Mount Lucas Management LP Diversified Active

CIK: 0001185072 · Show all filings

Period: Q3 2016 (← Previous) (Next →)

Filing Date: Nov 14, 2016

Total Value ($000): $561,904 (100.0% shares, 0.0% debt)

Holdings (157)

SHY ISHARES 1-3 YEAR TREASURY BO 6.7%
Value ($000) $37,457 Shares 440,465 Est. Cost $84.75 Unrealized —
UNM UNUM GROUP 4.3%
Value ($000) $24,285 Shares 687,748 Est. Cost $31.39 Unrealized +7.8%
GM GENERAL MOTORS CO 4.2%
Value ($000) $23,563 Shares 741,676 Est. Cost $24.27 Unrealized +6.5%
T AT&T INC 2.7%
Value ($000) $15,381 Shares 378,741 Est. Cost $13.84 Unrealized +17.7%
NAVI NAVIENT CORP 2.5%
Value ($000) $14,063 Shares 971,911 Est. Cost $10.40 Unrealized +34.0%
ADM ARCHER-DANIELS-MIDLAND CO 2.4%
Value ($000) $13,301 Shares 315,409 Est. Cost $25.95 Unrealized +26.2%
PRU PRUDENTIAL FINANCIAL INC 2.3%
Value ($000) $12,863 Shares 157,537 Est. Cost $44.81 Unrealized +12.1%
PFG PRINCIPAL FINANCIAL GROUP 2.2%
Value ($000) $12,301 Shares 238,814 Est. Cost $32.91 Unrealized 0.0%
— ISHARES MSCI JAPAN ETF 2.2%
Value ($000) $12,287 Shares 979,803 Est. Cost $12.54 Unrealized —
AIZ ASSURANT INC 2.2%
Value ($000) $12,128 Shares 131,471 Est. Cost $72.72 Unrealized 0.0%
GLW CORNING INC 2.1%
Value ($000) $12,078 Shares 510,665 Est. Cost $17.37 Unrealized 0.0%
— CENTURYLINK INC 2.1%
Value ($000) $11,785 Shares 429,621 Est. Cost $27.43 Unrealized —
KSS KOHLS CORP 2.1%
Value ($000) $11,761 Shares 268,822 Est. Cost $41.89 Unrealized 0.0%
BBY BEST BUY CO INC 2.1%
Value ($000) $11,639 Shares 304,850 Est. Cost $21.08 Unrealized +19.7%
FITB FIFTH THIRD BANCORP 2.1%
Value ($000) $11,622 Shares 568,017 Est. Cost $13.84 Unrealized 0.0%
WMT WAL-MART STORES INC 2.0%
Value ($000) $11,434 Shares 158,550 Est. Cost $20.60 Unrealized 0.0%
XLU UTILITIES SELECT SECTOR SPDR 2.0%
Value ($000) $11,251 Shares 229,665 Est. Cost $49.62 Unrealized —
XLK TECHNOLOGY SELECT SECT SPDR 2.0%
Value ($000) $11,010 Shares 230,440 Est. Cost $42.83 Unrealized —
HIG HARTFORD FINANCIAL SVCS GRP 2.0%
Value ($000) $11,003 Shares 256,965 Est. Cost $35.91 Unrealized -4.9%
XLI INDUSTRIAL SELECT SECT SPDR 1.9%
Value ($000) $10,804 Shares 185,062 Est. Cost $55.47 Unrealized —
RIG TRANSOCEAN LTD 1.9%
Value ($000) $10,778 Shares 1,011,034 Est. Cost $9.94 Unrealized +6.3%
XLY CONSUMER DISCRETIONARY SELT 1.9%
Value ($000) $10,755 Shares 134,370 Est. Cost $70.17 Unrealized —
XLV HEALTH CARE SELECT SECTOR 1.9%
Value ($000) $10,729 Shares 148,783 Est. Cost $71.71 Unrealized —
XLB MATERIALS SELECT SECTOR SPDR 1.9%
Value ($000) $10,659 Shares 223,218 Est. Cost $46.34 Unrealized —
XLP CONSUMER STAPLES SPDR 1.9%
Value ($000) $10,617 Shares 199,534 Est. Cost $50.49 Unrealized —
F FORD MOTOR CO 1.9%
Value ($000) $10,558 Shares 874,715 Est. Cost $7.89 Unrealized -2.6%
GME GAMESTOP CORP-CLASS A 1.9%
Value ($000) $10,474 Shares 379,618 Est. Cost $7.13 Unrealized -18.9%
— SPDR S&P OIL & GAS EXP & PR 1.8%
Value ($000) $10,342 Shares 268,900 Est. Cost — Unrealized —
EZA ISHARES MSCI SOUTH AFRICA ET 0.8%
Value ($000) $4,772 Shares 85,106 Est. Cost $56.07 Unrealized —
— ISHARES MSCI TAIWAN ETF 0.8%
Value ($000) $4,670 Shares 297,447 Est. Cost $14.05 Unrealized —
EPU ISHARES MSCI ALL PERU CAPPED 0.8%
Value ($000) $4,641 Shares 139,795 Est. Cost $29.55 Unrealized —
EIDO ISHARES MSCI INDONESIA ETF 0.8%
Value ($000) $4,632 Shares 175,182 Est. Cost $23.63 Unrealized —
EWY ISHARES MSCI SOUTH KOREA CAP 0.8%
Value ($000) $4,612 Shares 79,337 Est. Cost $53.15 Unrealized —
FXI ISHARES CHINA LARGE-CAP ETF 0.8%
Value ($000) $4,586 Shares 120,665 Est. Cost $38.01 Unrealized —
ECH ISHARES MSCI CHILE CAPPED ET 0.8%
Value ($000) $4,516 Shares 122,416 Est. Cost $36.80 Unrealized —
EWZ ISHARES MSCI BRAZIL CAPPED E 0.8%
Value ($000) $4,499 Shares 133,372 Est. Cost $30.18 Unrealized —
EPI WISDOMTREE INDIA EARNINGS 0.8%
Value ($000) $4,472 Shares 206,868 Est. Cost $20.33 Unrealized —
— ISHARES MSCI MALAYSIA ETF 0.8%
Value ($000) $4,432 Shares 546,532 Est. Cost $8.12 Unrealized —
THD ISHARES MSCI THAILAND CAPPED 0.8%
Value ($000) $4,349 Shares 59,166 Est. Cost $68.91 Unrealized —
EPHE ISHARES MSCI PHILIPPINES ETF 0.8%
Value ($000) $4,334 Shares 116,331 Est. Cost $39.17 Unrealized —
EWO ISHARES MSCI AUSTRIA CAPPED 0.7%
Value ($000) $4,193 Shares 256,928 Est. Cost $16.32 Unrealized —
EWD ISHARES MSCI SWEDEN ETF 0.7%
Value ($000) $4,082 Shares 140,429 Est. Cost $29.07 Unrealized —
EWL ISHARES MSCI SWITZERLAND CAP 0.7%
Value ($000) $4,060 Shares 132,891 Est. Cost $30.55 Unrealized —
EWN ISHARES MSCI NETHERLANDS ETF 0.7%
Value ($000) $4,046 Shares 161,459 Est. Cost $25.06 Unrealized —
EWG ISHARES MSCI GERMANY ETF 0.7%
Value ($000) $4,020 Shares 153,020 Est. Cost $26.27 Unrealized —
EWQ ISHARES MSCI FRANCE ETF 0.7%
Value ($000) $3,673 Shares 152,025 Est. Cost $24.16 Unrealized —
— DENBURY RESOURCES INC 0.6%
Value ($000) $3,196 Shares 989,400 Est. Cost — Unrealized —
RSG REPUBLIC SERVICES INC 0.6%
Value ($000) $3,098 Shares 61,413 Est. Cost $38.36 Unrealized +14.3%
MKC MCCORMICK & CO-NON VTG SHRS 0.5%
Value ($000) $3,051 Shares 30,533 Est. Cost $34.58 Unrealized +22.6%
GIS GENERAL MILLS INC 0.5%
Value ($000) $3,024 Shares 47,341 Est. Cost $41.20 Unrealized +21.4%
ITW ILLINOIS TOOL WORKS 0.5%
Value ($000) $2,984 Shares 24,899 Est. Cost $92.87 Unrealized 0.0%
BDX BECTON DICKINSON AND CO 0.5%
Value ($000) $2,966 Shares 16,503 Est. Cost $148.50 Unrealized 0.0%
— KELLOGG CO 0.5%
Value ($000) $2,965 Shares 38,276 Est. Cost $48.67 Unrealized +12.3%
MRSH MARSH & MCLENNAN COS 0.5%
Value ($000) $2,949 Shares 43,861 Est. Cost $57.32 Unrealized 0.0%
PG PROCTER & GAMBLE CO/THE 0.5%
Value ($000) $2,947 Shares 32,837 Est. Cost $67.52 Unrealized 0.0%
WM WASTE MANAGEMENT INC 0.5%
Value ($000) $2,935 Shares 46,034 Est. Cost $55.15 Unrealized 0.0%
NOC NORTHROP GRUMMAN CORP 0.5%
Value ($000) $2,932 Shares 13,704 Est. Cost $186.23 Unrealized 0.0%
MMM 3M CO 0.5%
Value ($000) $2,911 Shares 16,516 Est. Cost $109.19 Unrealized 0.0%
— ISHARES MSCI UNITED KINGDOM 0.5%
Value ($000) $2,878 Shares 181,662 Est. Cost $15.84 Unrealized —
— RAYTHEON COMPANY 0.5%
Value ($000) $2,877 Shares 21,134 Est. Cost $136.13 Unrealized —
PAYX PAYCHEX INC 0.5%
Value ($000) $2,873 Shares 49,651 Est. Cost $45.34 Unrealized 0.0%
SYY SYSCO CORP 0.5%
Value ($000) $2,870 Shares 58,559 Est. Cost $40.25 Unrealized 0.0%
XLE ENERGY SELECT SECTOR SPDR 0.5%
Value ($000) $2,865 Shares 40,568 Est. Cost $68.23 Unrealized —
CLX CLOROX COMPANY 0.5%
Value ($000) $2,855 Shares 22,810 Est. Cost $87.84 Unrealized +14.1%
MCD MCDONALD'S CORP 0.5%
Value ($000) $2,747 Shares 23,810 Est. Cost $93.96 Unrealized +0.6%
KMB KIMBERLY-CLARK CORP 0.5%
Value ($000) $2,739 Shares 21,714 Est. Cost $92.77 Unrealized +0.8%
CANE TEUCRIUM SUGAR FUND 0.5%
Value ($000) $2,620 Shares 180,932 Est. Cost $10.19 Unrealized —
PSA PUBLIC STORAGE 0.5%
Value ($000) $2,532 Shares 11,345 Est. Cost $145.43 Unrealized +9.8%
CPB CAMPBELL SOUP CO 0.4%
Value ($000) $2,464 Shares 45,045 Est. Cost $43.03 Unrealized +4.0%
SOYB TEUCRIUM SOYBEAN FUND 0.4%
Value ($000) $2,449 Shares 132,510 Est. Cost $21.07 Unrealized —
GLD SPDR GOLD SHARES 0.4%
Value ($000) $2,423 Shares 19,285 Est. Cost $118.92 Unrealized —
XLF FINANCIAL SELECT SECTOR SPDR 0.4%
Value ($000) $2,181 Shares 113,029 Est. Cost $19.30 Unrealized —
— VANECK VECTORS RUSSIA ETF 0.3%
Value ($000) $1,514 Shares 80,719 Est. Cost $17.42 Unrealized —
FAF FIRST AMERICAN FINANCIAL 0.2%
Value ($000) $1,239 Shares 31,555 Est. Cost $23.97 Unrealized +26.6%
VNQI VANGUARD GLBL EX-US REAL EST 0.2%
Value ($000) $1,152 Shares 20,503 Est. Cost $54.47 Unrealized —
— ISHARES MORTGAGE REAL ESTATE 0.2%
Value ($000) $1,144 Shares 108,869 Est. Cost $10.29 Unrealized —
PFF ISHARES US PREFERRED STOCK E 0.2%
Value ($000) $1,127 Shares 28,530 Est. Cost $39.23 Unrealized —
BANC BANC OF CALIFORNIA INC 0.2%
Value ($000) $1,050 Shares 60,152 Est. Cost $15.33 Unrealized +8.8%
CMC COMMERCIAL METALS CO 0.2%
Value ($000) $1,045 Shares 64,516 Est. Cost $12.50 Unrealized +8.5%
ONB OLD NATIONAL BANCORP 0.2%
Value ($000) $999 Shares 71,037 Est. Cost $12.65 Unrealized +6.6%
AEO AMERICAN EAGLE OUTFITTERS 0.2%
Value ($000) $983 Shares 55,051 Est. Cost $11.72 Unrealized +18.4%
GBX GREENBRIER COMPANIES INC 0.2%
Value ($000) $950 Shares 26,920 Est. Cost $24.97 Unrealized +0.2%
— SHIP FINANCE INTL LTD 0.2%
Value ($000) $914 Shares 62,045 Est. Cost $14.74 Unrealized —
— COOPER TIRE & RUBBER 0.2%
Value ($000) $907 Shares 23,845 Est. Cost $34.74 Unrealized —
— STEELCASE INC-CL A 0.1%
Value ($000) $800 Shares 57,614 Est. Cost $13.57 Unrealized —
— US NATURAL GAS FUND LP 0.1%
Value ($000) $794 Shares 94,917 Est. Cost $8.37 Unrealized —
— TIME INC 0.1%
Value ($000) $772 Shares 53,339 Est. Cost $15.65 Unrealized —
CNO CNO FINANCIAL GROUP INC 0.1%
Value ($000) $735 Shares 48,135 Est. Cost $15.23 Unrealized -12.9%
— SCORPIO TANKERS INC 0.1%
Value ($000) $688 Shares 148,524 Est. Cost $4.20 Unrealized —
CALM CAL-MAINE FOODS INC 0.1%
Value ($000) $622 Shares 16,140 Est. Cost $35.15 Unrealized -6.7%
NAT NORDIC AMERICAN TANKERS LTD 0.1%
Value ($000) $614 Shares 60,736 Est. Cost $14.56 Unrealized -20.2%
— UNITED STATES DIESEL-HEATING 0.1%
Value ($000) $609 Shares 39,441 Est. Cost $15.44 Unrealized —
DHT DHT HOLDINGS INC 0.1%
Value ($000) $579 Shares 138,266 Est. Cost $3.50 Unrealized -31.1%
POOL POOL CORP 0.1%
Value ($000) $539 Shares 5,698 Est. Cost $74.35 Unrealized +18.7%
— ATWOOD OCEANICS INC 0.1%
Value ($000) $525 Shares 60,415 Est. Cost $10.12 Unrealized —
XLRE REAL ESTATE SELECT SECT SPDR 0.1%
Value ($000) $515 Shares 15,725 Est. Cost $32.75 Unrealized —
UPBD RENT-A-CENTER INC 0.1%
Value ($000) $511 Shares 40,446 Est. Cost $22.96 Unrealized -45.5%
— ALON USA ENERGY INC 0.1%
Value ($000) $501 Shares 62,150 Est. Cost $14.36 Unrealized —
ANF ABERCROMBIE & FITCH CO-CL A 0.1%
Value ($000) $474 Shares 29,857 Est. Cost $19.77 Unrealized -18.1%
HYG ISHARES IBOXX USD HIGH YIELD 0.1%
Value ($000) $461 Shares 5,278 Est. Cost $84.96 Unrealized —
GHYG ISHARES GLOBAL HIGH YIELD CO 0.1%
Value ($000) $460 Shares 9,295 Est. Cost $47.83 Unrealized —
SHYG ISHARES 0-5 YR HY CORP BOND 0.1%
Value ($000) $459 Shares 9,718 Est. Cost $46.50 Unrealized —
DWX SPDR S&P INTER DVD ETF 0.1%
Value ($000) $437 Shares 11,889 Est. Cost $36.30 Unrealized —
EMHY ISHARES EMERGING MARKETS HIG 0.1%
Value ($000) $430 Shares 8,500 Est. Cost $47.77 Unrealized —
EMB ISHARES JP MORGAN USD EMERGI 0.1%
Value ($000) $429 Shares 3,659 Est. Cost $111.82 Unrealized —
— POWERSHARES S&P 500 BUYWRITE 0.1%
Value ($000) $428 Shares 20,333 Est. Cost $20.79 Unrealized —
VYM VANGUARD HIGH DVD YIELD ETF 0.1%
Value ($000) $425 Shares 5,896 Est. Cost $69.75 Unrealized —
IEI ISHARES 3-7 YEAR TREASURY BO 0.1%
Value ($000) $381 Shares 3,012 Est. Cost $125.96 Unrealized —
IEF ISHARES 7-10 YEAR TREASURY B 0.1%
Value ($000) $381 Shares 3,402 Est. Cost $110.34 Unrealized —
— TEEKAY TANKERS LTD-CLASS A 0.1%
Value ($000) $347 Shares 137,077 Est. Cost $6.51 Unrealized —
— CONVERGYS CORP 0.1%
Value ($000) $305 Shares 10,014 Est. Cost $25.19 Unrealized —
PLUG PLUG POWER INC 0.1%
Value ($000) $299 Shares 175,000 Est. Cost $2.40 Unrealized -30.7%
CHE CHEMED CORP 0.0%
Value ($000) $264 Shares 1,869 Est. Cost $104.59 Unrealized +28.6%
MTN VAIL RESORTS INC 0.0%
Value ($000) $253 Shares 1,613 Est. Cost $107.94 Unrealized +41.2%
MZTI LANCASTER COLONY CORP 0.0%
Value ($000) $252 Shares 1,910 Est. Cost $118.56 Unrealized +10.1%
— STERLING BANCORP/DE 0.0%
Value ($000) $232 Shares 13,234 Est. Cost $15.72 Unrealized —
WST WEST PHARMACEUTICAL SERVICES 0.0%
Value ($000) $224 Shares 3,000 Est. Cost $70.21 Unrealized +9.3%
— 1347 PROPERTY INSURANCE HOLD 0.0%
Value ($000) $223 Shares 35,750 Est. Cost $7.45 Unrealized —
MMS MAXIMUS INC 0.0%
Value ($000) $221 Shares 3,902 Est. Cost $61.50 Unrealized -5.4%
MNRO MONRO MUFFLER BRAKE INC 0.0%
Value ($000) $218 Shares 3,563 Est. Cost $70.68 Unrealized -14.2%
ZD J2 GLOBAL INC 0.0%
Value ($000) $217 Shares 3,259 Est. Cost $67.22 Unrealized -13.4%
BFAM BRIGHT HORIZONS FAMILY SOLUT 0.0%
Value ($000) $215 Shares 3,217 Est. Cost $65.08 Unrealized +3.5%
HELE HELEN OF TROY LTD 0.0%
Value ($000) $210 Shares 2,439 Est. Cost $99.38 Unrealized -5.7%
— AMSURG CORP 0.0%
Value ($000) $201 Shares 3,000 Est. Cost $75.89 Unrealized —
CSGS CSG SYSTEMS INTL INC 0.0%
Value ($000) $190 Shares 4,609 Est. Cost $35.23 Unrealized -2.0%
TXRH TEXAS ROADHOUSE INC 0.0%
Value ($000) $184 Shares 4,705 Est. Cost $37.72 Unrealized +1.5%
ACH OWENS & MINOR INC 0.0%
Value ($000) $182 Shares 5,234 Est. Cost $33.36 Unrealized -6.2%
— AGENUS INC 0.0%
Value ($000) $172 Shares 24,000 Est. Cost $4.61 Unrealized —
— BOFI HOLDING INC 0.0%
Value ($000) $157 Shares 7,026 Est. Cost $21.11 Unrealized —
— INTREXON CORP 0.0%
Value ($000) $118 Shares 4,200 Est. Cost $30.45 Unrealized —
WIP SPDR CITI INTERNATIONAL GOVE 0.0%
Value ($000) $115 Shares 2,016 Est. Cost $57.04 Unrealized —
TIP ISHARES TIPS BOND ETF 0.0%
Value ($000) $115 Shares 985 Est. Cost $114.79 Unrealized —
FLOT ISHARES FLOATING RATE BOND E 0.0%
Value ($000) $114 Shares 2,248 Est. Cost $50.62 Unrealized —
IGSB ISHARES 1-3 YEAR CREDIT BOND 0.0%
Value ($000) $114 Shares 1,077 Est. Cost $105.95 Unrealized —
LQD ISHARES IBOXX INVESTMENT GRA 0.0%
Value ($000) $113 Shares 921 Est. Cost $120.09 Unrealized —
MUB ISHARES NATIONAL MUNI BOND E 0.0%
Value ($000) $113 Shares 1,005 Est. Cost $111.71 Unrealized —
— RESONANT INC 0.0%
Value ($000) $109 Shares 20,000 Est. Cost $3.17 Unrealized —
— AV HOMES INC 0.0%
Value ($000) $108 Shares 6,500 Est. Cost $12.33 Unrealized —
— GLOBAL SHIP LEASE INC-CL A 0.0%
Value ($000) $103 Shares 62,000 Est. Cost $1.82 Unrealized —
VUZI VUZIX CORP 0.0%
Value ($000) $93 Shares 10,500 Est. Cost $6.17 Unrealized +30.4%
— JERNIGAN CAPITAL INC 0.0%
Value ($000) $86 Shares 4,500 Est. Cost $15.12 Unrealized —
— RMG NETWORKS HOLDING CORP 0.0%
Value ($000) $84 Shares 95,000 Est. Cost $0.93 Unrealized —
— SILVER SPRING NETWORKS INC 0.0%
Value ($000) $64 Shares 4,500 Est. Cost $14.14 Unrealized —
— BIOTIME INC 0.0%
Value ($000) $43 Shares 11,000 Est. Cost $3.91 Unrealized —
— SILVER RUN ACQUISITION COR-A 0.0%
Value ($000) $41 Shares 2,600 Est. Cost $15.77 Unrealized —
— AQUA METALS INC 0.0%
Value ($000) $40 Shares 4,500 Est. Cost $8.89 Unrealized —
— CEMTREX INC 0.0%
Value ($000) $38 Shares 9,500 Est. Cost $4.00 Unrealized —
— MEDLEY CAPITAL CORP 0.0%
Value ($000) $38 Shares 5,000 Est. Cost $7.60 Unrealized —
— ZIOPHARM ONCOLOGY INC 0.0%
Value ($000) $37 Shares 6,500 Est. Cost $7.36 Unrealized —
— HUTTIG BUILDING PRODUCTS INC 0.0%
Value ($000) $36 Shares 6,200 Est. Cost $5.81 Unrealized —
— OVASCIENCE INC 0.0%
Value ($000) $34 Shares 4,800 Est. Cost $7.06 Unrealized —
— SYNTHETIC BIOLOGICS INC 0.0%
Value ($000) $30 Shares 17,500 Est. Cost $2.04 Unrealized —
— JONES ENERGY INC - A 0.0%
Value ($000) $27 Shares 7,500 Est. Cost $3.60 Unrealized —
— HISTOGENICS CORP 0.0%
Value ($000) $26 Shares 8,000 Est. Cost $2.14 Unrealized —
— FINJAN HOLDINGS INC 0.0%
Value ($000) $24 Shares 14,164 Est. Cost $1.69 Unrealized —
— FIBROCELL SCIENCE INC 0.0%
Value ($000) $18 Shares 25,000 Est. Cost $1.92 Unrealized —
— ORAGENICS INC 0.0%
Value ($000) $16 Shares 35,000 Est. Cost $0.73 Unrealized —