VARA: Liquidity review
June 30, 2026 disclosed holdings · October 16, 2026 market data
Principal findings
Exit time by position and participation
Exit estimates hold June 30 share counts constant. Adjust participation and market capacity to test how the reported positions compare with available daily volume.
Marked basket weight requiring more than 10 sessions
Marked basket weight requiring more than 10 sessions
The threshold changes with participation. The solid line uses the selected capacity; the dashed line holds capacity at 100%. The marker identifies the selected scenario.
Twelve longest estimated exits
Top 12 positions by estimated trading sessions. Current scenario.
Position weight versus estimated exit time
Each point represents a disclosed non-option position; its area reflects October 16 marked value, subject to a minimum visible point size. Select a point to inspect the underlying data.
Historical portfolio overlap — June 30
Weights and reporting counts below refer to June 30, 2026 disclosures. They do not establish current holdings or current ownership.
Situational Awareness LP (SALP) had the highest measured overlap with VARA at 37.3%, based on their June 30 non-option portfolios. These are pre-July-sale holdings. Reuters reported on September 11 that SALP had sold most of its public equities to Citadel after July losses. The June 30 overlap therefore does not measure current shared exposure. The cited report does not establish that SALP had closed. All overlap weights in this section use June 30 reported values, rather than October 16 marked values.
June 30 overlap by reporting manager
Ten highest overlap scores. Sum of minimum normalized June 30 security weights; bars use a common 0–100% scale.
June 30 reporting frequency by security
Ten most frequently reported VARA securities among the 25 peers selected by historical portfolio overlap.
Position-level estimates and source data
Sort any numeric column. Click a security to inspect its calculation and source data. Baseline columns always use full market capacity.
Methodology and source notes
Exit-capacity methodology
(participation × median dollar volume × capacity)
Marked position = disclosed non-option shares × cutoff closing price. Dollar volume = each session's closing price × reported volume. The denominator is the median of the latest 20 completed sessions through the cutoff.
Model scope
Positions are modeled independently. An estimate below one trading day represents a fraction of the assumed daily capacity; actual execution time and cost can differ. Illiquidity can amplify price pressure when selling becomes urgent, but these disclosures cannot establish whether selling is forced or estimate fund losses. No price impact, spreads, commissions, taxes, borrow, order-book depth or reaction by other investors is modeled. Portfolio positions could trade concurrently; adding their exit days is not a portfolio liquidation time.
Historical overlap: universe and denominators
Each manager's non-option 13F market values are normalized to 100%. Pairwise overlap sums the smaller weight for every shared security. It is a similarity statistic, not a probability of joint selling. Counts are reporting filings, not beneficial owners. Related managers are not deduplicated.
Missing data and corporate actions
Rows without verified prices, sufficient daily observations or a confident security mapping remain visible but are excluded from market-derived estimates. No zero is substituted for an unknown observation. Splits between the holdings date and the market cutoff require an adjusted share count.
Source documents
- VARA Q2 2026 SEC 13F information table
June 30 holdings; filed August 17, 2026. 123 rows, including options. - Manager filing history and identity
- Original SALP liquidation-risk methodology
Analytical structure adapted; data and identity are VARA-specific. - Market data source details appear in each position drawer.
- Historical peer data: coverage details below the comparison charts.
Issues requiring current portfolio information
- Which disclosed holdings would still be material if trading capacity fell by half?
- Is the apparent liquidity bottleneck concentrated in one name or spread across the basket?
- Do the longest exits also appear in the most similar disclosed portfolios?
- What changed in share counts, hedges or redemptions after the filing date?
How to recreate this analysis
Reproduce the SALP liquidation-risk methodology for Value Aligned Research Advisors LLC (CIK 1963565). Use the latest available SEC 13F as of October 17, 2026, preserving its June 30, 2026 holdings date. Reconcile reported total, non-option reported value and October 16 marked value. Exclude puts and calls from cash-equity liquidation calculations. Map securities transparently and account for splits. For each position use disclosed shares × cutoff closing price divided by 5% and 10% of the median daily close × volume over the 20 completed sessions through the cutoff. Report count and marked weight exceeding 10 trading days at both participation rates. Build normalized non-option 13F peer overlap as sum of minimum security weights. Report top 10 peers, the top-25 most similar peer reporting counts and full eligible-universe counts, with scope and filing rules. Preserve missing data, source every observation, and avoid claims about current holdings, forced sales, option premiums or actual drawdowns.