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Funds (13F)

Greenlight Capital Inc

Backtest from 16 Aug 2013 to 31 May 2024 · weekly · hypothetical

Watch this strategy
Return a year
+18.2%
S&P 500 +13.3%
Last 12 months
+29.3%
S&P 500 +27.4%
Sharpe ratio
0.65
S&P 500 0.76
Biggest drop
−52.7%
S&P 500 −31.8%
$10.0k$20.0k$40.0k 201320152017201920212023 $60.8k$38.6k
Greenlight Capital IncS&P 500 $10,000 in Greenlight Capital Inc from 16 Aug 2013 against the S&P 500 (total return) over the same dates, marked weekly, log scale. Hypothetical: before taxes and trading costs.

About

Copies Greenlight Capital Inc's quarterly 13F holdings in the companies we cover, weighted by reported value: it buys on the first trading day after each 13F is filed (up to 45 days after the quarter) and holds until the next filing. A 13F shows long US-listed positions only, at the quarter's end, so this misses shorts, cash, bonds, non-US holdings and trading within the quarter.

Greenlight Capital Inc's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+18.2%+13.3%
Total return+508%+286%
Last 12 months+29.3%+27.4%
Last 3 months+6.8%—
Last month+4.3%—
This year so far+10.3%—
Volatility a year30.5%16.3%
Sharpe ratio0.650.76
Biggest drop−52.7%−31.8%
Beta to the S&P 5001.501.00
Alpha a year (t-statistic)+1.3% (0.23)—
Share of weeks up56%—

Sharpe ratio uses returns above the 3-month Treasury bill rate. Alpha is the yearly return left after allowing for the strategy's exposure to the S&P 500 (CAPM); a t-statistic below about 2 means it cannot be told apart from luck.

Insights

CompanyWeightHeld sinceReturn since
GRBK41.7%——
BHF11.3%——
KD9.3%——
THC7.0%——
LIVN4.5%——
GPK4.4%——
WFRD3.1%——
VTRS2.6%——
FCNCA2.5%——
NPWR2.1%——
GPOR2.1%——
SDRL1.8%——
HRI1.4%——
FHN1.4%——
AER1.3%——
KVUE0.8%——
GPRO0.7%——
COYA0.7%——
LKFT0.5%——
SHC0.4%——
TEVA0.2%——
GANX0.1%——
NUVB0.0%——

Weighted by reported value in the latest 13F, held until the next filing.

PeriodReturn a yearS&P 500SharpeS&P 500Biggest dropBetaAlpha (t)
Whole backtest16 Aug 2013 to 31 May 2024+18.2%+13.3%0.650.76−52.7%1.50+1.3% (0.23)
2018 onwards5 Jan 2018 to 31 May 2024+17.2%+12.6%0.550.60−52.7%1.54+2.5% (0.29)
Last three years4 Jun 2021 to 31 May 2024+19.1%+9.3%0.610.42−30.2%1.41+9.1% (0.78)
Last year2 Jun 2023 to 31 May 2024+24.1%+25.1%0.751.43−21.0%1.64−9.7% (−0.60)
DateCompanyAction
16 Feb 2024VTRSBought
16 Feb 2024TEVABought
16 Feb 2024KVUEBought
16 Feb 2024AERBought
18 Aug 2023SHCBought
18 Aug 2023SDRLBought
18 Aug 2023NPWRBought
18 Aug 2023HRIBought
18 Aug 2023FHNBought
18 Aug 2023AAPBought
19 May 2023FCNCABought
17 Feb 2023THCBought
17 Feb 2023GPORBought
17 Feb 2023FNKOBought
17 Feb 2023COYABought
18 Nov 2022INTCBought
19 Aug 2022RIVNBought
19 Aug 2022CNXCBought
20 May 2022WFRDBought
20 May 2022VSXYBought
20 May 2022SNXBought
20 May 2022REZIBought
20 May 2022PLBYBought
20 May 2022NUVBBought
20 May 2022MYPSBought

Dated at the rebalance that made the change.

DateCompanyAction
16 Feb 2024REZISold
16 Feb 2024AAPSold
17 Nov 2023CPRISold
18 Aug 2023GPNSold
18 Aug 2023CNXCSold
19 May 2023VSXYSold
19 May 2023FNKOSold
19 May 2023CNXSold
17 Feb 2023RIVNSold
17 Feb 2023INTCSold
18 Nov 2022PLBYSold
18 Nov 2022INSWSold
18 Nov 2022CCSold
18 Nov 2022ASTSSold
19 Aug 2022SNXSold
19 Aug 2022MYPSSold
19 Aug 2022INTCSold
19 Aug 2022GPORSold

Dated at the rebalance that made the change.

Backtests are hypothetical and use today's listed companies only, which flatters results. Past performance does not predict future returns. This is research, not investment advice. How we backtest