Greenlight Capital, Inc. 13F holdings and portfolio analysis

Directly following the baseline exposes an investor to a concentrated small-value portfolio with meaningful idiosyncratic risk. In the baseline artifact, the top position is 21.5%, top 10 concentration is 67.3%, and top 20 is 90.02%. Sector exposure is also tilted, with Consumer Discretionary at 34.41%, Energy 14.66%, Health Care 14.18%, and Industrials 9.92%. Even though beta is only 0.48, the baseline still suffered a -28.59% max drawdown and produced negative alpha of -2.57, so the main exposure is not market beta but concentrated stock selection risk combined with filing-delay implementation risk across 39 periods and 539 transactions.

Recent baseline periods show frequent modest underperformance with occasional sharper misses. In 2025-03-31, the baseline returned -0.12% versus SPY at 9.22%, for -9.33% excess return with 11.05 turnover and 11 trades. In 2024-06-30, baseline returned 3.31% versus 9.83% for -6.52% excess, and in 2023-09-30 it returned 1.20% versus 10.11% for -8.91% excess. On the downside-protection side, 2024-12-31 returned -4.35% versus SPY at -3.63%, a smaller absolute loss than some prior misses but still negative excess. These periods capture the trade-off: lower beta and moderate turnover, but repeated inability to keep up in stronger market advances.

A user should inspect three things next: concentration, turnover, and period-level underperformance. Concentration is high, with baseline top 5 at 47.41% and top 10 at 67.26%, so investors need comfort with single-name dependence. Turnover was not trivial even in the passive baseline, reaching 25.15 in 2025-06-30 and 16.13 in 2024-09-30, with delayed 13F execution across 539 total transactions. Finally, period results show repeated lag versus SPY, including -9.33% excess in 2025-03-31 and -6.52% excess in 2024-06-30. If those three features are unacceptable, the baseline is probably not the right implementation to copy blindly.