Caprin Asset Management LLC
- SEC CIK
- 0001034369
- Latest filing
- Jan 24, 2023
The latest 13F from Caprin Asset Management LLC covers Q4 2022 (filed Jan 24, 2023): 21 long positions worth $64.1M. The top 10 holdings make up 97.8% of the portfolio, and the largest is SPDR Series Trust at 23.1%. Livermore has 8 filings on Form 13F from this institution, going back to Q1 2021.
What changed in Q4 2022
Share counts compared with Q3 2022: how many positions were new, added to, reduced or sold out, and the biggest buys and sells. Dollar amounts are estimated at the quarter-end prices implied by the filing.
- New
- 6
- Est. +$1.39M
- Added
- 3
- Est. +$7.49M
- Reduced
- 11
- Est. −$16.2M
- Sold out
- 2
- Est. −$30.0K
Top 5 holdings
Share of this quarter's portfolio value
- SPDR Series Trust78468R73923.1%$14.8M
- VanEck ETF Trust92189H20121.3%$13.7M
- iShares Tr46428841417.8%$11.4M
- iShares Core U.S. Aggregate Bond ETF46428722613.7%$8.80M
- Vanguard Mun BD FDS9229077468.0%$5.15M
Share of portfolio
Top 5 holdings and the other 16 positions, by share of portfolio value
- SPDR Series Trust23.1%
- VanEck ETF Trust21.3%
- iShares Tr17.8%
- iShares Core U.S. Aggregate Bond ETF13.7%
- Vanguard Mun BD FDS8.0%
- Other 16 positions16.0%
Biggest buys
New and added positions, by estimated amount bought
- Vanguard Mun BD FDS922907746+$3.75MAdded
- J P Morgan Exchange Traded F46641Q654+$3.55MAdded
- Vanguard Intermediate-Term Corporate Bond ETF92206C870+$1.06MNew
- SPDR Series Trust78468R721+$183.8KAdded
- iShares Tr464287457+$149.8KNew
Largest weight increases
New and added positions, by percentage points of the portfolio gained
- Vanguard Mun BD FDS922907746+6.08 pp2.0% → 8.0%
- J P Morgan Exchange Traded F46641Q654+5.55 pp<0.1% → 5.6%
- Vanguard Intermediate-Term Corporate Bond ETF92206C870+1.65 pp0.0% → 1.6%
- SPDR Series Trust78468R721+0.29 pp<0.1% → 0.3%
- iShares Tr464287457+0.23 pp0.0% → 0.2%
Biggest sells
Reduced and sold-out positions, by estimated amount sold
- iShares Tr464288414−$4.65MReduced
- SPDR Series Trust78468R739−$4.33MReduced
- VanEck ETF Trust92189H201−$4.12MReduced
- iShares Core U.S. Aggregate Bond ETF464287226−$2.06MReduced
- iShares Tr464288323−$368.4KReduced
Largest weight decreases
Reduced and sold-out positions, by percentage points of the portfolio lost
- iShares Tr464288414−4.63 pp22.4% → 17.8%
- SPDR Series Trust78468R739−3.87 pp27.0% → 23.1%
- VanEck ETF Trust92189H201−3.07 pp24.4% → 21.3%
- iShares Core U.S. Aggregate Bond ETF464287226−1.77 pp15.5% → 13.7%
- iShares Tr464288323−0.35 pp1.8% → 1.5%
Metrics
13F metrics for Q4 2022, computed only from the numbers in the filings. Definitions below.
- Portfolio value
- $64.1M
- −$5.50M (−7.9%) vs. prior quarter
- Positions
- 21
- +4 vs. prior quarter
- Top 10 concentration
- 97.8%
- Top 10 as share of value
- Turnover
- 13.3%
- Q4 2022, one quarter
- Average holding period
- 7.6 quarters
- Weighted by value
How these are calculated
- Portfolio value: the market value of all long positions in the 13F, as reported at quarter end, excluding options.
- Top 10 concentration: the combined value of the 10 largest positions as a share of portfolio value.
- Turnover: the smaller of this quarter's estimated purchases and estimated sales, divided by the average of this and last quarter's portfolio value. Estimates multiply the change in shares by the quarter-end price implied by the filing (market value divided by shares); new positions use this quarter's value and sold-out positions last quarter's. Only positions reported in shares count, and it is not calculated when the previous quarter was not filed.
- Average holding period: how many consecutive quarters each current position has been held (including this one; a quarter without the position or without a filing starts the count over), weighted by this quarter's value. Counting starts with the first 13F in Livermore (Q1 2021), so positions held before then are understated.
13F filings by quarter
8 quarters, going back to Q1 2021. Bars show each quarter's 13F portfolio value; quarters without a filing are left blank.
Peak $132.7M (Q2 2021)
| Quarter | Filed | Positions | Value | Top 3 holdings | Changes | Filing |
|---|---|---|---|---|---|---|
| Q4 2022 | Jan 24, 2023 | 21 | $64.1M | SPDR Series TrustVanEck ETF TrustiShares Tr | vs. Q3 2022 | SEC |
| Q3 2022 | Jan 24, 2023 | 17 | $69.6M | SPDR Series TrustVanEck ETF TrustiShares Tr | vs. Q2 2022 | SEC |
| Q2 2022 | Aug 15, 2022 | 17 | $97.4M | SPDR Series TrustVanEck ETF TrustiShares Tr | vs. Q1 2022 | SEC |
| Q1 2022 | May 2, 2022 | 17 | $116.8M | VanEck ETF TrustSPDR Series TrustiShares Tr | vs. Q4 2021 | SEC |
| Q4 2021 | Feb 14, 2022 | 17 | $129.0M | VanEck ETF TrustSPDR Series TrustiShares Tr | vs. Q3 2021 | SEC |
| Q3 2021 | Dec 15, 2021 | 17 | $130.0M | VanEck ETF TrustSPDR Series TrustiShares Tr | vs. Q2 2021 | SEC |
| Q2 2021 | Dec 15, 2021 | 18 | $132.7M | VanEck ETF TrustSPDR Series TrustiShares Tr | vs. Q1 2021 | SEC |
| Q1 2021 | May 17, 2021 | 18 | $130.8M | VanEck ETF TrustSPDR Series TrustiShares Tr | – | SEC |