Panel data on mutual funds, ETFs, and certain other funds from N-PORT
This page contains data from the universe of N-PORT filings with the SEC, covering all mutual funds, ETFs and certain other registered investment funds over the period from 2019 Q4 to the present. Included are 243,159 filings pulled from the EDGAR and processed to extract useful data for researchers at the fund-by-quarter level. This data is used in Barth, Kahn, Monin and Sokolinskiy (2024).
The figure below shows counts of funds by quarter contained in the most recent release.
The data provides a panel with series-level detail on:
- Total assets, liabilites and net assets
- Asset allocations to broad categories like equity, Treasuries, corporate debt
- Maturity profiles of investments into fixed income by category
- Currency makeup of fixed income investments
- Fixed income investments by domicile of borrower
- Notional investments in swaps, futures, forwards by category
- Detail on investments into Treasury futures
If you use this data, please cite:
Barth, Daniel, R. Jay Kahn, Phillip Monin and Oleg Sokolinskiy (2024). "Reaching for duration and leverage in the Treasury market," Finance and Economics Discussion Series 2024-039, Board of Governors of the Federal Reserve System (U.S.).