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Filtering Mutual Fund Data for No-Load Fund Studies

Article Quant Q&A · Author: Aleksander
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Summary

The document describes a data-selection problem in a study comparing actively managed equity mutual funds with passive funds. The researcher uses a US mutual fund database and seeks to retain no-load funds, while filtering records through a query interface and spreadsheet tools.

A condition that selects records with zero front load and a missing dollar amount can identify observations marked as no-load for a given period. However, funds may change their load status over time, so period-level filtering can leave a fund in the sample even if it charged a load in another period. The question is how to exclude funds that ever had a load. No answer or verified query solution is provided, so the document chiefly highlights a longitudinal classification issue: the selection rule must be applied across each fund’s full history, rather than independently to each observation. It offers no evidence about fund performance or a recommended implementation.

Key ideas

  • The research question compares active and passive equity mutual fund performance.
  • Filtering a fund by its load status in one period may not reflect its full history.
  • Funds that changed from no-load to load status can remain in a period-filtered sample.
  • The document raises the need for a fund-level history check but does not provide a solution.

Tags

EquitiesUS marketsBacktesting
Full text
# How can I sort mutual fund data from WRDS by using their conditional statement feature?


# How can I sort mutual fund data from WRDS by using their conditional statement feature?












I am currently collecting data for a project at University. My aim is essentially to investigate whether actively managed equity-based mutual funds outperform passive mutual funds. I am using the CRSP Survivor-Bias-Free US Mutual Fund Database as the source for my data. However, I am having trouble with sorting the data. I have no experience with MatLab, R or similar coding languages. Therefore, my only solution seems to be sorting the data using the "Conditional statement" feature in wrds and using Excel.

Until now, I have managed to discard all funds that are not equity-based or mixed equity and fixed income. Now I have to exclude all funds that have a front-or rear-load as I only want data on no-load funds. I have tried sorting out load-funds by creating the following conditional statement in my wrds query: "WHERE front_load = 0 AND dollar_amt = -99". This should only include funds with a maximum load of 0, because a missing (-99) "dollar_amt" means that the given front-load is the maximum load for the fund.

The problem I come across is that when comparing the resulting dataset with a dataset that shows all funds and their loads, I notice that some of the funds in my no-load dataset show up with loads in the other dataset. This is because no-load dataset does not take into account that a fund might have been a no-load fund in a given time period, but later has become a fund with load. Therefore, I somehow have to exclude funds that have ever had a fund load.

I am hoping that someone is familiar with the wrds database and the options regarding conditional statements. If not, I understand that it is hard to provide me with a solution.

Thank you.

The database I use: https://wrds-www.wharton.upenn.edu/pages/get-data/center-research-security-prices-crsp/quarterly-update/mutual-funds/

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.