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Institutional Portfolio ETFTs use an institution’s public holdings disclosures as inputs to a defined investment methodology. A product may select and reweight eligible securities from a specified Form 13F filing rather than attempt to reproduce an institution’s entire strategy. For example, a portfolio based on a specified Citadel reporting entity’s disclosed holdings would be a disclosure-derived basket. It would not represent ownership in a Citadel fund or replication of its complete investment program.

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What Form 13F tells you

Form 13F reports covered holdings as of a reporting date. Filings are generally due within 45 days after the end of a calendar quarter. They are not real-time portfolio feeds and do not report short positions. A disclosed long position may be one part of a larger strategy whose hedges, financing, other assets, and subsequent trades are not visible in the filing. A long-only basket constructed from that disclosure can have materially different returns and risks. Source: SEC — Frequently Asked Questions About Form 13F.

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Portfolio construction

Each methodology identifies:
  • The reporting entity, filing identifier, reporting period, and publication date.
  • Eligible security types and treatment of amendments and duplicate records.
  • The selection rule, such as the largest eligible holdings.
  • Weighting, concentration limits, and treatment of excluded positions.
  • The update window following a new filing or material correction.
For a common-stock-only product, put and call records are excluded. The methodology separately defines treatment of ETFs, ADRs, multiple share classes, and unsupported securities. Weights are normalized across the retained assets and are not described as the institution’s complete original weights.

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Timing and tracking differences

Portfolio updates use publicly available filings. A historical simulation cannot apply a quarter-end portfolio before the relevant filing became public. Disclosure lag, selection rules, execution costs, cash, and different hedging arrangements create tracking differences. Any comparison to an institution’s reported performance must account for the fact that the ETFT is a separate product. An institution that is formally appointed to manage an ETFT is classified under Manager-Led, rather than treated solely as a public disclosure source.