Skip navigation
Skip navigation

How much does tax erode fund excess returns?

Chen, Zhe; Gallagher, David R; Harman, Graham; Warren, Geoffrey; Xi, Lihui


We model the tax drag from active fund management based on reported monthly holdings of active equity funds. Tax drag erodes 65 percent of the 0.74 percent excess return in Broad Market funds, but only 21 percent of the 1.80 percent excess return in Small-Cap funds for Australian superannuation (pension) fund investors. Tax drag varies with investment style; market state, which is most detrimental during bull markets; and fund turnover. For highincome individual investors, tax drag is...[Show more]

CollectionsANU Research Publications
Date published: 2019
Type: Journal article
Source: Accounting and Finance
DOI: 10.1111/acfi.12483


File Description SizeFormat Image
01_Chen_How_much_does_tax_erode_fund_2019.pdf360.38 kBAdobe PDF    Request a copy

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  19 May 2020/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator