Rice University statistics student Meredith Clayton Kruse was selected to present her doctoral research at the Statistical Methods in Finance Conference and Workshop (StatFin2025) hosted by the Chennai Mathematical Institute (CMI), Chennai, India.
StatFin2025 took place from December 16 to 20, 2025, and featured a range of topics in financial modeling, risk, and resilience in a changing world.
Katherine Ensor, Rice's Noah G. Harding Professor of Statistics and Director of the Center for Computational Finance and Economic Systems (CoFES), was one of three keynote speakers, and Michael Jackson, Director of Rice’s Professional Master of Statistics (MSTAT) Program and statistics and CoFES lecturer, was one of 14 invited lecturers at the conference.
Kruse presented her research on exploring statistical methods for large-scale temporal modeling for portfolio fund management and assessing insurance volatility. She began her fourth year of graduate studies this past fall semester with Ensor serving as her advisor.
More specifically, Kruse’s presentation, titled "SEC Form N-PORT: Insights on Fund Holdings Changes," detailed the dynamic relationship between institutional investment and market returns. She demonstrated how equity prices correlate with changes in institutional investment fund holdings using data from the Securities and Exchange Commission's Form N-PORT.
In their analysis, Kruse employs both fixed and random-effects panel regression to examine changes in quarterly fund holdings of small-cap equities in the Russell 2000 from 2020 to 2024, illustrating the relationship between changes in fund holdings and asset returns.
The results of her research suggest that fund-holding flow information reported in N-PORT filings provides important insight into institutional trading behavior and individual asset returns. The work builds on existing literature using 13F data and shows the added value of N-PORT for fund flow analysis.
Collaborators who have inspired Kruse include CoFES Advisory Board member Lada Kyj, Head of Personalized Indexing Research at Vanguard, and Lee Morakis, Head of Execution Consulting for the Americas at Bernstein Institutional Services.
This year was the tenth consecutive Statistical Methods in Finance Conference and Workshop. Co-sponsors for the event include AlgoLabs, the consulting society of the Chennai Mathematical Institute; the Chennai Mathematical Institute (CMI); CoFES; and the International Society for Business and Industrial Statistics (ISBIS), an association of the International Statistical Institute (ISI) dedicated to promoting business and industrial statistics worldwide.
- Shawn Hutchins, Communications and Marketing Specialist
