Ellington Management Group

The firm was founded in December 1994 by Michael Vranos and five partners with an initial $100 million in funding from Ziff brothers investments. Five of the founding partners previously worked in Kidder, Peabody & Co’s mortgage-backed securities (MBS) trading group, of which Vranos was the senior managing director.^[3] Geanakoplos, one of the six founding partners, served as Ellington’s Head of Research and has concurrently held a faculty appointment at Yale University, where he is the James Tobin Professor of Economics.^[4][5] Laurence Penn, previously a managing director and co-head of collateralized mortgage obligation (CMO) origination and trading at Lehman Brothers, joined as a founding partner in 1995. Penn had met Vranos at Harvard, where both men were undergraduate mathematics majors, and they were friends from their freshman year onward.^[6][7]

Vranos had joined Kidder in 1983 after graduating magna cum laude, Phi Beta Kappa, with a degree in mathematics from Harvard University. He rose quickly, becoming a managing director in his twenties, and in 1989 was put in charge of Kidder's mortgage-backed securities desk. Under Vranos, Kidder Peabody became one of the largest participants in the mortgage-backed securities market. From 1990-1994, the firm underwrote more than $200 billion in collaterized mortgage obligations (CMOs), representing about 20% of the total issuance during that period and nearly twice the volume of its closest competitor. By the early 1990s Vranos was consistently ranked among Wall Street's highest-paid traders.^[8]

Ellington was seeded with $100 million in capital from Ziff Brothers Investments, as well as $10 million of Vranos’s own capital.^[8] By the end of 1995 the firm had become a three-fund operation with a variety of assets.^[6]

Ellington was affected by the Long-Term Capital Management debacle in 1998.^[9] For a few days in mid-October, the firm sold mortgage securities to lower its funds' leverage.^[10][11] The firm issued a public statement describing its borrowings to quell public fears, which was considered unusual for hedge funds at the time.^[12] It clarified that although it was meeting margin calls by unloading hundreds of millions of dollars in assets over a two-day period, losses were limited.^[13] One report suggests some of Ellington's hedge funds may have temporarily lost around 25% of their value as they liquidated $2 billion in assets^[14] after allegedly missing a margin call from UBS.^[15][16] However, from its December 1994 inception through April 2004, the firm delivered a composite annualized return of 15.4%, after fees, weathering both the 1998 crisis and a sharp bond-market selloff in mid-2003.^[8]

In November 2002, the independent board of Beacon Hill Asset Management LLC, whose founders had been sued by the U.S. Securities and Exchange Commission for fraud, selected Ellington to take over and liquidate the firm's remaining mortgage-derivative holdings; by 2003 Ellington had finished liquidating the assets, netting $323 million after fees for Beacon Hill's shareholders, roughly 8% more than the portfolio's value when Ellington took over.^[8]

Various of Ellington's funds have invested in distressed mortgage-backed securities over time.^[17] By 2004 their $3 billion in hedge fund assets included mortgage derivatives.^[18] In October 2007, as the future credit performance of residential mortgages became increasingly uncertain, one of the funds is reported to have fallen in value by 22%^[19] and to have temporarily suspended redemptions pending greater clarity around valuations.^[20] As of 2007, Ellington Management's assets included $1.2 billion in a managed account, $5.4 billion in hedge funds and private accounts, and almost $23 billion in collateralized debt obligations.^[14] In 2014 an office was opened in London, England in order to expand into the European market.^[21]

In an interview with Bloomberg in July 2020, Ellington’s Vranos explained that the firm had put $3 billion to work in non-agency and other mortgage securities since March of that year when the Covid pandemic began.^[22] An Ellington residential-mortgage-debt fund returned more than 28% over its lifespan between 2020 and mid-2022. A second iteration of the fund returned 24% between the start of 2023 and January 2024.^[23]

As of 2026, Ellington managed strategies across residential and commercial mortgages, consumer debt, corporate credit and leveraged loans in U.S. and European markets. Ellington also invested in RMBS and CMBS, corporate CLOs, consumer-loan ABS, mortgage derivatives, residential transition and reverse mortgage loans, and mortgage-related operating companies.^[24][25]

Affiliates of Ellington Management Group manage or advise two publicly-traded vehicles: Ellington Financial Inc (NYSE: EFC) and Ellington Credit Company (NYSE: EARN).^[24][25]

In June 2007, Ellington Financial LLC was launched.^[14] The offering primarily targeted investments in non-agency mortgage-backed securities. The deal was underwritten by Friedman Billings Ramsey and although originally slated for a $750 million offering,^[14] evolving market conditions only allowed for a $250 million capital raise.^[19] Before the private placement, a New York Times columnist noted that a portion of the private placement might be used to purchase risky tranches from bankrupt subprime lender New Century Financial Corporation and noted the potential difficulty in valuing such instruments.^[14] In October 2010, Ellington Financial LLC went public, debuting on the NYSE.^[26] According to its public filings, Ellington Financial invests primarily in non-agency mortgage-backed securities, but also holds agency pools and other mortgage-related securities, and had a total return of 59% between its August 2007 inception and the end of 2011.^[27]

Ellington Residential Mortgage REIT, chaired and founded by Mike Vranos, went public on the NYSE after its IPO in late 2013, trading under the ticker symbol EARN.^[28]

Ellington Management Group and its founder, Michael Vranos, have been longtime supporters of Help For Children ("HFC"), formerly known as Hedge Funds Care, an international charity dedicated to the prevention and treatment of child maltreatment. Vranos serves on the organization’s Board of Directors and received the organization's Lifetime Award for Caring in 2007.^[29] He was responsible for starting HFC Rocks, which is a benefit concert that unites finance professionals to raise millions of dollars for HFC. The first HFC Rocks charity concert took place in 2017 with live performances by the rock bands The Goo Goo Dolls and The Record Company. The HFC Rocks events occur annually, with other notable bands including Joan Jett, Billy Idol, Counting Crows, and Foreigner.^[30]