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I am currently working with a pretty large panel dataset containing the investment holdings of many individuals over time (i.e., for each individual I know the positions per stock over time). I was wondering what the best measure is to examine portfolio allocation changes over time. In the mutual fund literature, researchers often use flows, but I don't think that is applicable in this case of individual portfolio allocation changes.

The ultimate goal is to examine how investors' portfolio allocations change throughout the COVID crisis. Does anyone have any recommendations what the best way would be to go about this? Moreover, let me know if there are academic papers analyzing individual portfolio allocation changes -- this may give me some inspiration.

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  • $\begingroup$ Are you looking for a neat way to construct a table or a graph that depicts the change in portfolio allocations? :-) $\endgroup$ – Pleb Feb 4 at 23:51
  • $\begingroup$ I'm more looking for a way to examine individual investors' portfolio allocation changes. Essentially I want to analyze whether their allocation choices were similar during the COVID-period as in normal periods. $\endgroup$ – Rik Feb 5 at 8:37
  • $\begingroup$ Okay. My essential idea was to aggregate investors individual stock holdings into sectors and look at the allocation changes in terms of sectors, across all investors. This will reduce the amount of different stocks to track (eg. 100) down to a set of sectors (eg. 10) and thus provide a better overview. This will tell you what sectors are getting an increased/decreased exposure from the average investor (through portfolio allocational changes) under the COVID-period. This could likely also be visualized. However, it is just an idea and I'm not sure if this is what you're looking for :-) $\endgroup$ – Pleb Feb 5 at 10:00

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