SEC 13F Intelligence

Managers / Q2 2020 · view latest →

Quantitative Systematic Strategies LLC

CIK 0001591902 · 13000 SAWGRASS VILLAGE CIRCLE,, SUITE 10, PONTE VEDRA BEACH, FL, 32082 · 9046866100

Reported Value
$506M
Q2 2020
Positions
565
Filings on Record
16
2019–present window
Filed
Aug 4, 2020
original filing

Summary

Quantitative Systematic Strategies LLC reported $506M in U.S.-listed holdings across 565 positions for Q2 2020.

Its largest position, VT, represents 1.5% of the portfolio.

Compared with Q1 2020, the fund opened 401 new positions and exited 77.

Portfolio Metrics

Turnover
+11.9%
vs prior filed quarter
Top-10 Concentration
+9.5%
share of reported value
Largest Position
+1.5%
Vanguard Intl Equity Index F
New / Exited
401 / 77
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: $404MQ1 ’19Q2 ’19: $531MQ3 ’19: $436MQ3 ’19Q4 ’19: $679MQ1 ’20: $122MQ1 ’20Q2 ’20: $506MQ3 ’20: $573MQ3 ’20Q4 ’20: $707MQ1 ’21: $646MQ1 ’21Q2 ’21: $287MQ3 ’21: $11MQ3 ’21Q4 ’21: $11MQ1 ’22: $0Q1 ’22Q2 ’22: $0Q3 ’22: $0Q3 ’22filingsflow.com

Portfolio Composition

By security type
Common Stock: 82.0%REIT: 8.3%Other: 4.5%ADR: 3.1%ETP: 1.6%Other: 0.6%
  • Common Stock · 82.0% · $415M
  • REIT · 8.3% · $42M
  • Other · 4.5% · $23M
  • ADR · 3.1% · $16M
  • ETP · 1.6% · $8M
  • Other · 0.6% · $3M

Quarter-over-Quarter Changes full breakdown →

vs Q1 2020 (amended baseline)

IssuerMoveShare ΔShares nowValue ΔValue now
ADMARCHER DANIELS MIDLAND CONEW+86.2K86.2K+$3M$3M
GPNGLOBAL PMTS INCNEW+18.7K18.7K+$3M$3M
MOALTRIA GROUP INCNEW+80.1K80.1K+$3M$3M
VRSKVERISK ANALYTICS INCNEW+18.3K18.3K+$3M$3M
MSMORGAN STANLEYNEW+59.2K59.2K+$3M$3M
NEENEXTERA ENERGY INCNEW+11.8K11.8K+$3M$3M
METAFACEBOOK INCNEW+12.3K12.3K+$3M$3M
AFGAMERICAN FINL GROUP INC OHIONEW+42.4K42.4K+$3M$3M

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

Holdings — Q2 2020

499 positions (from 500 filing rows — )
Export to Excel
#IssuerClass% PortfolioValue ↓Shares
1VTVANGUARD INTL EQUITY INDEX Fhistory →TT WRLD ST ETF1.54%$8M104.5K
2BMYBRISTOL-MYERS SQUIBB COhistory →COM1.09%$6M93.9K
3PGPROCTER AND GAMBLE COhistory →COM1.08%$5M45.6K
4MSFTMICROSOFT CORPCOM0.97%$5M24.2K
5MDLZMONDELEZ INTL INCCL A0.93%$5M92.1K
6MRKMERCK & CO. INCCOM0.79%$4M51.5K
7BAXBAXTER INTL INCCOM0.77%$4M45.3K
8FISVFISERV INCCOM0.77%$4M39.9K
9TMUST-MOBILE US INCCOM0.76%$4M36.9K
10PYPLPAYPAL HLDGS INCCOM0.75%$4M21.8K
11ADBEADOBE INCCOM0.74%$4M8.5K
12CHARLES RIV LABS INTL INCCOM0.69%$4M20.1K
13ADMARCHER DANIELS MIDLAND COCOM0.68%$3M86.2K
14RNRRENAISSANCERE HOLDINGS LTDCOM0.67%$3M20.0K
15YUSDALLEGHANY CORP DELCOM0.66%$3M6.8K
16GPNGLOBAL PMTS INCCOM0.63%$3M18.7K
17MOALTRIA GROUP INCCOM0.62%$3M80.1K
18MAMASTERCARD INCORPORATEDCL A0.62%$3M10.6K
19VRSKVERISK ANALYTICS INCCOM0.62%$3M18.3K
20BSXBOSTON SCIENTIFIC CORPCOM0.59%$3M84.9K
21AMEAMETEK INCCOM0.58%$3M32.6K
22EHCENCOMPASS HEALTH CORPCOM0.56%$3M46.2K
23MSMORGAN STANLEYCOM NEW0.56%$3M59.2K
24NEENEXTERA ENERGY INCCOM0.56%$3M11.8K
25METAFACEBOOK INCCL A0.55%$3M12.3K
26UNPUNION PAC CORPCOM0.54%$3M16.1K
27AFGAMERICAN FINL GROUP INC OHIOCOM0.53%$3M42.4K
28LINDE PLCSHS0.52%$3M12.5K
29NEVRO CORPCOM0.52%$3M22.2K
30LHC GROUP INCCOM0.52%$3M15.2K
31HEALTHCARE TR AMER INCCL A NEW0.52%$3M99.5K
32NXPINXP SEMICONDUCTORS N VCOM0.52%$3M22.9K
33AMZNAMAZON COM INCCOM0.51%$3M942
34JPMJPMORGAN CHASE & COCOM0.51%$3M27.6K
35FTVFORTIVE CORPCOM0.50%$3M37.4K
36WMTWALMART INCCOM0.50%$3M21.0K
37DGXQUEST DIAGNOSTICS INCCOM0.50%$3M22.1K
38MCOMOODYS CORPCOM0.49%$2M9.0K
39GOOGALPHABET INCCAP STK CL C · CAP STK CL A0.47%$2M1.7K
40GSGOLDMAN SACHS GROUP INCCOM0.47%$2M12.1K
41ACGLARCH CAP GROUP LTDORD0.47%$2M82.8K
42INTCINTEL CORPCOM0.46%$2M39.2K
43AZNNASTRAZENECA PLCSPONSORED ADR0.46%$2M44.3K
44TFCTRUIST FINL CORPCOM0.46%$2M62.2K
45CBCHUBB LIMITEDCOM0.45%$2M18.0K
46MUMICRON TECHNOLOGY INCCOM0.44%$2M43.7K
47PHPARKER HANNIFIN CORPCOM0.44%$2M12.3K
48TSMTAIWAN SEMICONDUCTOR MFG LTDSPONSORED ADS0.44%$2M39.5K
49CATALENT INCCOM0.44%$2M30.1K
50BXPBOSTON PPTYS LTD PARTNERSHIPCOM0.43%$2M24.1K
51CNNECANNAE HLDGS INCCOM0.43%$2M52.9K
52QCOMQUALCOMM INCCOM0.42%$2M23.5K
53FISFIDELITY NATL INFORMATION SVCOM0.42%$2M16.0K
54MGPMGM GROWTH PPTYS LLCCL A COM0.42%$2M77.9K
55INVHINVITATION HOMES INCCOM0.42%$2M76.9K
56REXRREXFORD INDL RLTY INCCOM0.42%$2M51.0K
57OPTUALTICE USA INCCL A0.42%$2M93.4K
58PTCPTC INCCOM0.41%$2M26.8K
59VRNSVARONIS SYS INCCOM0.41%$2M23.3K
60HORIZON THERAPEUTICS PUB LTDSHS0.40%$2M36.7K
61PZZAPAPA JOHNS INTL INCCOM0.40%$2M25.7K
62KHCKRAFT HEINZ COCOM0.40%$2M63.7K
63DDDUPONT DE NEMOURS INCCOM0.40%$2M37.7K
64BUNGE LIMITEDCOM0.39%$2M48.6K
65VMWARE INCCL A COM0.38%$2M12.4K
66EAELECTRONIC ARTS INCCOM0.37%$2M14.3K
67MRSHMARSH & MCLENNAN COS INCCOM0.37%$2M17.5K
68EQHEQUITABLE HLDGS INCCOM0.37%$2M97.2K
69SBNYSIGNATURE BK NEW YORK N YCOM0.37%$2M17.5K
70TJXTJX COS INC NEWCOM0.36%$2M36.2K
71WDAYWORKDAY INCCL A0.36%$2M9.7K
72CWCURTISS WRIGHT CORPCOM0.35%$2M20.1K
73LIILENNOX INTL INCCOM0.35%$2M7.7K
74HOLOGIC INCCOM0.35%$2M31.3K
75MCKMCKESSON CORPCOM0.35%$2M11.6K
76DOCHEALTHPEAK PROPERTIES INCCOM0.35%$2M63.9K
77ARGO GROUP INTL HLDGS LTDCOM0.35%$2M50.5K
78QRVOQORVO INCCOM0.34%$2M15.8K
79GWWGRAINGER W W INCCOM0.34%$2M5.5K
80ITTITT INCCOM0.34%$2M29.2K
81CCEPCOCA COLA EUROPEAN PARTNERSSHS0.34%$2M45.3K
82STAGSTAG INDL INCCOM0.34%$2M58.1K
83SBACSBA COMMUNICATIONS CORP NEWCL A0.34%$2M5.7K
84IEXIDEX CORPCOM0.33%$2M10.5K
85AZOAUTOZONE INCCOM0.33%$2M1.5K
86ARENA PHARMACEUTICALS INCCOM NEW0.32%$2M26.1K
87HUMHUMANA INCCOM0.32%$2M4.1K
88QTS RLTY TR INCCOM CL A0.32%$2M25.1K
89ELSEQUITY LIFESTYLE PPTYS INCCOM0.32%$2M25.6K
90BMRNBIOMARIN PHARMACEUTICAL INCCOM0.32%$2M12.9K
91KEYSKEYSIGHT TECHNOLOGIES INCCOM0.31%$2M15.8K
92TE CONNECTIVITY LTDREG SHS0.31%$2M19.4K
93KDPKEURIG DR PEPPER INCCOM0.31%$2M55.7K
94SANDERSON FARMS INCCOM0.31%$2M13.5K
95DELLDELL TECHNOLOGIES INCCL C0.31%$2M28.2K
96METMETLIFE INCCOM0.31%$2M42.5K
97JAMES RIV GROUP LTDCOM0.30%$2M34.3K
98AVBAVALONBAY CMNTYS INCCOM0.30%$2M9.9K
99ADIANALOG DEVICES INCCOM0.30%$2M12.5K
100HUNHUNTSMAN CORPCOM0.30%$2M84.0K

Filing History

QuarterReported ValuePositionsFiledTypeLinks
Q3 2022$01Nov 10, 202213F-HRchanges · EDGAR ↗
Q2 2022$01Aug 8, 202213F-HRchanges · EDGAR ↗
Q1 2022$01May 4, 202213F-HRchanges · EDGAR ↗
Q4 2021$11M1Feb 7, 202213F-HRchanges · EDGAR ↗
Q3 2021$11M1Nov 16, 202113F-HRchanges · EDGAR ↗
Q2 2021$287M448Aug 11, 2021RESTATEMENTchanges · EDGAR ↗
Q1 2021$646M592May 6, 202113F-HRchanges · EDGAR ↗
Q4 2020$707M591Feb 9, 202113F-HRchanges · EDGAR ↗
Q3 2020$573M575Nov 9, 202013F-HRchanges · EDGAR ↗
Q2 2020$506M565Aug 4, 202013F-HRchanges · EDGAR ↗
Q1 2020$122M241May 6, 202013F-HRchanges · EDGAR ↗
Q4 2019$679M529Feb 11, 202013F-HRchanges · EDGAR ↗
Q3 2019$436M450Nov 7, 201913F-HRchanges · EDGAR ↗
Q2 2019$531M460Jul 25, 201913F-HRchanges · EDGAR ↗
Q1 2019$404M378Apr 15, 201913F-HRchanges · EDGAR ↗

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 ↗.