RT Journal Article
SR Electronic
T1 Tax Management of Factor-Based Portfolios
JF The Journal of Index Investing
FD Institutional Investor Journals
SP 78
OP 86
DO 10.3905/jii.2016.7.2.078
VO 7
IS 2
A1 Rey Santodomingo
A1 Vassilii Nemtchinov
A1 Tianchuan Li
YR 2016
UL https://pm-research.com/content/7/2/78.abstract
AB The risk-adjusted returns of factor strategies can look quite attractive. However, the turnover associated with them can significantly reduce their after-tax excess returns. In this article, the authors report the results of their after-tax study of these strategies. They find that material pre-tax excess return can be gained through exposure to popular factors—up to 2.4% net of management fees. From an after-tax perspective, they find that taxes can erode much of this return unless a systematic tax management process is applied.TOPICS: Analysis of individual factors/risk premia, performance measurement