Stocks/Funds/CIK 1570717

Waterfall Asset Management, LLC

concentrated
Quarterly 13F filings · Latest period 2026-03-31 · CIK 1570717
Assets
$114M
+307.7% YoY
Holdings
18
Lifetime alpha vs market
-38.61% annual
Average hold time
0.8 yr
median 0.8 yr

Quarterly history

Cum return -53% vs S&P +41% · α -94% lifetimeAUM $114M · peak $114MFlow $21M (+22%)2023-122024-062024-122025-062025-122026-03
AUM ($B)fundS&P 500(gap = α)/ Flow in/out

Behavior signals (lifetime)

Dip response
+2.72%
adds when stocks drop
when a holding falls −10%+
Middle response
+5.52%
steady accumulation
Rally response
+12.16%
adds into rallies
when a holding rises +10%+

Top positions · 18

Ticker$ value% portYoYHold time
CPTCamden Property Trust$13M11.2%-17.8%1.0 yr
AVBAvalonBay Communities, I$12M10.7%-21.8%0.5 yr
APLEApple Hospitality REIT, $11M9.4%-4.2%1.0 yr
RITM-PDRithm Capital Corp.$10M8.5%2.0 yr
MRPMillrose Properties, Inc$9M8.0%+12.1%0.5 yr
BRSPBrightSpire Capital, Inc$8M7.2%+10.0%1.0 yr
RCReady Capital Corporatio$6M5.5%-66.0%2.5 yr
PKPark Hotels & Resorts In$6M5.4%+5.7%1.0 yr
AATAmerican Assets Trust, I$5M4.5%-2.1%0.8 yr
IVTInvenTrust Properties Co$5M4.4%+6.4%0.3 yr
VNOVornado Realty Trust$4M3.9%-28.2%0.3 yr
DRHDiamondRock Hospitality $4M3.4%+26.1%0.3 yr
DXDynex Capital, Inc.$4M3.3%+13.2%0.8 yr
GNLGlobal Net Lease, Inc.$4M3.3%+28.4%1.3 yr
ESRTEmpire State Realty Trus$4M3.2%-32.3%0.3 yr

Portfolio composition (YoY)

Industry mix
REIT - Residential29.9%$34M
REIT - Mortgage20.0%-52.9pp$23M
REIT - Diversified18.2%$21M
REIT - Hotel & Motel18.2%$21M
REIT - Retail4.4%$5M
REIT - Office3.9%$4M
Unknown3.0%-16.6pp$3M
REIT - Industrial2.4%$3M
Country
US97.0%+16.6pp
Unknown3.0%-16.6pp
Top 5: 47.8% · Top 10: 74.8% · Top 25: 100.0%

Winners

TickerPrev $PnLYoY %
RC$20M-0.01B-66.0%

Losers

TickerPrev $PnLYoY %
RC$20M-0.01B-66.0%

Top buys this quarter · 13

MRP Millrose Properties, Inc.+$6M
IVT InvenTrust Properties Corp.new+$5M
VNO Vornado Realty Trustnew+$4M
DRH DiamondRock Hospitality Compannew+$4M
ESRT Empire State Realty Trust, Incnew+$4M
BRSP BrightSpire Capital, Inc.+$4M
KREF KKR Real Estate Finance Trust new+$3M
CPT Camden Property Trust+$2M
PK Park Hotels & Resorts Inc.+$2M
AVB AvalonBay Communities, Inc.+$2M

Top sells this quarter · 7

NSA National Storage Affiliates Trexit$11M
ARI Apollo Commercial Real Estate exit$6M
FVR FrontView REIT, Inc.exit$3M
AAT American Assets Trust, Inc.$2M
LINE Lineage, Inc.$1M
GNL Global Net Lease, Inc.$4M
$0M

Quarterly history (TTM returns)

PeriodAUM# PosReturn (1yr)SPY (1yr)Alpha (1yr)Flow
2026-03-31$114M18-23.83%+17.59%-41.42%+0.02B
2025-12-31$97M15-38.85%+17.72%-56.57%+0.04B
2025-09-30$69M15-36.27%+17.52%-53.78%+0.03B
2025-06-30$37M9-35.08%+14.94%-50.02%+0.01B
2025-03-31$28M4-33.17%+8.30%-41.48%+0.01B
2024-12-31$30M3-19.57%+24.89%-44.46%-0.00B
2024-09-30$33M4-0.73%+5.75%-6.48%-0.03B
2024-06-30$60M17-6.01%+4.38%-10.39%+0.02B
2024-03-31$38M2-7.85%+10.39%-18.24%-0.00B
2023-12-31$43M2