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White Paper
Understanding the Tax Efficiency of Relaxed-Constraint Equity Strategies
April 5, 2019
A guide to tax-aware relaxed constraint strategies that also tries to enlighten investors on the nuances around tax benefits by comparing different tax-aware strategies with an equity beta of one.
Journal Article
Partnership Allocations and Their Effects on Tax-Aware Fund Investors
May 1, 2018
We discuss certain accounting principles relevant for investors in tax-aware funds structured as limited partnerships. We present a simple stylized model that illustrates that under such accounting principles new investors do not materially suffer from unrealized gains accumulated in a tax-aware fund.
Journal Article
The Tax Benefits of Relaxing the Long-Only Constraint: Do They Come from Character or Deferral?
October 15, 2018
Are there tax benefits from relaxation of the long-only constraint? If so, what are the sources? To answer these questions, we decompose the total tax benefit (or liability) of a strategy into two components.
White Paper
Understanding the Tax Efficiency of Market Neutral Equity Strategies
May 9, 2017
Tax-aware equity market neutral strategies can be inherently tax efficient. We explain why and illustrate our thinking through historical strategy simulations, as well as explore potential practical applications.
Journal Article
Multi-Period After-Tax Reporting: A Practical Solution
March 29, 2018
We propose an after-tax performance report aimed at enhancing wealth preservation and accumulation for taxable investors.
White Paper
Style Investing and Tax Efficiency: Building a More Tax Efficient Global Equity Portfolio for Australian Investors
May 1, 2018
We evaluate the performance of long-only style-based equity strategies after accounting for taxes. We and find that style investing can be efficiently implemented in a tax-aware manner for Australian investors.
Working Paper
The Tax Benefits of Separating Alpha from Beta
May 14, 2018
We show how separating a portfolio into an active long-short portfolio and a passive index portfolio can have significant tax benefits.
Working Paper
Should Taxable Investors Shun Dividends?
June 13, 2019
We evaluate the tax benefit of dividend avoidance for quantitative multi-style strategies and find that dividend avoidance generally reduces implementation efficiency, thus lowering expected pre-tax returns.
Journal Article
Taxes, Shorting, and Active Management
February 22, 2018
This paper examines the consequences of short selling by quantitative investment strategies held by individual investors in taxable accounts.
Journal Article
Trading Patterns and Excess Comovement of Stock Returns
September 1, 2007
In April 2000, 30 stocks were replaced in the Nikkei 225 Index.