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Livermore
Livermore
ZHEN

MACRO Consulting Group

SEC CIK
0001762388
Latest filing
Aug 16, 2021

The latest 13F from MACRO Consulting Group covers Q2 2021 (filed Aug 16, 2021): 102 long positions worth $194.2M. The top 10 holdings make up 44.3% of the portfolio, and the largest is iShares Tr at 8.9%. 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
5
Est. +$3.02M
Added
63
Est. +$9.26M
Reduced
27
Est. −$4.92M
Sold out
5
Est. −$7.37M

Top 5 holdings

Share of this quarter's portfolio value

  1. iShares Tr464287440
    8.9%$17.2M
  2. IAUiShares Gold Trust
    8.6%$16.7MHistory
  3. iShares Core S&P Mid-Cap ETF464287507
    5.5%$10.7M
  4. iShares Core S&P Small Cap ETF464287804
    4.1%$7.90M
  5. iShares S&P Small-Cap 600 Value ETF464287879
    3.8%$7.34M

Biggest buys

New and added positions, by estimated amount bought

  1. iShares Tr464287440
    +$2.17MAdded
  2. AAPAdvance Auto Parts Inc
    +$1.98MAddedHistory
  3. IAUiShares Gold Trust
    +$1.73MAddedConverted for a 1-for-2 splitHistory
  4. Dimensional ETF Trust25434V401
    +$1.64MNew
  5. Dimensional U.S. Core Equity 2 ETF25434V708
    +$655.0KNew

Largest weight increases

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

  1. AAPAdvance Auto Parts Inc
    +1.03 pp0.2% → 1.3%History
  2. iShares Tr464287440
    +0.91 pp8.0% → 8.9%
  3. Dimensional ETF Trust25434V401
    +0.85 pp0.0% → 0.8%
  4. IAUiShares Gold Trust
    +0.79 pp7.8% → 8.6%History
  5. Dimensional U.S. Core Equity 2 ETF25434V708
    +0.34 pp0.0% → 0.3%

Biggest sells

Reduced and sold-out positions, by estimated amount sold

  1. iShares Core U.S. Aggregate Bond ETF464287226
    −$4.82MSold out
  2. MOAltria Group, Inc.
    −$1.90MSold outHistory
  3. iShares S&P Small-Cap 600 Value ETF464287879
    −$1.69MReduced
  4. iShares Core S&P Small Cap ETF464287804
    −$1.03MReduced
  5. JPMJPMorgan Chase & Co
    −$284.4KReducedHistory

Largest weight decreases

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

  1. iShares Core U.S. Aggregate Bond ETF464287226
    −2.60 pp2.6% → 0.0%
  2. MOAltria Group, Inc.
    −1.02 pp1.0% → 0.0%History
  3. iShares S&P Small-Cap 600 Value ETF464287879
    −0.89 pp4.7% → 3.8%
  4. iShares Core S&P Small Cap ETF464287804
    −0.57 pp4.6% → 4.1%
  5. CTVACorteva, Inc.
    −0.19 pp1.5% → 1.3%History

Metrics

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

Portfolio value
$194.2M
+$9.22M (+5.0%) vs. prior quarter
Positions
102
0 vs. prior quarter
Top 10 concentration
44.3%
Top 10 as share of value
Turnover
6.5%
Q2 2021, one quarter
Average holding period
1.9 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 $194.2M (Q2 2021)

Q1 2021: $185.0MQ2 2021: $194.2M
Q1 2021Q2 2021
13F filings of MACRO Consulting Group by quarter
QuarterFiledPositionsValueTop 3 holdingsChangesFiling
Q2 2021Aug 16, 2021102$194.2MiShares TrIAUiShares Core S&P Mid-Cap ETFvs. Q1 2021SEC
Q1 2021May 10, 2021102$185.0MiShares TrIAUiShares Core S&P Mid-Cap ETF–SEC