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Livermore
Livermore
ZHEN

Newfound Research LLC

SEC CIK
0001630806
Latest filing
Oct 13, 2022

The latest 13F from Newfound Research LLC covers Q3 2022 (filed Oct 13, 2022): 131 long positions worth $40.8M. The top 10 holdings make up 61.1% of the portfolio, and the largest is iShares Tr at 15.0%. 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.

Full comparison
New
11
Est. +$3.13M
Added
37
Est. +$726.9K
Reduced
81
Est. −$7.67M
Sold out
11
Est. −$677.0K

Top 5 holdings

Share of this quarter's portfolio value

  1. iShares Tr464287457
    15.0%$6.11M
  2. Vanguard Wellington FD921935508
    6.7%$2.75M
  3. iShares MSCI USA Momentum Factor ETF46432F396
    6.6%$2.69M
  4. J P Morgan Exchange Traded F46641Q779
    6.6%$2.68M
  5. Fidelity Covington Trust316092816
    6.5%$2.66M

Share of portfolio

Top 5 holdings and the other 126 positions, by share of portfolio value

  1. iShares Tr15.0%
  2. Vanguard Wellington FD6.7%
  3. iShares MSCI USA Momentum Factor ETF6.6%
  4. J P Morgan Exchange Traded F6.6%
  5. Fidelity Covington Trust6.5%
  6. Other 126 positions58.6%

Biggest buys

New and added positions, by estimated amount bought

  1. Vanguard S&P 500 ETF922908363
    +$2.58MNew
  2. State Street Consumer Discretionary Select Sector SPDR ETF81369Y407
    +$186.3KAdded
  3. State Street Industrial Select Sector SPDR ETF81369Y704
    +$160.8KAdded
  4. ANETArista Networks, Inc.
    +$78.0KNewHistory
  5. DGXQuest Diagnostics Inc
    +$68.0KNewHistory

Largest weight increases

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

  1. Vanguard S&P 500 ETF922908363
    +6.31 pp0.0% → 6.3%
  2. State Street Consumer Discretionary Select Sector SPDR ETF81369Y407
    +0.73 pp1.4% → 2.1%
  3. State Street Industrial Select Sector SPDR ETF81369Y704
    +0.50 pp1.1% → 1.6%
  4. State Street Technology Select Sector SPDR ETF81369Y803
    +0.25 pp2.8% → 3.1%
  5. ANETArista Networks, Inc.
    +0.19 pp0.0% → 0.2%History

Biggest sells

Reduced and sold-out positions, by estimated amount sold

  1. iShares Tr464287457
    −$2.91MReduced
  2. SPYSPDR S&P 500 ETF Trust
    −$1.59MReducedHistory
  3. Fidelity Covington Trust316092816
    −$314.0KReduced
  4. iShares MSCI USA Momentum Factor ETF46432F396
    −$257.4KReduced
  5. J P Morgan Exchange Traded F46641Q779
    −$229.7KReduced

Largest weight decreases

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

  1. iShares Tr464287457
    −4.53 pp19.5% → 15.0%
  2. SPYSPDR S&P 500 ETF Trust
    −3.20 pp7.3% → 4.1%History
  3. State Street Materials Select Sector SPDR ETF81369Y100
    −0.39 pp0.7% → 0.3%
  4. State Street Real Estate Select Sector SPDR ETF81369Y860
    −0.26 pp1.2% → 0.9%
  5. State Street Communication Services Select Sector SPDR ETF81369Y852
    −0.20 pp0.9% → 0.7%

Metrics

13F metrics for Q3 2022, computed only from the numbers in the filings. Definitions below.

Portfolio value
$40.8M
−$6.35M (−13.5%) vs. prior quarter
Positions
131
0 vs. prior quarter
Top 10 concentration
61.1%
Top 10 as share of value
Turnover
8.8%
Q3 2022, one quarter
Average holding period
5.2 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 $82.8M (Q4 2021)

Q1 2021: $43.2MQ2 2021: $50.5MQ3 2021: $61.8MQ4 2021: $82.8MQ1 2022: $76.9MQ2 2022: $47.2MQ3 2022: $40.8M
Q1 2021Q3 2022
13F filings of Newfound Research LLC by quarter
QuarterFiledPositionsValueTop 3 holdingsChangesFiling
Q3 2022Oct 13, 2022131$40.8MiShares TrVanguard Wellington FDiShares MSCI USA Momentum Factor ETFvs. Q2 2022SEC
Q2 2022Jul 15, 2022131$47.2MiShares TrSPYiShares MSCI USA Momentum Factor ETFvs. Q1 2022SEC
Q1 2022May 4, 2022134$76.9MSPYiShares TrVanguard S&P 500 ETFvs. Q4 2021SEC
Q4 2021Jan 19, 2022122$82.8MVanguard S&P 500 ETFSPYJ P Morgan Exchange Traded Fvs. Q3 2021SEC
Q3 2021Oct 14, 2021121$61.8MSPYVanguard S&P 500 ETFVanguard Wellington FDvs. Q2 2021SEC
Q2 2021Jul 19, 2021120$50.5MSPYVanguard S&P 500 ETFVanguard Wellington FDvs. Q1 2021SEC
Q1 2021Apr 28, 2021127$43.2MSPYiShares MSCI USA Momentum Factor ETFVanguard Wellington FD–SEC