Can We Make Money By Imitating David Einhorn’s Greenlight Capital?

Insider Monkey

Research

9 Pages

This paper examines whether investors can improve results by imitating David Einhorn’s historical 13F filings, finding that his strongest ideas consistently came from smaller companies rather than his largest holdings. It also introduces two healthcare focused small cap ideas from hedge fund manager Michael Castor, whose earlier recommendation gained more than 100% in just over three months.

Key Takeaways

Small Cap Edge: Einhorn’s small cap holdings returned 1.35% per month from 2008 to 2012 versus 0.29% for the S&P 500, producing 0.66% monthly four factor alpha.
Largest Holdings Lagged: Imitating Einhorn’s top 5 positions generated -0.29% average monthly returns from 2008 to 2012, underperforming the S&P 500’s 0.29% monthly return.
Healthcare Manager Spotlight: Sio Capital returned 10.4% annually since 2006 with a 0.15 beta, while an earlier featured small cap recommendation appreciated more than 100% in just over 3 months.
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