ELLINGTON MANAGEMENT Overview

Ellington Management Group Llc is a hedge fund that manages 14 BN dollars in regulatory AUM and has 154 employees, of which 65 perform investment advisory functions.

The manager's has disclosed holdings from 09/30/05 to 09/30/16. The fund's latest filing disclosed 363MM in positions, representing 3% of the manager's regulatory AUM.

ELLINGTON MANAGEMENT StockAlpha

-4.4%
Top 25%
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Fundamental & Technical Factor Exposure

Market Cap Beta Volatility
Momentum (12M) Momentum (6M) Momentum (3M)
Price/Book Price/Earnings Price/Cash Flow
Dividend Yield Sales Growth Earnings Growth
ROE ROA ROC
EBIDTA Margin Debt/Assets Hedge Fund Crowding

ELLINGTON MANAGEMENT Since Last Filing Return Details

Ticker Size Sector Stock Move StockAlpha Attribution Days to Liquidate Trade Crowdedness
EFC 4.49% Financials -3.52% -0.59% 12 1%
SPY 1.77% ETF 1.56% 0% 0 29%
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FEATURED IN
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ELLINGTON MANAGEMENT Founders and Key Employees

Name Title In Position Since
Laurence E. Penn Vice Chairman August-1995
Olivier Cojot-Goldberg Vice Chairman August-1995
John D. Geanakoplos Managing Director August-1995
Michael W. Vranos Chief Executive Officer August-1995
Richard G. Brounstein Vice Chairman And Director Of Investor Relations April-2001
Paul A. Asaro Chief Financial Officer And Managing Director February-2004
David C. Rice Chief Compliance Officer July-2008
Daniel R. Margolis General Counsel May-2010
Mark I. Tecotzky Managing Director January-2008
Bruce Caplain Chief Accounting Officer April-2011

ELLINGTON MANAGEMENT Brokers, Custodians, Auditors and Administrators

Type Company
Administrator Pro
Administrator Pro
Administrator Pro
Administrator Pro
Auditor Pro
Auditor Pro
Auditor Pro
Custodian Pro
Custodian Pro
Custodian Pro
Custodian Pro
Custodian Pro
Prime Broker Pro
Prime Broker Pro

ELLINGTON MANAGEMENT Investment Strategy

Methods of Analysis, Investment Strategies and Risk of Loss
Ellington primarily uses proprietary and external models and computer applications to analyze mortgage-backed, mortgage-related, and asset-backed securities and related instruments, and equity securities and futures. In addition, Ellington, through use of such models or applications, customarily seeks to identify and opportunistically mitigate certain risks related to such securities, at times through the use of derivative instruments, including swaps, options, forwards, and futures.

Reliance on models like those used by Ellington entails significant risks, particularly in the event that the models or the data on which they rely prove to be incorrect, misleading, or incomplete. In such cases, reliance on models may lead Ellington to purchase assets at



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E L L I N G T O N M A N A G E M E N T G R O U P
Form ADV, Part 2A Disclosure Brochure

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ELLINGTON MANAGEMENT Portfolio Concentration

ELLINGTON MANAGEMENT Location

53 FOREST AVENUE
OLD GREENWICH, Connecticut
UNITED STATES, 06870

ELLINGTON MANAGEMENT Contact Information

Phone Number: 203-698-1200
Fax Number: 203-698-0869
Website:

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