Statistical Methods in Finance 2025

SEC Form N-PORT: Insights on Fund Holdings Changes

By: Meredith Kruse
Rice University

Investigating the dynamic relationship between institutional investment and market returns, this presentation addresses how equity price is correlated with changes in institutional investment fund holdings using data from Securities Exchange Commission Form N-PORT. The focus is on changes in quarterly fund holding of small-cap equities in the Russell 2000 from 2020 to 2024. 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 using 13F data and shows the added value of N-PORT for fund flow analysis.