Active fund management

Active management
Active investing

Accelerating change: capital growth in climate solutions

The headline insights presented in this report provide a snapshot of current investor sentiment, highlighting some of the factors driving investor thinking and behaviour as they seek to respond to climate change risks and pursue emerging low carbon investment opportunities.
Working paper

Global equity fund performance evaluation with equity and currency style factors

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 ‘style...
Working paper

The effect of data availability in measuring fund managers after-tax alphas

We examine potential sources of measurement error when evaluating the after-tax performance of fund managers based on periodic snapshots of their holdings alone, compared to when daily transactions data are also available. To do this, we compare portfolio return estimates based on imputed trades from...
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...