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Luxembourg Fund Data Repository

Author

Listed:
  • Angeliki Skoura

    (Department of Finance, University of Luxembourg, 4365 Esch-sur-Alzette, Luxembourg)

  • Julian Presber

    (Department of Finance, University of Luxembourg, 4365 Esch-sur-Alzette, Luxembourg)

  • Jang Schiltz

    (Department of Finance, University of Luxembourg, 4365 Esch-sur-Alzette, Luxembourg)

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.

Suggested Citation

  • Angeliki Skoura & Julian Presber & Jang Schiltz, 2020. "Luxembourg Fund Data Repository," Data, MDPI, vol. 5(3), pages 1-15, July.
    • Handle: RePEc:gam:jdataj:v:5:y:2020:i:3:p:62-:d:386738
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    References listed on IDEAS

    as
    1. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "Survivorship Bias and Mutual Fund Performance," The Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1097-1120.
    2. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
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