Scion Asset Management · Michael Burry
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
- $55M
- Holdings
- 3
- Top-10 weight
- 100%
- As of
- 2025-09-30
- Filed
- 2025-11-03
Return attribution — beta or stock-picking?
Sum of monthly ERM3 attribution over the trailing 12 months (2024-10-31 → 2025-09-30), modeled subset of holdings. Stock selection (residual return) detracted about 26% of the gross return over this window — the factor legs carried the book.
Gross
+19.4%
Market
+26.2%
Sector
-2.5%
Subsector
+0.0%
Stock selection
-5.1%
Top holdings
3 reported positions; top 3 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 | MOHMolina Healthcare, Inc. | 43.5% | $24M | 82% |
| 2 | LULUlululemon athletica inc. | 32.4% | $18M | 72% |
| 3 | SLMSLM Corp | 24.2% | $13M | 76% |
100% of reported AUM is in the ERM3 model universe; attribution and risk shares cover that subset. Source: SEC Form 13F-HR, filed 2025-11-03.
How concentrated is this book?
Quarter-end concentration across 32 filings from 2015-12-31 to 2025-09-30, with the latest filing set against this manager's own median.
- Effective N
- 2.8
- median 8.1
- Top 5 weight
- —
- no median
- Top 10 weight
- 100.0%
- median 100.0%
- Weight HHI
- —
- no median
Effective N is inverse-Herfindahl breadth, not a holding count: it falls well below the number of positions when one name dominates, which is the case worth seeing. This book held 3 positions at 2025-09-30.
Interrogate this portfolio
Ask the AI risk analyst what changed last quarter, where the concentration risk sits, or how your portfolio overlaps with Michael Burry's.