Citadel Advisors · Ken Griffin
Latest 13F holdings with ERM3 risk decomposition — how much of the portfolio's return is market beta versus genuine stock-picking, and where the residual risk concentrates.
- Reported AUM
- $424M
- Holdings
- 3536
- Top-10 weight
- 31%
- As of
- 2026-03-31
- Filed
- 2026-06-14
Return attribution — beta or stock-picking?
Sum of monthly ERM3 attribution over the trailing 12 months (2025-04-30 → 2026-03-31), modeled subset of holdings. Roughly 13% of the gross return came from stock selection (residual return) — most of the return came from factor exposure, not selection.
Gross
+22.4%
Market
+18.1%
Sector
-1.1%
Subsector
+1.2%
Stock selection
+3.0%
Top holdings
2361 reported positions; top 15 shown. “Stock-specific” is the share of each position's variance not explained by market, sector, or subsector factors.
| # | Holding | Weight | Value | Stock-specific |
|---|---|---|---|---|
| 1 | TSLA | 9.3% | $34.5B | 46% |
| 2 | NVDA | 7.7% | $28.8B | 47% |
| 3 | AAPL | 4.4% | $16.3B | 78% |
| 4 | META | 4.2% | $15.8B | 59% |
| 5 | AMZN | 3.5% | $13.2B | 48% |
| 6 | MSFT | 3.0% | $11.2B | 52% |
| 7 | NFLX | 2.4% | $8.9B | 81% |
| 8 | GOOG | 2.2% | $8.1B | 63% |
| 9 | AMD | 2.0% | $7.6B | 48% |
| 10 | PLTR | 2.0% | $7.6B | 54% |
| 11 | MU | 1.8% | $6.7B | 41% |
| 12 | LLY | 1.5% | $5.4B | 57% |
| 13 | ORCL | 1.1% | $4.2B | 63% |
| 14 | GS | 1.1% | $4.2B | 39% |
| 15 | HOOD | 0.9% | $3.2B | 51% |
97% of reported AUM is in the ERM3 model universe; attribution and risk shares cover that subset. Source: SEC Form 13F-HR, filed 2026-06-14.
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