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David R. Gallagher

Working paper

How much does tax erode fund alpha?

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 under...
Working paper

In-house investment management: making and implementing the decision

We propose a framework that asset owners can use for making and implementing any decision to manageinvestments in-house. It involves addressing four elements: capabilities, costs, alignment and governance;with key aspects identified for consideration within each element. The framework draws on guidancefrom the literature, and insights...
Working paper

Global equity fund performance: an attribution approach

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...
Working paper

Are funds true to label? matching qualitative and quantitative information

Our contribution to funds management research is in matching qualitative information sourced from the fund manager with their own quantitative data concerning what assets they own, how they trade, and how their portfolios are managed. We find that survey responses are informative of characteristic values...
Working paper

Testing the effect of portfolio holdings disclosure in an environment absent of mandatory disclosure

An effective portfolio disclosure regime must balance both its costs and benefits across the entire financial services industry. This study examines a number of disclosure regimes with respect to accuracy and susceptibility to copycat behaviour in an environment absent of mandatory disclosure. We find that...