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Datasets:
paperswithbacktest
/
Stocks-Quarterly-InstitutionalTrading

Tasks:
Time Series Forecasting
Tabular Regression
Modalities:
Tabular
Text
Formats:
parquet
Languages:
English
Size:
100K - 1M
Tags:
finance
quantitative-trading
backtesting
algorithmic-trading
stocks
equities
Libraries:
Datasets
pandas
Polars
License:
Dataset card Data Studio Files
xet
 Community
1

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Stocks Quarterly InstitutionalTrading

Quarterly institutional ownership and trading flows for US equities.

186,938 rows over 5,290 symbols, 112 columns, covering 2016-12-31 to 2026-06-30. Refreshed monthly.

Strategies Built on This Data

28 papers in the Papers With Backtest catalogue declare this dataset as an input. 27 of them have been coded and run over their own full history. The median replicated Sharpe ratio is +0.25, and 33% clear a t-statistic of 1.96 on their own sample, against 48% across all 4,837 replications in the library.

A Sharpe ratio quoted without its t-statistic hides how much of the library cannot be distinguished from zero, which is why both are shown. The figures are in-sample over each strategy's own window and carry no transaction costs.

Why It Matters

This dataset brings ownership flow intelligence into equity models by:

  • Flow awareness: Changes in institutional ownership signal conviction, crowding, or rotation pressure.
  • Liquidity signaling: Large inflows or outflows can precede volatility and impact execution plans.
  • Cross-sectional filters: Use ownership concentration and turnover as features in stock selection models.

Load It

Installation/Upgrade:

pip install --upgrade pwb-toolbox

Load the Dataset:

from pwb_toolbox import datasets as pwb_ds

df = pwb_ds.load_dataset("Stocks-Quarterly-InstitutionalTrading", symbols=["AAPL"])
print(df.iloc[0, :].to_string())

Example Output:

symbol                                                  AAPL
datetime                                 2016-12-31 00:00:00
std_percentoftotal_fund_median                      0.055335
std_put_call_ratio_fund_median                      0.421553
std_derivative_ratio_fund_median                    0.420497
derivative_ratio_fund_median                        0.424591
put_call_ratio_fund_median                          0.492208
fund_ratio_fund_median                              0.679477
debt_ratio_fund_median                              0.122821
preferred_ratio_fund_median                         0.042657
totalvalue_median                                   0.030903
percentoftotal_median                                0.02879
shrholdings_growth_median                            0.84337
totalvalue_growth_median                            0.212493
put_call_ratio_fund_growth_median                   0.496698
derivative_ratio_fund_growth_median                 0.461833
market_tilt_pca_median                              0.792525
sector_tilt_pca_median                              0.744585
strategy_tilt_pca_median                            0.795034
quantitative_tilt_pca_median                        0.871896
instrument_tilt_pca_median                          0.756339
weight_variability_median                           0.975172
weight_mean_median                                  0.542525
weight_coff_variance_median                         0.975172
weight_max_median                                   0.833597
weight_kurtosis_median                              0.720285
weight_skew_median                                  0.747491
num_investments_median                              0.005811
new_investments_median                              0.991548
divestments_median                                  0.023772
new_investments_to_divestments_median               0.989567
portfolio_turnover_median                           0.994982
net_change_to_investments_median                    0.499472
uncorrelated_percentile_median                      0.218436
flow_percentage_mean_median                         0.500132
performance_value_mean_median                       0.500132
fund_return_quarter_median                          0.500132
fund_flows_percent_quarter_median                   0.500132
std_percentoftotal_fund_std                         0.670221
std_put_call_ratio_fund_std                         0.033324
std_derivative_ratio_fund_std                       0.021861
derivative_ratio_fund_std                           0.016796
put_call_ratio_fund_std                             0.010664
fund_ratio_fund_std                                 0.992002
debt_ratio_fund_std                                 0.133564
preferred_ratio_fund_std                            0.843775
totalvalue_std                                      0.805918
percentoftotal_std                                  0.803786
shrholdings_growth_std                              0.853639
totalvalue_growth_std                               0.527059
put_call_ratio_fund_growth_std                      0.034924
derivative_ratio_fund_growth_std                    0.334044
market_tilt_pca_std                                  0.88883
sector_tilt_pca_std                                 0.948814
strategy_tilt_pca_std                               0.950413
quantitative_tilt_pca_std                           0.971741
instrument_tilt_pca_std                             0.984537
weight_variability_std                              0.809917
weight_mean_std                                     0.008264
weight_coff_variance_std                            0.809917
weight_max_std                                      0.764863
weight_kurtosis_std                                 0.930419
weight_skew_std                                     0.860037
num_investments_std                                 0.901893
new_investments_std                                 0.894428
divestments_std                                     0.355638
new_investments_to_divestments_std                  0.883764
portfolio_turnover_std                              0.908824
net_change_to_investments_std                       0.990936
uncorrelated_percentile_std                         0.782725
flow_percentage_mean_std                            0.500133
performance_value_mean_std                          0.500133
fund_return_quarter_std                             0.500133
fund_flows_percent_quarter_std                      0.500133
totalvalue                                               1.0
total_derivatives                                   0.999472
percentoftotal                                           1.0
growth_totalvalue                                   0.500132
growth_shrholders                                   0.500132
growth_shrvalue                                     0.500132
growth_percentoftotal                               0.500132
growth_shrholder_value_divergence                   0.500132
diversification_score_ticker                        0.925911
derivative_ratio_ticker                             0.881141
derivative_holder_ratio                             0.655045
derivative_holder_value_divergence                  0.096936
short_interest                                      0.000792
security_concentration                              0.337031
put_call_ratio_ticker                               0.730586
put_call_holder_ratio                               0.199947
put_holder_value_sentiment_divergence                0.20206
value_per_holder                                    0.999736
debt_equity_ratio                                   0.899366
historical_high_sharevalue                          0.999736
percentage_from_high_sharevalue                     0.500132
previous_high_sharevalue                            0.500132
percentage_above_previous_high                      0.500132
overweight                                          0.254358
allocation_pressure_percentile                      0.964342
net_flows_sum                                       0.500132
net_flows_max                                       0.500132
net_flows_std                                       0.500132
net_flows_mean                                      0.500132
net_flows_inflow_outflow_value_ratio                0.500132
net_flows_inflow_outflow_count_ratio                0.500132
appreciation_value_sum                              0.500132
new_value_sum                                            1.0
turnover_percentage_median                          0.500132
quarter_return                                      0.500132
quarter_flows                                       0.500132
derivative_overloaded                               0.906233
put_overloaded                                      0.727417

Columns

Column Name Description
symbol Stock ticker.
datetime Quarter-end timestamp (YYYY-MM-DD HH:MM:SS).
std_percentoftotal_fund_median Institutional trading feature std_percentoftotal_fund_median.
std_put_call_ratio_fund_median Institutional trading feature std_put_call_ratio_fund_median.
std_derivative_ratio_fund_median Institutional trading feature std_derivative_ratio_fund_median.
derivative_ratio_fund_median Institutional trading feature derivative_ratio_fund_median.
put_call_ratio_fund_median Institutional trading feature put_call_ratio_fund_median.
fund_ratio_fund_median Institutional trading feature fund_ratio_fund_median.
debt_ratio_fund_median Institutional trading feature debt_ratio_fund_median.
preferred_ratio_fund_median Institutional trading feature preferred_ratio_fund_median.
totalvalue_median Institutional trading feature totalvalue_median.
percentoftotal_median Institutional trading feature percentoftotal_median.
shrholdings_growth_median Institutional trading feature shrholdings_growth_median.
totalvalue_growth_median Institutional trading feature totalvalue_growth_median.
put_call_ratio_fund_growth_median Institutional trading feature put_call_ratio_fund_growth_median.
derivative_ratio_fund_growth_median Institutional trading feature derivative_ratio_fund_growth_median.
market_tilt_pca_median Institutional trading feature market_tilt_pca_median.
sector_tilt_pca_median Institutional trading feature sector_tilt_pca_median.
strategy_tilt_pca_median Institutional trading feature strategy_tilt_pca_median.
quantitative_tilt_pca_median Institutional trading feature quantitative_tilt_pca_median.
instrument_tilt_pca_median Institutional trading feature instrument_tilt_pca_median.
weight_variability_median Institutional trading feature weight_variability_median.
weight_mean_median Institutional trading feature weight_mean_median.
weight_coff_variance_median Institutional trading feature weight_coff_variance_median.
weight_max_median Institutional trading feature weight_max_median.
weight_kurtosis_median Institutional trading feature weight_kurtosis_median.
weight_skew_median Institutional trading feature weight_skew_median.
num_investments_median Institutional trading feature num_investments_median.
new_investments_median Institutional trading feature new_investments_median.
divestments_median Institutional trading feature divestments_median.
new_investments_to_divestments_median Institutional trading feature new_investments_to_divestments_median.
portfolio_turnover_median Institutional trading feature portfolio_turnover_median.
net_change_to_investments_median Institutional trading feature net_change_to_investments_median.
uncorrelated_percentile_median Institutional trading feature uncorrelated_percentile_median.
flow_percentage_mean_median Institutional trading feature flow_percentage_mean_median.
performance_value_mean_median Institutional trading feature performance_value_mean_median.
fund_return_quarter_median Institutional trading feature fund_return_quarter_median.
fund_flows_percent_quarter_median Institutional trading feature fund_flows_percent_quarter_median.
std_percentoftotal_fund_std Institutional trading feature std_percentoftotal_fund_std.
std_put_call_ratio_fund_std Institutional trading feature std_put_call_ratio_fund_std.
std_derivative_ratio_fund_std Institutional trading feature std_derivative_ratio_fund_std.
derivative_ratio_fund_std Institutional trading feature derivative_ratio_fund_std.
put_call_ratio_fund_std Institutional trading feature put_call_ratio_fund_std.
fund_ratio_fund_std Institutional trading feature fund_ratio_fund_std.
debt_ratio_fund_std Institutional trading feature debt_ratio_fund_std.
preferred_ratio_fund_std Institutional trading feature preferred_ratio_fund_std.
totalvalue_std Institutional trading feature totalvalue_std.
percentoftotal_std Institutional trading feature percentoftotal_std.
shrholdings_growth_std Institutional trading feature shrholdings_growth_std.
totalvalue_growth_std Institutional trading feature totalvalue_growth_std.
put_call_ratio_fund_growth_std Institutional trading feature put_call_ratio_fund_growth_std.
derivative_ratio_fund_growth_std Institutional trading feature derivative_ratio_fund_growth_std.
market_tilt_pca_std Institutional trading feature market_tilt_pca_std.
sector_tilt_pca_std Institutional trading feature sector_tilt_pca_std.
strategy_tilt_pca_std Institutional trading feature strategy_tilt_pca_std.
quantitative_tilt_pca_std Institutional trading feature quantitative_tilt_pca_std.
instrument_tilt_pca_std Institutional trading feature instrument_tilt_pca_std.
weight_variability_std Institutional trading feature weight_variability_std.
weight_mean_std Institutional trading feature weight_mean_std.
weight_coff_variance_std Institutional trading feature weight_coff_variance_std.
weight_max_std Institutional trading feature weight_max_std.
weight_kurtosis_std Institutional trading feature weight_kurtosis_std.
weight_skew_std Institutional trading feature weight_skew_std.
num_investments_std Institutional trading feature num_investments_std.
new_investments_std Institutional trading feature new_investments_std.
divestments_std Institutional trading feature divestments_std.
new_investments_to_divestments_std Institutional trading feature new_investments_to_divestments_std.
portfolio_turnover_std Institutional trading feature portfolio_turnover_std.
net_change_to_investments_std Institutional trading feature net_change_to_investments_std.
uncorrelated_percentile_std Institutional trading feature uncorrelated_percentile_std.
flow_percentage_mean_std Institutional trading feature flow_percentage_mean_std.
performance_value_mean_std Institutional trading feature performance_value_mean_std.
fund_return_quarter_std Institutional trading feature fund_return_quarter_std.
fund_flows_percent_quarter_std Institutional trading feature fund_flows_percent_quarter_std.
totalvalue Institutional trading feature totalvalue.
total_derivatives Institutional trading feature total_derivatives.
percentoftotal Institutional trading feature percentoftotal.
growth_totalvalue Institutional trading feature growth_totalvalue.
growth_shrholders Institutional trading feature growth_shrholders.
growth_shrvalue Institutional trading feature growth_shrvalue.
growth_percentoftotal Institutional trading feature growth_percentoftotal.
growth_shrholder_value_divergence Institutional trading feature growth_shrholder_value_divergence.
diversification_score_ticker Institutional trading feature diversification_score_ticker.
derivative_ratio_ticker Institutional trading feature derivative_ratio_ticker.
derivative_holder_ratio Institutional trading feature derivative_holder_ratio.
derivative_holder_value_divergence Institutional trading feature derivative_holder_value_divergence.
short_interest Institutional trading feature short_interest.
security_concentration Institutional trading feature security_concentration.
put_call_ratio_ticker Institutional trading feature put_call_ratio_ticker.
put_call_holder_ratio Institutional trading feature put_call_holder_ratio.
put_holder_value_sentiment_divergence Institutional trading feature put_holder_value_sentiment_divergence.
value_per_holder Institutional trading feature value_per_holder.
debt_equity_ratio Institutional trading feature debt_equity_ratio.
historical_high_sharevalue Institutional trading feature historical_high_sharevalue.
percentage_from_high_sharevalue Institutional trading feature percentage_from_high_sharevalue.
previous_high_sharevalue Institutional trading feature previous_high_sharevalue.
percentage_above_previous_high Institutional trading feature percentage_above_previous_high.
overweight Institutional trading feature overweight.
allocation_pressure_percentile Institutional trading feature allocation_pressure_percentile.
net_flows_sum Institutional trading feature net_flows_sum.
net_flows_max Institutional trading feature net_flows_max.
net_flows_std Institutional trading feature net_flows_std.
net_flows_mean Institutional trading feature net_flows_mean.
net_flows_inflow_outflow_value_ratio Institutional trading feature net_flows_inflow_outflow_value_ratio.
net_flows_inflow_outflow_count_ratio Institutional trading feature net_flows_inflow_outflow_count_ratio.
appreciation_value_sum Institutional trading feature appreciation_value_sum.
new_value_sum Institutional trading feature new_value_sum.
turnover_percentage_median Institutional trading feature turnover_percentage_median.
quarter_return Institutional trading feature quarter_return.
quarter_flows Institutional trading feature quarter_flows.
derivative_overloaded Institutional trading feature derivative_overloaded.
put_overloaded Institutional trading feature put_overloaded.

Access

Browsing the card and the schema is open to anyone. Downloading the files needs an approved request, tied to a subscription: what each plan includes. The same subscription covers the other datasets in this organisation.

Elsewhere

Papers With Backtest publishes 32 datasets on the Hub and codes the papers that use them. Every strategy in the catalogue is run over its own full history before it is published, which is where the numbers above come from.
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