Greenlight Capital · David Einhorn
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
- $799M
- Holdings
- 15
- Top-10 weight
- 97%
- As of
- 2023-12-31
- Filed
- 2024-03-15
Return attribution — beta or stock-picking?
Sum of monthly ERM3 attribution over the trailing 12 months (2023-01-31 → 2023-12-31), modeled subset of holdings. Roughly 40% of the gross return came from stock selection (residual return) — most of the return came from factor exposure, not selection.
Gross
+27.0%
Market
+28.1%
Sector
-7.3%
Subsector
-0.2%
Stock selection
+10.9%
Top holdings
15 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 | BBG00J8C… | 26.5% | $212M | — |
| 2 | BHF | 20.2% | $161M | 96% |
| 3 | KD | 16.5% | $132M | 92% |
| 4 | ALIT | 9.9% | $79M | — |
| 5 | LIVN | 8.0% | $64M | 73% |
| 6 | VTRS | 4.5% | $36M | 75% |
| 7 | BBG00ZMY… | 3.8% | $30M | — |
| 8 | GPOR | 3.7% | $30M | 70% |
| 9 | AER | 2.3% | $19M | 87% |
| 10 | KVUE | 1.5% | $12M | 83% |
| 11 | BBG001LW… | 1.2% | $10M | — |
| 12 | GLPG | 0.8% | $7M | — |
| 13 | SHC | 0.7% | $6M | 74% |
| 14 | TEVA | 0.4% | $3M | 88% |
| 15 | NUVB | 0.0% | $52842 | 89% |
100% of reported AUM is in the ERM3 model universe; attribution and risk shares cover that subset. Source: SEC Form 13F-HR, filed 2024-03-15.
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