We consider the Rosenzweig-Porter model $H = V + \sqrt{T}\, Φ$, where $V$ is a $N \times N$ diagonal matrix, $Φ$ is drawn from the $N \times N$ Gaussian Orthogonal Ensemble, and $N^{-1} \ll T \ll 1$. We prove that the eigenfunctions of $H$ are typically supported in a set of approximately $NT$ sites, thereby confirming the existence of a previously conjectured non-ergodic delocalized phase. Our proof is based on martingale estimates along the characteristic curves of the stochastic advection equation satisfied by the local resolvent of the Brownian motion representation of $H$.