKHYHENRY JACK & ASSOC INCCOM0.48%$641,0003.5K
62CHKPCHECK POINT SOFTWARE TECH LTORD0.48%$640,0006.0K
63BLACK KNIGHT INCCOM0.48%$639,0008.8K
64VZVERIZON COMMUNICATIONS INCCOM0.48%$639,00011.6K
65PEPPEPSICO INCCOM0.48%$639,0004.8K
66MKTXMARKETAXESS HLDGS INCCOM0.48%$638,0001.3K
67HD SUPPLY HLDGS INCCOM0.48%$638,00018.4K
68WHITE MTNS INS GROUP LTDCOM0.48%$637,000717
69ORCLORACLE CORPCOM0.48%$635,00011.5K
70ADMARCHER DANIELS MIDLAND COCOM0.48%$635,00015.9K
71PFEPFIZER INCCOM0.48%$635,00019.4K
72LMTLOCKHEED MARTIN CORPCOM0.48%$634,0001.7K
73DOXAMDOCS LTDSHS0.48%$634,00010.4K
74ICEINTERCONTINENTAL EXCHANGE INCOM0.47%$632,0006.9K
75RADWARE LTDORD0.47%$631,00026.7K
76MMSMAXIMUS INCCOM0.47%$629,0008.9K
77YUMYUM BRANDS INCCOM0.47%$628,0007.2K
78FTNTFORTINET INCCOM0.47%$626,0004.6K
79HOSTESS BRANDS INCCL A0.47%$625,00051.1K
80CCEPCOCA COLA EUROPEAN PARTNERSSHS0.47%$625,00016.6K
81RTXRAYTHEON TECHNOLOGIES CORPCOM0.46%$620,00010.1K
82GDDYGODADDY INCCL A0.46%$616,0008.4K
83CBRECBRE GROUP INCCL A0.46%$611,00013.5K
84CHRWC H ROBINSON WORLDWIDE INCCOM NEW0.43%$578,0007.3K
85ADBEADOBE INCCOM0.43%$573,0001.3K
86UPBDRENT A CTR INC NEWCOM0.43%$572,00020.6K
87GWWGRAINGER W W INCCOM0.43%$567,0001.8K
88CDWCDW CORPCOM0.43%$567,0004.9K
89CITRIX SYS INCCOM0.42%$564,0003.8K
90VFCV F CORPCOM0.42%$564,0009.3K
91GENERAL ELECTRIC COCOM0.42%$560,00081.9K
92ATRAPTARGROUP INCCOM0.42%$559,0005.0K
93PAYXPAYCHEX INCCOM0.42%$558,0007.4K
94ALLEALLEGION PLCORD SHS0.42%$557,0005.5K
95BROADMARK RLTY CAP INCCOM0.42%$554,00058.5K
96TRTOOTSIE ROLL INDS INCCOM0.41%$551,00016.1K
97HLIHOULIHAN LOKEY INCCL A0.41%$551,0009.9K
98VRSKVERISK ANALYTICS INCCOM0.41%$550,0003.2K
99SEICSEI INVTS COCOM0.41%$550,00010.0K
100EMREMERSON ELEC COCOM0.41%$548,0008.8K

Filing History

QuarterReported ValuePositionsFiledTypeLinks
Q3 2022$10M35Nov 8, 202213F-HRchanges · EDGAR ↗
Q2 2022$14M48Aug 10, 202213F-HRchanges · EDGAR ↗
Q1 2022$27M71May 10, 202213F-HRchanges · EDGAR ↗
Q4 2021$59M144Feb 10, 202213F-HRchanges · EDGAR ↗
Q3 2021$121M208Nov 15, 202113F-HRchanges · EDGAR ↗
Q2 2021$200M219Aug 12, 202113F-HRchanges · EDGAR ↗
Q1 2021$239M249May 12, 202113F-HRchanges · EDGAR ↗
Q4 2020$286M297Feb 12, 202113F-HRchanges · EDGAR ↗
Q3 2020$220M272Nov 13, 202013F-HRchanges · EDGAR ↗
Q2 2020$133M253Aug 14, 202013F-HRchanges · EDGAR ↗
Q1 2020$66M108May 13, 202013F-HRchanges · EDGAR ↗
Q4 2019$265M245Feb 12, 2020RESTATEMENTchanges · EDGAR ↗
Q3 2019$262M205Nov 12, 201913F-HRchanges · EDGAR ↗
Q2 2019$321M211Aug 14, 201913F-HRchanges · EDGAR ↗
Q1 2019$297M210May 13, 201913F-HRchanges · EDGAR ↗

Other Included Managers

This filing reports holdings on behalf of 1 additional manager.

  • NATIXIS ADVISORS, L.P.028-05788

13F filings are due up to 45 days after quarter end, so holdings shown here lag the fund’s current book. Source: original SEC filing on EDGAR ↗.