Scion Asset Management, LLC 13F holdings and portfolio analysis

Directly following the baseline means accepting a highly concentrated three-stock portfolio with no diversification benefit. The strategy view shows MOH at 39.11%, LULU at 37.47%, and SLM at 23.42%, with top 5, top 10, and top 20 concentration all at 100.0%. The reward side was strong, with 21.39% annualized return, 20.83 alpha, and 543.82% total return, but the cost was a -66.35% max drawdown and 296 trades with total estimated cost of 10.535. The baseline also carries disclosure-lag risk because implementation follows delayed filing dates.

Two recent periods capture the baseline trade-off well. In 2025-03-31, the baseline gained 49.73% versus SPY’s 9.22%, for +40.51% excess return, but turnover was 154.69 with 7 trades, showing that large upside often came with heavy repositioning. On the other hand, 2023-09-30 lost 1.36% while SPY gained 10.11%, a -11.46% excess gap, with turnover still high at 102.37 and 14 trades. A more favorable defensive example was 2024-12-31, when baseline lost 2.00% versus SPY down 3.63%, for +1.62% excess return. These periods show that baseline can strongly outperform, but the path is uneven and turnover remains meaningful.

Before accepting the baseline, a user should inspect three things: concentration, drawdown path, and turnover. Concentration is obvious from the latest baseline holdings—MOH 39.11%, LULU 37.47%, and SLM 23.42%—with top 5 concentration at 100.0%. The drawdown path matters because max drawdown reached -66.35%, despite a solid 0.63 Sharpe and 0.87 Sortino. Turnover also matters because the backtest logged 296 trades and 10.535 of estimated total cost, with several recent periods above 100 turnover. If those three are uncomfortable, the baseline is probably too concentrated to mirror directly.