Luxembourg Investment Funds Data Repository

Julian Presber

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Center for Research in Securities Prices (CRSP)

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Investment Fund Research Areas (1)

•  Performance measurement –  Index benchmarks –  Time-varying betas –  Conditional models –  Market timing (actual v. target beta)

•  Investor behavior –  Asset allocation –  Flow determinants – events, shocks

•  Macro-economic, sector, fund-level

–  Fund selection drivers

Source : Elton, Edwin J., Gruber, Martin J., Mutual Funds (July 27, 2011), Survey article, Working Paper Series.

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Investment Fund Research Areas (2)

•  Specific fund product characteristics –  ETFs: trading error, price to NAV relationship –  Performance predictors –  Performance persistence

Source : Elton, Edwin J., Gruber, Martin J., Mutual Funds (July 27, 2011), Survey article, Working Paper Series.

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Luxembourg Investment Funds Data Repository

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Luxembourg Investment Funds Data Repository Project

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Sponsors: University of Luxembourg

ALFI Funding: University of Luxembourg

ALFI LSF Foundation

Project Scope

•  Establish historical database –  All UCITS since 1988 –  Data from within funds only (no distribution data) –  Closed & merged funds included

(no survivorship bias) –  Referencing for merged funds

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Project Scope (2)

•  Data at portfolio or class level –  NAV, TNA, Flows in/out, Holdings –  Month-end or monthly period –  Embargo periods

•  No static periods •  Deliverables

–  Architectural design of database –  Data collection & validation –  Creation of prototype platform

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Follow-on Project

•  “Bring to market” •  Stakeholder governance •  Operational platform •  Operating entity •  On-going data collection & maintenance

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Market Complementarity

•  “Purpose-specific” database •  Specific and proprietory database •  Own end-user base •  No comparable dataset currently exists •  Downstream from data providers, the “référentiel de

place”, and other data sources

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Benefits for Luxembourg

•  Unique opportunity to bring Luxembourg funds into realm of academic research

•  Ready-made dataset for industry & regulators –  Research & analytics

•  Positions Luxembourg as a centre for investment fund research

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Luxembourg Investment Funds Data Repository

Julian Presber

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ALFI Global Distribution Conference

David Barclay

CRSP Chief Operating Officer

September 23, 2014 DM #53759

About Chicago Booth

• Founded in 1898, second oldest business school in the U.S.

• Consistently ranked among top five business schools • Programs offered on three continents:

Asia, Europe & North America

• A global body of nearly 47,000 accomplished alumni • Renamed from Chicago GSB in 2008 in recognition of the

$300M USD gift from alum David Booth, ‘71 – Cofounder Dimensional Fund Advisors

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• Established in 1960

• One of 12 Chicago Booth research

centers

• Provider of premier historical U.S.

stock market databases

• CRSP data span 90 years (1925 – 2014)

• Over 500 clients in 35 countries

• 6th largest provider of investable indexes (as measured by ETF

assets linked to indexes)

About CRSP

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CRSP’s Mission

• CRSP is dedicated to excellence in providing enriched and accessible data products and solutions which provide a basis for scholarly achievement, original innovative research, and sound investment decisions.

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League Tables of Interest Theory - #1 Practice - #6

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History of CRSP

James H. Lorie 1922 - 2005

Lawrence Fisher 1929 - 2008

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CRSP is Announced – 1960 Results are Published – 1964

Indexes Launch – 1966

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Product Development CRSP creates, maintains and updates premier historical U.S. stock market databases for common stocks, mutual funds, treasuries, REITS, and Indexes. • CRSP Survivor-Bias-Free US Mutual Fund Database • CRSP US Stock Databases • CRSP Index History Files • CRSP US Indexes Databases • CRSP/Compustat Merged Database (CCM) • CRSP US Treasury Database • CRSP/Ziman Real Estate Data Series • Custom Data Extractions

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Client Base – Research Products

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Academic Applications

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Commercial Applications

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Industry Benchmarks

Standard & Poor's Indices Versus Active (SPIVA)

Practitioner Applications

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Backtesting

Policy and Regulatory Research Applications

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CRSP Survivor-Bias-Free U.S. Mutual Funds • Complete database of both active and inactive open-ended funds

• Leading resource for mutual fund research

– serves as a foundation for research and benchmarking for this asset class

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11,633 unique mutual

funds

31,382 mutual fund

classes

13,037 unique mutual

funds

24,430 mutual fund

classes

Active Funds Inactive Funds

Database Characteristics Time series and Qualitative data for open-end mutual funds and exchange

traded vehicles Holdings data Monthly (since 1962) and Daily (since 1998) NAV, Dividend, and

Return Data Total Net Assets and NAVs Fees and expense ratio Characteristics data

Value Add:

CRSP Issue Code – for consolidating fund families CRSP Style Code – combines and links various style codes into a

single continuous series

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Partnerships Product Development: • CapitalQ – CRSP\Compustat Merged Database • Purdue – Krannert School of Business - CRSPSift • UCLA Anderson School’s Ziman Center – REIT • Chicago Booth/Vanguard – CRSP Investable Indexes • Dimensional Fund Advisors • NASDAQ OMX

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Data Access CRSP and Third Party Access: • CRSPSift and CRSPAccess • University of Pennsylvania – Wharton School – WRDS • SAS Institute – SASECRSP/SASEXCCM Engine • Thomson Reuters – Market QA • Eventus – Event study software

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