Abstract
In this paper, we introduce the Luxembourg Fund Data Repository, a novel database of investment funds available for academic research that was created at the Department of Finance of the University of Luxembourg. The database contains the population of Undertakings for Collective Investment in Transferable Securities funds domiciled in Luxembourg from the starting month of their existence (March 1988) to October 2016. The fund characteristics are organized in a comprehensive database architecture encompassing static and dynamic data over the entire life of the funds. The characteristics include fund identifiers, official name, status information, management company and other service providers, daily and monthly performance time-series, portfolio holdings, classification of investment objective, fees, dividends, and cash flows. The database was constructed after collecting and assembling complementary historical information from three data providers. Importantly, funds no longer in existence due to liquidation or mergers are included in the database, preventing survivorship bias. The database has been constructed to serve as a research dataset of high accuracy due to the maximization of population coverage, the maximization of historical coverage, and validation by using information acquired from the supervisory authority of the financial sector of Luxembourg. License currently available to researchers of the Department of Finance of the University of Luxembourg. Future plans for extending accessibility to the global academic community.
Highlights
Collective Investment in Transferable Securities funds domiciled in Luxembourg from the starting month of their existence (March 1988) to October 2016
2019 [3], academic researchers in the investment fund literature have so far been working primarily with United States (US) mutual fund data distributed by the Center for Research in Security Prices (CRSP) [4,5]
The investment fund industry of Luxembourg is a worldwide leader in cross-border fund distribution
Summary
Investors across the globe have demonstrated strong demand for regulated open-end funds in the past decade, and total net assets of worldwide regulated open-end funds totaled $46.7 trillion at the end of 2018 [1]. The LFDR contains a more globally representative set of funds as a proxy for international investment flows than the CRSP Mutual Fund database The latter contains a strong US-centric bias, as the vast majority of both underlying portfolio investments and subscribing investors are located in US. The UCITS represent a set of investment funds that are globally diversified in terms of both their portfolio investments and their underlying unit-holder base (recognizing, that there are usually no US-based investors in UCITS) This greater level of representativity of global investment activity constitutes an important new addition to the study of investment funds and international investment, and it is a key aspect of the innovation that the LFDR brings
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