Institutional Equity Holdings Prediction Using Node Affinities of Dynamic Graphs

• URL: http://arxiv.org/abs/2607.12067v1
• Date: Mon, 13 Jul 2026 18:40:05 GMT
• Title: Institutional Equity Holdings Prediction Using Node Affinities of Dynamic Graphs
• Abstract summary: We introduce the first benchmark for forecasting future allocations using temporal graph machine learning.<n>This work provides a reproducible foundation for temporal graph machine learning in holdings prediction and portfolio allocation.
• Score: 0.0
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Institutional equity holdings disclosed in SEC Form 13F filings provide a rich temporal record of portfolio decisions by large investment managers. However, forecasting future allocations and modeling future demand remains challenging due to disclosure lags, reporting noise, and strong persistence in institutional behavior. We introduce the first benchmark for these tasks using temporal graph machine learning, framing holdings prediction as node affinity prediction -- i.e., forecasting portfolio weights -- on a discrete-time temporal bipartite graph of managers and securities extracted from preprocessed filings. On a sampled dataset comprising 99 managers and the S\&P 500 index (503 securities, 209,351 temporal edges across 48 quarters from 2013--2025), Node Affinity prediction model using Virtual State (NAVIS) achieves a state-of-the-art test Normalized Discounted Cumulative Gain (NDCG) of 0.9127 with features (0.9121 without), outperforming all dynamic graph representation learning competitors by a substantial margin, and outperforming all heuristic methods. Remarkably, a simple Exponential Moving Average baseline achieves 0.8882, surpassing all dynamic graph models except NAVIS and all heuristics except Persistent Forecast (0.8891), highlighting the strong smoothness and persistence of institutional portfolios. Domain-specific node features provide only marginal gains (<1.2\%), indicating that temporal and structural signals in the 13F ownership graph already capture most of the predictable information. By benchmarking a suite of Temporal Graph Benchmark (TGB) models under the node affinity prediction setting, both with and without features, on real-world 13F data, this work provides a reproducible foundation for temporal graph machine learning in holdings prediction and portfolio allocation.

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