Skip to main content
Livermore
Livermore
中文EN

Quantitative Advantage, LLC

SEC CIK
0001368905
Latest filing
May 12, 2023

The latest 13F from Quantitative Advantage, LLC covers Q1 2023 (filed May 12, 2023): 115 long positions worth $689.4M. The top 10 holdings make up 41.1% of the portfolio, and the largest is Dimensional ETF Trust at 7.4%. Livermore has 9 filings on Form 13F from this institution, going back to Q1 2021.

What changed in Q1 2023

Share counts compared with Q4 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.

Full comparison
New
12
Est. +$63.8M
Added
75
Est. +$24.8M
Reduced
24
Est. −$9.06M
Sold out
9
Est. −$66.3M

Top 5 holdings

Share of this quarter's portfolio value

  1. Dimensional ETF Trust25434V831
    7.4%$51.3M
  2. Vanguard Morningstar Total Stock Market ETF922908769
    5.1%$35.4M
  3. iShares Tr464287721
    4.8%$33.1M
  4. Flexshares Tr33939L100
    4.2%$28.8M
  5. Vanguard Ftse All-World Ex-US Index Fund922042775
    3.5%$24.0M

Biggest buys

New and added positions, by estimated amount bought

  1. Dimensional ETF Trust25434V831
    +$51.3MNew
  2. GLTRabrdn Precious Metals Basket ETF Trust
    +$3.28MNewHistory
  3. FXEInvesco CurrencyShares Euro Trust
    +$3.19MNewHistory
  4. Davis Fundamental ETF Tr23908L306
    +$2.05MNew
  5. Vanguard Morningstar Total Stock Market ETF922908769
    +$1.81MAdded

Largest weight increases

New and added positions, by percentage points of the portfolio gained

  1. Dimensional ETF Trust25434V831
    +7.44 pp0.0% → 7.4%
  2. iShares Tr464287721
    +0.72 pp4.1% → 4.8%
  3. GLTRabrdn Precious Metals Basket ETF Trust
    +0.48 pp0.0% → 0.5%History
  4. FXEInvesco CurrencyShares Euro Trust
    +0.46 pp0.0% → 0.5%History
  5. Invesco S&P 500 Equal Weight Technology ETF46137V282
    +0.34 pp3.0% → 3.3%

Biggest sells

Reduced and sold-out positions, by estimated amount sold

  1. Dimensional U.S. Targeted Value ETF25434V609
    −$48.9MSold out
  2. SPDR Series Trust78464A805
    −$4.13MReduced
  3. Invesco Actvely MNGD Etc FD46090F100
    −$3.71MSold out
  4. UUPInvesco DB US Dollar Index Bullish Fund
    −$3.60MSold outHistory
  5. J P Morgan Exchange Traded F46641Q670
    −$2.95MSold out

Largest weight decreases

Reduced and sold-out positions, by percentage points of the portfolio lost

  1. Dimensional U.S. Targeted Value ETF25434V609
    −7.55 pp7.5% → 0.0%
  2. SPDR Series Trust78464A805
    −0.60 pp0.8% → 0.2%
  3. Invesco Actvely MNGD Etc FD46090F100
    −0.57 pp0.6% → 0.0%
  4. UUPInvesco DB US Dollar Index Bullish Fund
    −0.56 pp0.6% → 0.0%History
  5. State Street Energy Select Sector SPDR ETF81369Y506
    −0.50 pp3.7% → 3.2%

Metrics

13F metrics for Q1 2023, computed only from the numbers in the filings. Definitions below.

Portfolio value
$689.4M
+$41.2M (+6.4%) vs. prior quarter
Positions
115
+3 vs. prior quarter
Top 10 concentration
41.1%
Top 10 as share of value
Turnover
11.3%
Q1 2023, one quarter
Average holding period
7.1 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

9 quarters, going back to Q1 2021. Bars show each quarter's 13F portfolio value; quarters without a filing are left blank.

Peak $689.4M (Q1 2023)

Q1 2021: $516.0MQ2 2021: $579.7MQ3 2021: $589.3MQ4 2021: $646.9MQ1 2022: $650.4MQ2 2022: $576.3MQ3 2022: $570.7MQ4 2022: $648.2MQ1 2023: $689.4M
Q1 2021Q1 2023
13F filings of Quantitative Advantage, LLC by quarter
QuarterFiledPositionsValueTop 3 holdingsChangesFiling
Q1 2023May 12, 2023115$689.4MDimensional ETF TrustVanguard Morningstar Total Stock Market ETFiShares Trvs. Q4 2022SEC
Q4 2022Feb 14, 2023112$648.2MDimensional U.S. Targeted Value ETFVanguard Morningstar Total Stock Market ETFFlexshares Trvs. Q3 2022SEC
Q3 2022Nov 14, 2022105$570.7MDimensional U.S. Targeted Value ETFVanguard Morningstar Total Stock Market ETFiShares Trvs. Q2 2022SEC
Q2 2022Aug 11, 202291$576.3MDimensional U.S. Targeted Value ETFGoldman Sachs ETF TriShares Trvs. Q1 2022SEC
Q1 2022May 16, 202286$650.4MDimensional U.S. Targeted Value ETFGoldman Sachs ETF TriShares Trvs. Q4 2021SEC
Q4 2021Feb 7, 202278$646.9MDimensional U.S. Targeted Value ETFiShares TriShares Trvs. Q3 2021SEC
Q3 2021Nov 12, 202175$589.3MiShares TrVanguard Morningstar Total Stock Market ETFFlexshares Trvs. Q2 2021SEC
Q2 2021Aug 13, 202168$579.7MVanguard Morningstar Small-Cap ETFiShares TrVanguard Morningstar Total Stock Market ETFvs. Q1 2021SEC
Q1 2021May 12, 202160$516.0MVanguard Morningstar Small-Cap ETFiShares TrVanguard Morningstar Total Stock Market ETF–SEC