Tax-Loss Harvesting: An Individual Investor's Perspective

K Khang, T Paradise, J Dickson - Financial Analysts Journal, 2021 - Taylor & Francis
In the tax-loss harvesting literature, a typical investor is assumed to have an unlimited supply
of offsetting capital gains and can earn annualized tax alpha on the order of 100 bps. Using …

Taxes, shorting, and active management

C Sialm, N Sosner - Financial Analysts Journal, 2018 - Taylor & Francis
We examine the consequences of short selling in the context of quantitative investment
strategies held by individual investors in taxable accounts. Short positions not only allow …

Should taxable investors Shun dividends?

R Israel, J Liberman, N Sosner… - The Journal of Wealth …, 2019 - jwm.pm-research.com
While the benefits of capital gains management to the tax efficiency of investment strategies
have been extensively documented in the literature, evidence on the benefits of avoiding …

[PDF][PDF] Equity factor-based investing: A practitioner's guide

DM Grim, SN Pappas… - Valley Forge …, 2017 - obj.portfolioconstructionforum.edu …
■ Equity factor-based investing is a form of active management that aims to achieve specific
risk or return objectives through systematic, rules-based strategies. It can be used in a …

Tax-Efficient Diversification of a Concentrated Portfolio through Margin and Shorting.

LR Goldberg, T Cai, H Selwitz - Journal of Beta Investment …, 2022 - search.ebscohost.com
We look at the rewards and risks of two tax-efficient strategies for diversifying a 10-stock
basket of appreciated stocks in a separately managed account. Our long-only strategy …

The Tax Benefits of Separating Alpha from Beta

J Liberman, C Sialm, N Sosner… - Financial Analysts Journal, 2020 - Taylor & Francis
Long-only active investment strategies have an inherent flaw: Investors pay capital gains
taxes on market-related gains as well as on the alpha created. By separating alpha and …

Factor Investing for Taxable Investors

B Davis, T Li, V Nemtchinov - The Journal of Portfolio …, 2024 - pm-research.com
This article sets forth a practical framework for incorporating tax management into long-only
factor investing and assessing the impact on tax efficiency and pre-tax returns. The …

[PDF][PDF] Tax Management for Smart-Beta Indices

K Sivaramakrishnan, Z Liu - 2021 - researchgate.net
Tax alpha is an often-overlooked source of improving passive and smart-beta index
performance. Direct indexing offers an investment approach to harvest tax alpha in practice …

Factor Investing Funds: Replicability of Academic Factors and After-Cost Performance

M Cremers, Y Liu, TB Riley - … of Academic Factors and After-Cost …, 2022 - papers.ssrn.com
Do factor investing funds successfully capture the premiums associated with academic
factors? We explore this question using the growing number of factor investing funds that …

Accentuate the Positive, Eliminate the Negative: Using Constraints to Amplify Factor-Based Indexes

P Bouchey, M Lutz, V Nemtchinov… - The Journal of Index …, 2018 - search.proquest.com
Factor-based indexes tilt toward characteristics that are associated with long-term
outperformance, but they are often unable to provide the desired exposures without taking …