Ellington

The Firm

Stewards of Capital

More than twenty years since the firm’s founding, Ellington still employs the same core investment principle: seek to capture upside in good markets and control downside in difficult markets, thereby delivering attractive returns to investors over time, without taking excessive risk.

Our core competencies include deep expertise in diversified credit, mortgage, and related markets, and time-honed experience developing quantitative macro and equities strategies.

Our credit investment capabilities include non-agency RMBS, CMBS, CLOs, other asset-backed securities, mortgage- and credit-related derivatives, consumer loans, non-performing and re-performing mortgage loans, corporate debt, and equity securities, while our prepayment capabilities include agency and non-agency mortgage derivatives, agency pools, and other prepayment-sensitive instruments.

We have committed substantial intellectual capital to the development of loan-level prepayment and credit models in order to gain insight into the behavior of structured products across interest rate and credit environments and make informed investment and hedging decisions for our clients.

In addition to our core mortgage and structured product expertise, we have also developed diverse quantitative macro capabilities, including use of systematic strategies to invest in global equities, futures, interest rate, options, synthetic credit, and foreign exchange markets.

INFRASTRUCTURE AND TECHNOLOGY

Modeling, research and infrastructure are at Ellington’s core.

Ellington devotes significant operational resources to and is heavily invested in research and analytics, risk management, information infrastructure, and legal, compliance, and back office functions. A significant portion of Ellington’s employees are in research and infrastructure development.

Our proprietary infrastructure includes integrated interest rate and sophisticated loan-level credit and prepayment models that provide deep insight into value and risk across a wide range of instruments.