Basso Capital Management, L.P. has filed its Form 13F-HR with the Securities and Exchange Commission, disclosing a portfolio of 160 equity securities held as of September 30, 2026. The filing lists the firm's address as 1266 East Main Street, 4th Floor, Stamford, CT, and identifies Brent Wofsey as the Chief Compliance Officer.
The portfolio is heavily weighted toward exchange-traded funds (ETFs), with a significant number of positions held in broad market index funds and sector-specific ETFs. Major holdings include the Vanguard S&P 500 ETF (778,494 shares), the Vanguard Total Stock Market ETF (71,195 shares), and the State Street SPDR S&P 500 ETF (78,398 shares). The firm also holds substantial positions in BlackRock ETF Trust funds, such as the iShares Systematic Alpha ETF (34,240 shares) and the iShares AAA CLO ETF (48,270 shares).
Among individual common stocks, the filing shows significant positions in Blue Owl Capital Inc. Class A (112,000 shares), Enterprise Products Partners L.P. (35,860 shares), and First Trust Exchange-Traded Fund Senior Loan Fund (67,037 shares). Other notable individual stock holdings include American Express Co. (1,003 shares), Bank of America Corp. (4,239 shares), and Costco Wholesale Corporation (546 shares).
The portfolio also includes a mix of international and specialty ETFs, such as the iShares MSCI Emerging Markets China ETF (23,994 shares), the iShares Silver Trust (14,000 shares), and the VanEck Semiconductor ETF (15,187 shares). Additionally, the filing lists several put options on the State Street SPDR S&P 500 ETF, totaling 45,500 shares.
