Using SEC 13F Holdings and Historical Prices to Estimate Portfolio Weights

Summary

The document asks how to estimate an investor’s stock portfolio weights from quarterly SEC 13F filings combined with historical prices. The practical issue is that some reported holdings have periods with zero trading volume. The author asks whether the available price should still be used for those dates or whether the affected stocks should be excluded.

No answer, weighting formula, or evidence is provided, so the document does not resolve how stale or missing trading activity should affect valuation. It identifies a data-quality concern: a zero-volume observation does not itself say whether the quoted price is current or representative. Any weight estimate therefore depends on the price source, the timing convention, and how inactive securities are handled. The question is useful for portfolio measurement, but it does not establish a recommended treatment.

Key ideas

• The proposed portfolio-weight estimate combines quarterly SEC 13F holdings with historical stock prices.
• Some holdings have dates with zero trading volume, raising a price-selection problem.
• Zero volume alone does not establish whether an available price is current or representative.
• The document asks whether to retain or exclude such holdings but provides no answer or method.

Tags

# Calculating stock weight for SEC13F filers


# Calculating stock weight for SEC13F filers












I am trying to evaluate weight of stocks in portfolio for an investor. For this purpose I use SEC13F filings for particular quarters and historical prices from Yahoo. There are stocks in portfolio which have zero volume from time to time. Is it correct to use price when volume is zero? Should I just ignore these stocks?

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.