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Livermore
Livermore
ZHEN

Day & Ennis, LLC

SEC CIK
0001535677
Latest filing
Jan 18, 2024

The latest 13F from Day & Ennis, LLC covers Q4 2023 (filed Jan 18, 2024): 124 long positions worth $283.3M. The top 10 holdings make up 50.7% of the portfolio, and the largest is iShares Core S&P 500 ETF at 16.8%. Livermore has 12 filings on Form 13F from this institution, going back to Q1 2021.

What changed in Q4 2023

Share counts compared with Q3 2023: 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
10
Est. +$5.91M
Added
52
Est. +$14.8M
Reduced
34
Est. −$8.05M
Sold out
6
Est. −$16.8M

Top 5 holdings

Share of this quarter's portfolio value

  1. iShares Core S&P 500 ETF464287200
    16.8%$47.7M
  2. AAPLApple Inc.
    5.6%$15.9MHistory
  3. iShares Tr46436E874
    5.4%$15.2M
  4. Pacer US Cash Cows 100 ETF69374H881
    4.5%$12.9M
  5. iShares MSCI USA Quality Factor ETF46432F339
    3.9%$11.2M

Biggest buys

New and added positions, by estimated amount bought

  1. iShares Ibonds Dec 2025 Term Corporate ETF46434VBD1
    +$6.15MAdded
  2. iShares Core S&P 500 ETF464287200
    +$2.69MAdded
  3. iShares S&P 100 ETF464287101
    +$1.94MNew
  4. Vanguard Short-Term Bond ETF921937827
    +$1.64MAdded
  5. PIMCO Enhanced Short Maturity Active Exchange-Traded Fund72201R833
    +$860.7KAdded

Largest weight increases

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

  1. iShares Ibonds Dec 2025 Term Corporate ETF46434VBD1
    +2.16 pp0.4% → 2.5%
  2. iShares Core S&P 500 ETF464287200
    +1.75 pp15.1% → 16.8%
  3. iShares S&P 100 ETF464287101
    +0.69 pp0.0% → 0.7%
  4. Vanguard Short-Term Bond ETF921937827
    +0.50 pp2.8% → 3.3%
  5. iShares Tr464287721
    +0.34 pp1.5% → 1.9%

Biggest sells

Reduced and sold-out positions, by estimated amount sold

  1. iShares Tr46436E882
    −$14.0MSold out
  2. iShares Tr464288885
    −$1.90MReduced
  3. iShares Tr46429B747
    −$1.04MReduced
  4. iShares MSCI USA Min Vol Factor ETF46429B697
    −$1.00MReduced
  5. iShares Tr464287432
    −$821.7KSold out

Largest weight decreases

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

  1. iShares Tr46436E882
    −5.21 pp5.2% → 0.0%
  2. iShares Tr464288885
    −0.49 pp2.8% → 2.3%
  3. iShares Tr46429B747
    −0.39 pp0.5% → 0.2%
  4. iShares MSCI USA Min Vol Factor ETF46429B697
    −0.33 pp1.0% → 0.7%
  5. iShares Tr464287432
    −0.31 pp0.3% → 0.0%

Metrics

13F metrics for Q4 2023, computed only from the numbers in the filings. Definitions below.

Portfolio value
$283.3M
+$15.0M (+5.6%) vs. prior quarter
Positions
124
+4 vs. prior quarter
Top 10 concentration
50.7%
Top 10 as share of value
Turnover
7.5%
Q4 2023, one quarter
Average holding period
9.8 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

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

Peak $304.1M (Q4 2021)

Q1 2021: $264.8MQ2 2021: $288.6MQ3 2021: $289.2MQ4 2021: $304.1MQ1 2022: $302.5MQ2 2022: $264.2MQ3 2022: $240.2MQ4 2022: $258.5MQ1 2023: $269.9MQ2 2023: $263.1MQ3 2023: $268.3MQ4 2023: $283.3M
Q1 2021Q4 2023
13F filings of Day & Ennis, LLC by quarter
QuarterFiledPositionsValueTop 3 holdingsChangesFiling
Q4 2023Jan 18, 2024124$283.3MiShares Core S&P 500 ETFAAPLiShares Trvs. Q3 2023SEC
Q3 2023Oct 20, 2023120$268.3MiShares Core S&P 500 ETFiShares TrAAPLvs. Q2 2023SEC
Q2 2023Jul 19, 2023116$263.1MiShares Core S&P 500 ETFiShares TriShares Trvs. Q1 2023SEC
Q1 2023Apr 24, 2023121$269.9MiShares Core S&P 500 ETFAAPLPacer US Cash Cows 100 ETFvs. Q4 2022SEC
Q4 2022Jan 27, 2023119$258.5MiShares Core S&P 500 ETFPacer US Cash Cows 100 ETFiShares Trvs. Q3 2022SEC
Q3 2022Oct 27, 2022104$240.2MiShares Core S&P 500 ETFiShares TrAAPLvs. Q2 2022SEC
Q2 2022Oct 31, 2022120$264.2MiShares Core S&P 500 ETFiShares TrAAPLvs. Q1 2022SEC
Q1 2022Apr 28, 2022123$302.5MiShares Core S&P 500 ETFiShares TrAAPLvs. Q4 2021SEC
Q4 2021Feb 10, 2022119$304.1MiShares Core S&P 500 ETFiShares TrAAPLvs. Q3 2021SEC
Q3 2021Nov 3, 2021122$289.2MiShares Core S&P 500 ETFiShares TrAAPLvs. Q2 2021SEC
Q2 2021Aug 11, 2021126$288.6MiShares Core S&P 500 ETFiShares TrAAPLvs. Q1 2021SEC
Q1 2021Apr 28, 2021118$264.8MiShares Core S&P 500 ETFiShares TrAAPL–SEC