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Graham Harman


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Working paper

03 Sep 2016

We propose a method for global equity fund performance evaluation that extends existing research by addressing both equity and currency factor exposures. Returns in excess of the risk-free rate are decomposed into contributions arising from the market, exposure to six equity and three currency ‘...

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Working paper

30 Mar 2016

We model the tax drag from active funds management by simulating portfolios based on reported
monthly holdings of 207 active Australian equity funds between July 2000 and December 2010, and
then compare both pre-tax- and after-tax fund returns versus those for passive indices modeled...

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Working paper

03 Mar 2016

We use portfolio holdings data to examine the performance of 143 global equity funds over the period 2002 to 2012. We find that the average global equity manager outperforms their benchmark by 1.2% to 1.4% per annum before fees. Attribution analysis reveals that the prime source of excess return...

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