Milliman Financial Risk Management LLC
- SEC CIK
- 0001547927
- Latest filing
- Nov 4, 2022
The latest 13F from Milliman Financial Risk Management LLC covers Q3 2022 (filed Nov 4, 2022): 9 long positions worth $6.40B. The top 10 holdings make up 100.0% of the portfolio, and the largest is iShares Trust iShares 0-1 Year Treasury Bond ETF at 31.2%. Livermore has 7 filings on Form 13F from this institution, going back to Q1 2021.
What changed in Q3 2022
Share counts compared with Q2 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
- 0
- Added
- 6
- Est. +$94.5M
- Reduced
- 2
- Est. −$324.2M
- Sold out
- 0
Top 5 holdings
Share of this quarter's portfolio value
- iShares Trust iShares 0-1 Year Treasury Bond ETF46428867931.2%$2.00B
- iShares Core U.S. Aggregate Bond ETF46428722618.1%$1.16B
- Vanguard Total Bond Market ETF92193783515.8%$1.01B
- Vanguard Morningstar Total Stock Market ETF92290876915.4%$983.8M
- Vanguard Ftse Developed Markets ETF9219438588.3%$530.4M
Share of portfolio
Top 5 holdings and the other 4 positions, by share of portfolio value
- iShares Trust iShares 0-1 Year Treasury Bond ETF31.2%
- iShares Core U.S. Aggregate Bond ETF18.1%
- Vanguard Total Bond Market ETF15.8%
- Vanguard Morningstar Total Stock Market ETF15.4%
- Vanguard Ftse Developed Markets ETF8.3%
- Other 4 positions11.2%
Biggest buys
New and added positions, by estimated amount bought
- Vanguard Total Bond Market ETF921937835+$43.2MAdded
- Vanguard Ftse Developed Markets ETF921943858+$28.9MAdded
- iShares Core U.S. Aggregate Bond ETF464287226+$9.87MAdded
- Vanguard Morningstar Total Stock Market ETF922908769+$7.66MAdded
- Schwab U.S. Broad Market ETF808524102+$3.43MAdded
Largest weight increases
New and added positions, by percentage points of the portfolio gained
- Vanguard Total Bond Market ETF921937835+1.02 pp14.8% → 15.8%
- iShares Core U.S. Aggregate Bond ETF464287226+0.56 pp17.6% → 18.1%
- Vanguard Morningstar Total Stock Market ETF922908769+0.53 pp14.8% → 15.4%
- Vanguard Ftse Developed Markets ETF921943858+0.14 pp8.1% → 8.3%
- Schwab U.S. Broad Market ETF808524102+0.11 pp2.1% → 2.2%
Biggest sells
Reduced and sold-out positions, by estimated amount sold
- iShares Trust iShares 0-1 Year Treasury Bond ETF464288679−$314.1MReduced
- iShares Tr464287150−$10.2MReduced
Largest weight decreases
Reduced and sold-out positions, by percentage points of the portfolio lost
- iShares Trust iShares 0-1 Year Treasury Bond ETF464288679−2.27 pp33.5% → 31.2%
- iShares Tr464287150−0.03 pp5.3% → 5.2%
Metrics
13F metrics for Q3 2022, computed only from the numbers in the filings. Definitions below.
- Portfolio value
- $6.40B
- −$510.3M (−7.4%) vs. prior quarter
- Positions
- 9
- 0 vs. prior quarter
- Top 10 concentration
- 100.0%
- Top 10 as share of value
- Turnover
- 1.4%
- Q3 2022, one quarter
- Average holding period
- 5.8 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
7 quarters, going back to Q1 2021. Bars show each quarter's 13F portfolio value; quarters without a filing are left blank.
Peak $8.74B (Q2 2021)
| Quarter | Filed | Positions | Value | Top 3 holdings | Changes | Filing |
|---|---|---|---|---|---|---|
| Q3 2022 | Nov 4, 2022 | 9 | $6.40B | iShares Trust iShares 0-1 Year Treasury Bond ETFiShares Core U.S. Aggregate Bond ETFVanguard Total Bond Market ETF | vs. Q2 2022 | SEC |
| Q2 2022 | Aug 12, 2022 | 9 | $6.91B | iShares Trust iShares 0-1 Year Treasury Bond ETFiShares Core U.S. Aggregate Bond ETFVanguard Morningstar Total Stock Market ETF | vs. Q1 2022 | SEC |
| Q1 2022 | May 17, 2022 | 9 | $7.69B | iShares Core U.S. Aggregate Bond ETFVanguard Morningstar Total Stock Market ETFVanguard Total Bond Market ETF | vs. Q4 2021 | SEC |
| Q4 2021 | Feb 14, 2022 | 10 | $8.46B | Vanguard Morningstar Total Stock Market ETFiShares Core U.S. Aggregate Bond ETFVanguard Total Bond Market ETF | vs. Q3 2021 | SEC |
| Q3 2021 | Oct 26, 2021 | 10 | $8.42B | Vanguard Morningstar Total Stock Market ETFiShares Core U.S. Aggregate Bond ETFVanguard Total Bond Market ETF | vs. Q2 2021 | SEC |
| Q2 2021 | Aug 13, 2021 | 10 | $8.74B | Vanguard Morningstar Total Stock Market ETFiShares Core U.S. Aggregate Bond ETFVanguard Total Bond Market ETF | vs. Q1 2021 | SEC |
| Q1 2021 | May 14, 2021 | 11 | $8.62B | iShares Core U.S. Aggregate Bond ETFVanguard Morningstar Total Stock Market ETFVanguard Total Bond Market ETF | – | SEC |