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Livermore
Livermore
ZHEN

Wavelength Capital Management, LLC

SEC CIK
0001872038
Latest filing
Nov 9, 2023

The latest 13F from Wavelength Capital Management, LLC covers Q3 2023 (filed Nov 9, 2023): 15 long positions worth $85.9M. The top 10 holdings make up 93.4% of the portfolio, and the largest is Invesco Exch Traded FD Tr II at 18.6%. Livermore has 9 filings on Form 13F from this institution, going back to Q4 2021.

What changed in Q3 2023

Share counts compared with Q2 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
2
Est. +$1.85M
Added
2
Est. +$967.7K
Reduced
11
Est. −$7.02M
Sold out
0

Top 5 holdings

Share of this quarter's portfolio value

  1. Invesco Exch Traded FD Tr II46138G508
    18.6%$16.0M
  2. Vanguard Malvern FDS922020805
    13.5%$11.6M
  3. Vanguard Mortgage-Backed Securities ETF92206C771
    10.6%$9.08M
  4. SPDR Series Trust78468R408
    10.6%$9.08M
  5. iShares Tips Bond ETF464287176
    9.3%$7.97M

Share of portfolio

Top 5 holdings and the other 10 positions, by share of portfolio value

  1. Invesco Exch Traded FD Tr II18.6%
  2. Vanguard Malvern FDS13.5%
  3. Vanguard Mortgage-Backed Securities ETF10.6%
  4. SPDR Series Trust10.6%
  5. iShares Tips Bond ETF9.3%
  6. Other 10 positions37.5%

Biggest buys

New and added positions, by estimated amount bought

  1. Invesco Actvely MNGD Etc FD46090F100
    +$956.8KNew
  2. Global X FDS37954Y343
    +$891.8KNew
  3. Invesco Exch Traded FD Tr II46138G508
    +$642.1KAdded
  4. iShares Tr464288687
    +$325.6KAdded

Largest weight increases

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

  1. Invesco Exch Traded FD Tr II46138G508
    +1.96 pp16.6% → 18.6%
  2. Invesco Actvely MNGD Etc FD46090F100
    +1.11 pp0.0% → 1.1%
  3. Global X FDS37954Y343
    +1.04 pp0.0% → 1.0%
  4. iShares Tr464288687
    +0.45 pp1.4% → 1.9%

Biggest sells

Reduced and sold-out positions, by estimated amount sold

  1. iShares Tr464288414
    −$1.92MReduced
  2. iShares Tips Bond ETF464287176
    −$1.56MReduced
  3. iShares Tr464288281
    −$808.7KReduced
  4. Vanguard Malvern FDS922020805
    −$610.1KReduced
  5. Vanguard Emerging Markets Government Bond ETF921946885
    −$518.1KReduced

Largest weight decreases

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

  1. iShares Tr464288414
    −1.89 pp10.4% → 8.5%
  2. iShares Tips Bond ETF464287176
    −1.42 pp10.7% → 9.3%
  3. iShares Tr464288281
    −0.82 pp4.7% → 3.9%
  4. State Street SPDR Bloomberg Convertible Securities ETF78464A359
    −0.47 pp2.4% → 2.0%
  5. Vanguard Emerging Markets Government Bond ETF921946885
    −0.47 pp6.0% → 5.6%

Metrics

13F metrics for Q3 2023, computed only from the numbers in the filings. Definitions below.

Portfolio value
$85.9M
−$6.50M (−7.0%) vs. prior quarter
Positions
15
+2 vs. prior quarter
Top 10 concentration
93.4%
Top 10 as share of value
Turnover
3.2%
Q3 2023, one quarter
Average holding period
7.6 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 (Q4 2021), so positions held before then are understated.

13F filings by quarter

8 quarters, going back to Q4 2021. Bars show each quarter's 13F portfolio value; quarters without a filing are left blank.

Peak $128.6M (Q1 2022)

Q4 2021: $127.7MQ1 2022: $128.6MQ2 2022: $101.3MQ3 2022: $90.2MQ4 2022: $84.4MQ1 2023: $89.8MQ2 2023: $92.4MQ3 2023: $85.9M
Q4 2021Q3 2023
13F filings of Wavelength Capital Management, LLC by quarter
QuarterFiledPositionsValueTop 3 holdingsChangesFiling
Q3 2023Nov 9, 202315$85.9MInvesco Exch Traded FD Tr IIVanguard Malvern FDSVanguard Mortgage-Backed Securities ETFvs. Q2 2023SEC
Q2 2023Aug 10, 202313$92.4MInvesco Exch Traded FD Tr IIVanguard Malvern FDSiShares Tips Bond ETFvs. Q1 2023SEC
Q1 2023May 12, 202313$89.8MInvesco Exch Traded FD Tr IIVanguard Malvern FDSiShares Tips Bond ETFvs. Q4 2022SEC
Q4 2022Feb 13, 202312$84.4MInvesco Exch Traded FD Tr IIiShares Tips Bond ETFVanguard Malvern FDSvs. Q3 2022SEC
Q3 2022Nov 10, 2022Amended13$90.2MiShares Tips Bond ETFInvesco Exch Traded FD Tr IIVanguard Malvern FDSvs. Q2 2022SEC
Q2 2022Jul 18, 202213$101.3MiShares Tips Bond ETFInvesco Exch Traded FD Tr IIVanguard Malvern FDSvs. Q1 2022SEC
Q1 2022Apr 25, 202214$128.6MiShares Tips Bond ETFInvesco Exch Traded FD Tr IIiShares Trvs. Q4 2021SEC
Q4 2021Jan 14, 202214$127.7MiShares Tips Bond ETFInvesco Exch Traded FD Tr IIiShares Tr–SEC