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White Paper

Style Investing and Tax Efficiency: Building a More Tax Efficient Global Equity Portfolio for Australian Investors

May 1, 2018 - Jeff Dunn Tristen Huupponen Stanley Krasner Nathan Sosner

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 - Joseph Liberman Clemens Sialm Nathan Sosner Lixin Wang

We show how separating a portfolio into an active long-short portfolio and a passive index portfolio can have significant tax benefits.

White Paper

Understanding the Tax Efficiency of Market Neutral Equity Strategies

May 9, 2017 - Nathan Sosner Ted Pyne Swati Chandra

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

Partnership Allocations and Their Effects on Tax-Aware Fund Investors

May 1, 2018 - Nathan Sosner Philip Balzafiore Zhenduo Du

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

Multi-Period After-Tax Reporting: A Practical Solution

March 29, 2018 - Nathan Sosner Rodney N. Sullivan Liliana Urrutia

We propose an after-tax performance report aimed at enhancing wealth preservation and accumulation for taxable investors.

Journal Article

Taxes, Shorting, and Active Management

February 22, 2018 - Clemens Sialm Nathan Sosner

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 - Nathan Sosner Robin M. Greenwood

In April 2000, 30 stocks were replaced in the Nikkei 225 Index.

Journal Article

The Tax Benefits of Relaxing the Long-Only Constraint: Do They Come from Character or Deferral?

October 15, 2018 - Nathan Sosner Stanley Krasner Ted Pyne

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.