Derbend Asset Management
- SEC CIK
- 0001874068
- Latest filing
- Apr 30, 2024
The latest 13F from Derbend Asset Management covers Q1 2024 (filed Apr 30, 2024): 114 long positions worth $203.0M. The top 10 holdings make up 52.1% of the portfolio, and the largest is iShares S&P 500 Growth ETF at 11.0%. Livermore has 12 filings on Form 13F from this institution, going back to Q2 2021.
What changed in Q1 2024
Share counts compared with Q4 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.
- New
- 15
- Est. +$9.20M
- Added
- 60
- Est. +$15.1M
- Reduced
- 31
- Est. −$6.17M
- Sold out
- 4
- Est. −$1.13M
Top 5 holdings
Share of this quarter's portfolio value
- iShares S&P 500 Growth ETF46428730911.0%$22.2M
- J P Morgan Exchange Traded F46641Q3327.0%$14.2M
- iShares S&P 500 Value ETF4642874086.8%$13.8M
- JPMorgan Nasdaq Equity Premium Income ETF46654Q2035.3%$10.8M
- iShares MSCI USA Quality Factor ETF46432F3394.3%$8.75M
Share of portfolio
Top 5 holdings and the other 109 positions, by share of portfolio value
- iShares S&P 500 Growth ETF11.0%
- J P Morgan Exchange Traded F7.0%
- iShares S&P 500 Value ETF6.8%
- JPMorgan Nasdaq Equity Premium Income ETF5.3%
- iShares MSCI USA Quality Factor ETF4.3%
- Other 109 positions65.7%
Biggest buys
New and added positions, by estimated amount bought
- BlackRock ETF Trust09290C103+$3.29MNew
- iShares S&P 500 Value ETF464287408+$2.71MAdded
- J P Morgan Exchange Traded F46641Q332+$1.98MAdded
- iShares Tr46434V803+$1.07MNew
- Vanguard S&P 500 ETF922908363+$1.06MAdded
Largest weight increases
New and added positions, by percentage points of the portfolio gained
- BlackRock ETF Trust09290C103+1.62 pp0.0% → 1.6%
- NVDANVIDIA Corp
- iShares S&P 500 Value ETF464287408+0.82 pp6.0% → 6.8%
- iShares Tr46434V803+0.53 pp0.0% → 0.5%
- Vanguard S&P 500 ETF922908363+0.45 pp1.0% → 1.5%
Biggest sells
Reduced and sold-out positions, by estimated amount sold
- iShares S&P 100 ETF464287101−$1.23MReduced
- iShares Tr464288877−$931.9KReduced
- iShares Tr46434V860−$830.3KReduced
- iShares MSCI USA Quality Factor ETF46432F339−$682.4KReduced
- Invesco Exch Traded FD Tr II46138E354−$667.7KReduced
Largest weight decreases
Reduced and sold-out positions, by percentage points of the portfolio lost
- iShares Tr464288877−1.01 pp4.9% → 3.9%
- iShares S&P 100 ETF464287101−0.72 pp2.0% → 1.3%
- iShares MSCI USA Quality Factor ETF46432F339−0.58 pp4.9% → 4.3%
- iShares Tr46434V860−0.55 pp1.0% → 0.4%
- Invesco Exch Traded FD Tr II46138E354−0.44 pp1.0% → 0.6%
Metrics
13F metrics for Q1 2024, computed only from the numbers in the filings. Definitions below.
- Portfolio value
- $203.0M
- +$30.4M (+17.6%) vs. prior quarter
- Positions
- 114
- +11 vs. prior quarter
- Top 10 concentration
- 52.1%
- Top 10 as share of value
- Turnover
- 3.9%
- Q1 2024, one quarter
- Average holding period
- 6.9 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 (Q2 2021), so positions held before then are understated.
13F filings by quarter
12 quarters, going back to Q2 2021. Bars show each quarter's 13F portfolio value; quarters without a filing are left blank.
Peak $203.0M (Q1 2024)
| Quarter | Filed | Positions | Value | Top 3 holdings | Changes | Filing |
|---|---|---|---|---|---|---|
| Q1 2024 | Apr 30, 2024 | 114 | $203.0M | iShares S&P 500 Growth ETFJ P Morgan Exchange Traded FiShares S&P 500 Value ETF | vs. Q4 2023 | SEC |
| Q4 2023 | Jan 23, 2024 | 103 | $172.6M | iShares S&P 500 Growth ETFJ P Morgan Exchange Traded FiShares S&P 500 Value ETF | vs. Q3 2023 | SEC |
| Q3 2023 | Oct 19, 2023 | 96 | $146.8M | J P Morgan Exchange Traded FInvesco Exchange Traded FD TiShares S&P 500 Growth ETF | vs. Q2 2023 | SEC |
| Q2 2023 | Jul 20, 2023 | 81 | $147.7M | Invesco Exchange Traded FD TJ P Morgan Exchange Traded FETF Ser Solutions | vs. Q1 2023 | SEC |
| Q1 2023 | Apr 17, 2023 | 76 | $133.2M | J P Morgan Exchange Traded FETF Ser SolutionsETF Ser Solutions | vs. Q4 2022 | SEC |
| Q4 2022 | Jan 24, 2023 | 76 | $125.1M | J P Morgan Exchange Traded FETF Ser SolutionsETF Ser Solutions | vs. Q3 2022 | SEC |
| Q3 2022 | Oct 20, 2022 | 81 | $125.5M | ETF Ser SolutionsJ P Morgan Exchange Traded FETF Ser Solutions | vs. Q2 2022 | SEC |
| Q2 2022 | Jul 21, 2022 | 69 | $119.8M | ETF Ser SolutionsInvesco Exchange Traded FD TJ P Morgan Exchange Traded F | vs. Q1 2022 | SEC |
| Q1 2022 | Apr 21, 2022 | 85 | $102.4M | AAPLInvesco Exchange Traded FD TJ P Morgan Exchange Traded F | vs. Q4 2021 | SEC |
| Q4 2021 | Feb 2, 2022 | 84 | $102.4M | AAPLInvesco Exchange Traded FD TJ P Morgan Exchange Traded F | vs. Q3 2021 | SEC |
| Q3 2021 | Nov 15, 2021 | 87 | $106.4M | Invesco Exchange Traded FD TPYPLAAPL | vs. Q2 2021 | SEC |
| Q2 2021 | Jul 30, 2021 | 87 | $107.3M | PYPLInvesco Exchange Traded FD TAAPL | – | SEC |