SEC Form N-PORT: Insights on Fund Holdings Changes

IF 1.5 4区数学 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS

Applied Stochastic Models in Business and Industry Pub Date : 2026-10-08 DOI:10.1002/asmb.70130

Meredith Kruse, Katherine B. Ensor

引用次数: 0

Abstract

Investigating the dynamic relationship between institutional investment and market returns, this paper addresses how equity price is correlated with changes in institutional investment fund holdings using data from the Securities and Exchange Commission Form N-PORT. The focus is on changes in quarterly fund holding of small-cap equities in the Russell 2000 from 2020-03-31 to 2024-12-31. For our analysis, we use both fixed and random effects panel regression to show the relationship between changes in fund holdings and asset returns. The results suggest that fund holding flow information, as reported in N-PORT filings, provides important insight into institutional trading behavior and individual asset returns. Our work builds on existing literature that uses 13F data and demonstrates the added value of N-PORT for fund flow analysis.

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证券交易委员会表格N-PORT：对基金持有变化的见解

为了研究机构投资与市场回报之间的动态关系，本文利用美国证券交易委员会N-PORT表格中的数据，研究了股票价格与机构投资基金持有量变化之间的关系。重点关注的是从2020-03-31到2024-12-31期间，基金在罗素2000指数小盘股中的季度持仓变化。对于我们的分析，我们使用固定效应和随机效应面板回归来显示基金持有量变化与资产回报之间的关系。结果表明，在N-PORT文件中报告的基金持有流量信息，为机构交易行为和个人资产回报提供了重要的见解。我们的工作建立在现有文献的基础上，这些文献使用了13F数据，并展示了N-PORT对资金流分析的附加价值。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Applied Stochastic Models in Business and Industry 数学-数学跨学科应用

CiteScore

2.70

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： ASMBI - Applied Stochastic Models in Business and Industry (formerly Applied Stochastic Models and Data Analysis) was first published in 1985, publishing contributions in the interface between stochastic modelling, data analysis and their applications in business, finance, insurance, management and production. In 2007 ASMBI became the official journal of the International Society for Business and Industrial Statistics (www.isbis.org). The main objective is to publish papers, both technical and practical, presenting new results which solve real-life problems or have great potential in doing so. Mathematical rigour, innovative stochastic modelling and sound applications are the key ingredients of papers to be published, after a very selective review process. The journal is very open to new ideas, like Data Science and Big Data stemming from problems in business and industry or uncertainty quantification in engineering, as well as more traditional ones, like reliability, quality control, design of experiments, managerial processes, supply chains and inventories, insurance, econometrics, financial modelling (provided the papers are related to real problems). The journal is interested also in papers addressing the effects of business and industrial decisions on the environment, healthcare, social life. State-of-the art computational methods are very welcome as well, when combined with sound applications and innovative models.