Fund Holdings Are Filed By Portfolio. Investors Hold Share Classes.

As discussed in our Why share classes within a fund diverge in risk article, the share classes of a fund draw on one portfolio while differing in cost, NAV, and identifiers. Our research suggests that the link between each share class and its portfolio decides how much of a fund book a holdings source can reach. The SEC receives holdings once per portfolio. Investors hold, trade, and report share classes, each with its own ISIN.

A system that stores each portfolio's holdings under a single share-class ISIN answers for that class and returns an empty result for the others. In the SEC-registered fund universe, that approach reaches at most 39.1% of 29,950 share classes. The SQXray fund reference links every share-class ISIN to its portfolio, and through that link 93.2% of share classes resolve to published holdings.

Where Do Fund Holdings Live?

A fund has three levels of identity. Each level has its own identifiers, and one entity at a level can hold many at the level below.

• The share class. This is what an investor buys. Each class has its own ISIN, CUSIP, and, where listed, ticker. Classes differ in expense ratio and NAV.
• The portfolio, or series. This is the pool of securities the fund owns. The SEC receives one Form N-PORT per series per period, not one per share class. The series has an SEC series identifier and no ISIN of its own.
• The registrant. This is the legal entity that files with the SEC, identified by its CIK. One registrant can hold hundreds of series; the largest holds 379. The CIK identifies the filer, which is too broad for a holdings query.

An investor holds a share class and needs holdings from the portfolio. The link from class to portfolio answers that request. A system without the link has to pick one class per portfolio, usually the oldest class, the largest class, or the ETF class where the fund has one, and the other classes of that fund return an empty result.

How Many Share Classes Share A Portfolio?

Our analysis finds that one share class per portfolio is the exception for mutual funds. Of 12,855 SEC-registered portfolios, 7,577 have one share class. The other 5,278 portfolios hold 22,373 share classes, 74.7% of the total. American Funds portfolios list classes from Class A through the R-share retirement classes on one set of holdings.

The ratio depends on the vehicle. ETFs average 1.0 share classes per portfolio, so one ISIN per portfolio covers nearly every ETF. Open-end mutual funds average 3.34 and money market funds 3.75.

What Does One ISIN Per Portfolio Miss?

An empty result looks the same whether a fund is outside a data source or its holdings sit under another class's ISIN. A coverage test run that way reports the fund as uncovered.

To size the effect, we compared two ways of reaching holdings for six books: one ISIN per portfolio, and the SQXray link from each share class to its portfolio. For a book of ETF share classes the two agree, at 89.6% and 89.6%. For a mutual fund book, one ISIN per portfolio reaches 27.3% of share classes and the portfolio link reaches 94.1%. Retail share classes show the widest difference, 17.9% against 94.3%.

Which Fund Families Depend Most On The Link?

The difference follows each family's share-class structure. Capital Group lists 1,228 share classes on 106 portfolios, 11.6 per portfolio. One ISIN per portfolio reaches 8.6% of them, and the portfolio link reaches 99.9%. MFS, at 6.8 classes per portfolio, shows 14.6% against 98.8%. BlackRock's line-up is weighted toward single-class iShares ETFs, at 1.7 classes per portfolio, and one ISIN per portfolio reaches 56.9%.

Why Now?

We believe two developments make the portfolio link more important each year:

• ETF share classes on mutual funds. The SEC-registered universe already includes 88 portfolios where ETF and mutual fund classes share one set of holdings, 302 share classes in total, among them Vanguard's bond index funds and Dimensional's equity funds. When a manager adds an ETF class to an existing fund, a system that stores the portfolio under the ETF class ISIN stops answering for the mutual fund classes. The portfolio link resolves every class of the fund, old and new.
• Share-class proliferation. Retirement-plan, advisory, and clean-share classes add ISINs to existing portfolios without adding holdings. One ISIN per portfolio reaches 21.5% of the 4,469 retirement-plan classes in the chart above; the portfolio link reaches 92.6%.

What This Means For Data Consumers

A coverage test should resolve each ISIN on the book to its portfolio before it checks for holdings. With that step, the test measures data availability rather than identifier overlap. In the SQXray delivery, every share class in the fund reference file lists its portfolio, and the portfolio holdings file is identified by the same portfolio identifier, so an ISIN list resolves to holdings in one step.

As our How stale is a fund's publicly disclosed portfolio article discusses, fund holdings arrive on a known schedule through a known mechanism. The portfolio link makes that data available for every share class on the book.