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Livermore
Livermore
ZHEN

FormulaFolio Investments, LLC

SEC CIK
0001626982
Latest filing
Jul 28, 2021

The latest 13F from FormulaFolio Investments, LLC covers Q2 2021 (filed Jul 28, 2021): 524 long positions worth $299.4M. The top 10 holdings make up 52.7% of the portfolio, and the largest is Northern LTS FD Tr IV at 10.3%. Livermore has 2 filings on Form 13F from this institution, going back to Q1 2021.

What changed in Q2 2021

Share counts compared with Q1 2021: 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
41
Est. +$1.34M
Added
48
Est. +$1.06M
Reduced
66
Est. −$14.6M
Sold out
18
Est. −$1.37M

Top 5 holdings

Share of this quarter's portfolio value

  1. Northern LTS FD Tr IV66538H666
    10.3%$30.8M
  2. DBX ETF Tr233051432
    9.4%$28.2M
  3. Schwab U.S. Mid-Cap ETF808524508
    6.4%$19.2M
  4. State Street SPDR Portfolio S&P 500 ETF78464A854
    5.5%$16.5M
  5. Vanguard Total Bond Market ETF921937835
    5.0%$15.0M

Share of portfolio

Top 5 holdings and the other 519 positions, by share of portfolio value

  1. Northern LTS FD Tr IV10.3%
  2. DBX ETF Tr9.4%
  3. Schwab U.S. Mid-Cap ETF6.4%
  4. State Street SPDR Portfolio S&P 500 ETF5.5%
  5. Vanguard Total Bond Market ETF5.0%
  6. Other 519 positions63.4%

Biggest buys

New and added positions, by estimated amount bought

  1. Alps ETF Tr00162Q452
    +$383.0KNew
  2. Dimensional ETF Trust25434V401
    +$301.0KNew
  3. Vanguard Scottsdale FDS92206C409
    +$247.9KAdded
  4. FSKFS KKR Capital Corp
    +$157.0KNewHistory
  5. CVXChevron Corp
    +$130.0KNewHistory

Largest weight increases

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

  1. Vanguard Scottsdale FDS92206C409
    +0.16 pp2.8% → 2.9%
  2. Alps ETF Tr00162Q452
    +0.13 pp0.0% → 0.1%
  3. Global X FDS37954Y657
    +0.10 pp1.3% → 1.4%
  4. Dimensional ETF Trust25434V401
    +0.10 pp0.0% → 0.1%
  5. Vanguard Morningstar Growth ETF922908736
    +0.07 pp0.2% → 0.3%

Biggest sells

Reduced and sold-out positions, by estimated amount sold

  1. Northern LTS FD Tr IV66538H666
    −$2.75MReduced
  2. Schwab U.S. Mid-Cap ETF808524508
    −$1.11MReduced
  3. State Street SPDR Portfolio S&P 500 Growth ETF78464A409
    −$1.02MReduced
  4. DBX ETF Tr233051432
    −$1.01MReduced
  5. AELAmerican National Group Inc.
    −$816.0KSold outHistory

Largest weight decreases

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

  1. Northern LTS FD Tr IV66538H666
    −0.51 pp10.8% → 10.3%
  2. AELAmerican National Group Inc.
    −0.27 pp0.3% → 0.0%History
  3. Fidelity MSCI Materials Index ETF316092881
    −0.18 pp1.4% → 1.2%
  4. Northern LTS FD Tr IV66538H575
    −0.15 pp2.2% → 2.1%
  5. Fidelity MSCI Utilities Index ETF316092865
    −0.13 pp1.3% → 1.1%

Metrics

13F metrics for Q2 2021, computed only from the numbers in the filings. Definitions below.

Portfolio value
$299.4M
−$8.17M (−2.7%) vs. prior quarter
Positions
524
+22 vs. prior quarter
Top 10 concentration
52.7%
Top 10 as share of value
Turnover
0.8%
Q2 2021, one quarter
Average holding period
2.0 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

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

Peak $307.6M (Q1 2021)

Q1 2021: $307.6MQ2 2021: $299.4M
Q1 2021Q2 2021
13F filings of FormulaFolio Investments, LLC by quarter
QuarterFiledPositionsValueTop 3 holdingsChangesFiling
Q2 2021Jul 28, 2021524$299.4MNorthern LTS FD Tr IVDBX ETF TrSchwab U.S. Mid-Cap ETFvs. Q1 2021SEC
Q1 2021May 28, 2021502$307.6MNorthern LTS FD Tr IVDBX ETF TrSchwab U.S. Mid-Cap ETF–SEC