Article (Scientific journals)
Luxembourg Fund Data Repository
Skoura, Angeliki; Presber, Julian; Schiltz, Jang
2020In Data, 5 (3), p. 1-15
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Keywords :
investment fund data; fund time-series; Undertakings for Collective Investment in Transferable Securities; survivorship-bias-free database
Abstract :
[en] 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.
Disciplines :
Finance
Author, co-author :
Skoura, Angeliki
Presber, Julian
Schiltz, Jang ;  University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Department of Finance (DF)
External co-authors :
no
Language :
English
Title :
Luxembourg Fund Data Repository
Publication date :
19 July 2020
Journal title :
Data
ISSN :
2306-5729
Publisher :
MDPI AG, Switzerland
Volume :
5
Issue :
3
Pages :
1-15
Peer reviewed :
Peer Reviewed verified by ORBi
Focus Area :
Finance
Funders :
ABBL and ALFI
Available on ORBilu :
since 01 January 2021

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