CRSP Mutual Funds + Thomson holdings: the survivor-bias-free fund panel (licensed)

Access confirmed via a licensed WRDS session

The keystone queries against crsp_q_mutualfunds.monthly_tna_ret_nav, crsp_q_mutualfunds.holdings, crsp_q_mutualfunds.fund_fees, tr_mutualfunds.s12, and mfl.mflink1 were run through a licensed WRDS session on 2026-06-24 and returned real rows, so this page carries the amber “Access confirmed (licensed)” badge. Reproducing it still requires the reader’s own WRDS account and the institution’s CRSP and Thomson/Refinitiv entitlements (licensed, not open).

The CRSP Survivor-Bias-Free Mutual Fund Database (crsp_q_mutualfunds on WRDS) is the standard US open-end mutual-fund panel: monthly and daily returns, NAV, total net assets (TNA), expense ratios, style codes, flows, and portfolio-level equity holdings. The Thomson Reuters Mutual Fund Holdings database (tr_mutualfunds, the s12 family) is the older holdings source. MFLINKS (mfl) is the crosswalk that ties the two together. Together they are the standard source for the mutual-fund performance, flow, and active-management literature.

• Cost: licensed (via WRDS). No free cleaned tier.
• Vendors: CRSP (Center for Research in Security Prices) and Thomson Reuters / Refinitiv (LSEG); MFLINKS maintained by WRDS.
• Coverage: US open-end mutual funds; survivor-bias-free (dead funds retained). CRSP returns run from the 1960s; CRSP holdings begin in the early 2000s; Thomson s12 holdings cover the earlier period back to 1980.
• Unit: share class (crsp_fundno) for returns, fees, and TNA; portfolio (crsp_portno) for holdings.

Access (when licensed)

• Through WRDS. Query the crsp_q_mutualfunds, tr_mutualfunds, and mfl libraries; see WRDS / CRSP / Compustat for the connection recipe and the persistent-server pattern that fires Duo 2FA once.

from utils.wrds_client import wrds_query, wrds_start
wrds_start()                                   # no-op if already running
df = wrds_query("""
    SELECT crsp_fundno, caldt, mret, mtna, mnav
    FROM crsp_q_mutualfunds.monthly_tna_ret_nav
    WHERE caldt >= '2010-01-01'
    LIMIT 5
""")

• Credentials are required. Keep them in .env (WRDS_USER, WRDS_PASS), never hard-coded.

Gotchas (the ones that bite pipelines)

These are the failure modes to expect; they are documented.

• Don’t eager-load large local parquets. The crsp_q_mutualfunds.holdings table is roughly 438M rows and the Thomson s12 fund-holdings panel runs to ~150M+ rows; daily NAV/return is ~182M rows. After you cache a pull to local parquet, never reload it with a whole-file pd.read_parquet(<file>) — it will OOM-kill the process. Stream it instead: polars.scan_parquet(path).select([...]).filter(...).collect() (column projection + predicate pushdown) so you filter before materializing and never hold the full table in RAM. Requires polars + pyarrow. The same rule applies at query time: always filter holdings by crsp_portno and a date range, never SELECT *.
• Share class vs portfolio: aggregate or you double-count. A fund’s Class A and Class I are separate crsp_fundno rows with identical underlying assets but different fees, TNA, and investor types. Returns, fees, and TNA live at the share-class level; holdings live at the portfolio level (crsp_portno). For most analyses aggregate share classes to the portfolio (TNA-weighted returns, summed TNA and flows) using crsp_q_mutualfunds.portnomap. Forgetting this overweights funds with many share classes.
• Linking CRSP to Thomson needs MFLINKS, and the keys differ. CRSP uses crsp_fundno; Thomson uses its own fundno. The bridge is wficn (the Thomson/Wharton fund identifier) via mfl.mflink1 (crsp_fundno -> wficn) and mfl.mflink2 (wficn -> Thomson fundno). Do not try to match on names or tickers. MFLINKS coverage is incomplete and stops being updated at its last vintage, so newer funds can be unlinkable.
• Two holdings sources with different vintages. CRSP holdings (crsp_q_mutualfunds.holdings) are already matched to CRSP permno and are the more recent series; Thomson s12 is legacy, CUSIP-keyed, and needed for the earlier sample. Mixing them without reconciling identifiers and report dates produces gaps and duplicates.
• TNA is missing in spots and flows are implied, not reported. mtna has gaps (it is NaN for some months); standard fund flows are computed, not given: flow_t = (TNA_t - TNA_{t-1} * (1 + ret_t)) / TNA_{t-1} (Sirri and Tufano, 1998). Decide how to treat missing TNA before computing flows or returns divide by a missing base.
• Filter for fund type and survivorship explicitly. The database mixes equity, bond, balanced, index, and exchange-traded products. Use crsp_obj_cd or lipper_class to isolate the fund type, et_flag = 'N' to drop ETFs, and the index-fund flag to drop index funds. Because the panel is survivor-bias-free, performance studies must include dead funds (dead_flag = 'Y'); excluding them reintroduces the very bias the database removes.

Key tables (reference)

Returns, NAV, TNA (share-class level)

Table	Description	Frequency	Key columns
crsp_q_mutualfunds.monthly_tna_ret_nav	Monthly returns, TNA, NAV	Monthly	crsp_fundno, caldt, mret, mtna, mnav
crsp_q_mutualfunds.daily_nav_ret	Daily returns and NAV	Daily	crsp_fundno, caldt, dret, dnav
crsp_q_mutualfunds.monthly_returns	Monthly returns only	Monthly	crsp_fundno, caldt, mret

Characteristics and fees

Table	Description	Key columns
crsp_q_mutualfunds.fund_hdr	Fund header (name, ticker, CUSIP, dates, flags)	crsp_fundno, fund_name, ticker, first_offer_dt, dead_flag, et_flag, index_fund_flag
crsp_q_mutualfunds.fund_style	Style/objective codes over time	crsp_fundno, begdt, enddt, crsp_obj_cd, lipper_class
crsp_q_mutualfunds.fund_fees	Expense ratios, management fees, turnover	crsp_fundno, begdt, enddt, exp_ratio, mgmt_fee, turn_ratio, actual_12b1
crsp_q_mutualfunds.fund_flows	Sales and redemptions (portfolio level)	crsp_portno, report_dt, new_sls, rein_sls, redemp

Holdings and links

Table	Description	Key columns
crsp_q_mutualfunds.holdings	Portfolio equity holdings (CRSP, ~438M rows)	crsp_portno, report_dt, permno, percent_tna, nbr_shares, market_val
tr_mutualfunds.s12	Thomson quarterly mutual-fund holdings (~150M+ rows)	fundno, fdate, rdate, cusip, shares, change
tr_mutualfunds.s12type1	Thomson Type 1 holdings (complete reports)	fundno, fdate, cusip, shares
mfl.mflink1	crsp_fundno -> wficn	crsp_fundno, wficn
mfl.mflink2	wficn -> Thomson fundno	wficn, fundno
crsp_q_mutualfunds.portnomap	crsp_fundno -> crsp_portno	crsp_fundno, crsp_portno

Common CRSP objective codes

Code	Description
EDCI	Equity domestic, capital appreciation
EDYB	Equity domestic, equity income
EDYM	Equity domestic, income and growth
IC / I	International (core / general)
M	Mixed / balanced
OB	Bond, general

Use crsp_obj_cd LIKE 'ED%' for all domestic-equity funds.

Standard operations

Equity-fund monthly returns with style

funds = wrds_query("""
    SELECT a.crsp_fundno, a.caldt, a.mret, a.mtna,
           b.crsp_obj_cd, b.lipper_class
    FROM crsp_q_mutualfunds.monthly_tna_ret_nav AS a
    LEFT JOIN crsp_q_mutualfunds.fund_style AS b
      ON a.crsp_fundno = b.crsp_fundno
      AND a.caldt BETWEEN b.begdt AND b.enddt
    WHERE a.caldt >= '1990-01-01'
      AND b.crsp_obj_cd LIKE 'ED%'      -- domestic equity
""")

Aggregate share classes to the portfolio

portmap = wrds_query("SELECT crsp_fundno, crsp_portno FROM crsp_q_mutualfunds.portnomap")
import pandas as pd
merged = funds.merge(portmap, on='crsp_fundno')
portfolio = (merged.groupby(['crsp_portno', 'caldt'])
    .apply(lambda g: pd.Series({
        'wret': (g['mret'] * g['mtna']).sum() / g['mtna'].sum() if g['mtna'].sum() > 0 else None,
        'tna': g['mtna'].sum()})).reset_index())

Link CRSP funds to Thomson holdings

link = wrds_query("""
    SELECT l1.crsp_fundno, l1.wficn, l2.fundno
    FROM mfl.mflink1 AS l1
    JOIN mfl.mflink2 AS l2 ON l1.wficn = l2.wficn
    WHERE l1.wficn IS NOT NULL
""")
holdings = wrds_query("""
    SELECT fundno, fdate, cusip, shares
    FROM tr_mutualfunds.s12type1
    WHERE fdate >= '2000-01-01'
""")

Stream a cached holdings parquet (don’t eager-load)

import polars as pl
sub = (pl.scan_parquet("data/mutual_funds/holdings.parquet")
         .select(["crsp_portno", "report_dt", "permno", "percent_tna"])
         .filter((pl.col("crsp_portno") == 1000001) &
                 (pl.col("report_dt") >= pl.date(2015, 1, 1)))
         .collect())

Citation

Cite each underlying provider, not WRDS itself, e.g.: CRSP Survivor-Bias-Free US Mutual Fund Database, Center for Research in Security Prices, LLC, accessed via WRDS, YYYY-MM-DD; Thomson Reuters Mutual Fund Holdings (s12), accessed via WRDS, YYYY-MM-DD; and MFLINKS where used. State the date range, the fund-type filter, whether dead funds are included, whether figures are at the share-class or portfolio level, and how missing TNA and implied flows were handled.