LONDON—Luxembourg’s investment fund industry is a financial “black box” that helps people launder illicit money and avoid tax, according to an investigation published on Monday whose findings were rejected by the EU nation. The OpenLux investigation by journalists from a group of media organizations, including Le Monde, Le Soir, the Miami Herald, and Sueddeutsche Zeitung, sifted through four million documents and records on 260,000 companies linked to Luxembourg’s 4.5 trillion euro ($5.4 trillion) investment funds sector between 1955 and 2020. Under Luxembourg law, investment funds must publish the names of “beneficial” or end investors—the real owner of shares—in a register to help authorities crack down on tax evasion and money laundering. Over 80 percent of private investment funds examined did not declare who their end investors were, said the investigation, which also involved Transparency International and the Anti-Corruption Data Collective. “Taken together, a significant number of Luxembourg-based funds appear to …