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Working Paper
Integration of Income and Estate Tax Planning
September 1, 2020
Preservation and transfer of wealth to future generations is one of the central financial goals for most high-net-worth families. We show that a family that invests with income and estate tax efficiency in mind can achieve substantially higher wealth levels than a family oblivious to taxes.
Journal Article
Lot Layering: The New Frontier for Hedge Fund Partnership Allocations
October 11, 2019
Despite its unavoidable deficiency caused by current regulations, we believe that lot layering aligns tax and economics more closely than any of the “aggregation” methods presently used by most hedge funds.
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
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.
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.
Working Paper
Tax-Efficient Portfolio Transition: A Tax-Aware Relaxed-Constraint Approach to Switching Equity Managers
March 2, 2020
For a taxable investor with a highly appreciated equity portfolio, replacing the portfolio manager is likely to trigger substantial tax liabilities. We find that a tax-aware relaxed-constraint post-transition strategy significantly outperforms a traditional tax-agnostic long-only strategy in its ability to preserve and grow the investors after-tax wealth over the long term.
Journal Article
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.
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.
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.
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.