PT - JOURNAL ARTICLE AU - Rey Santodomingo AU - Vassilii Nemtchinov AU - Tianchuan Li TI - Tax Management of Factor-Based Portfolios AID - 10.3905/jii.2016.7.2.078 DP - 2016 Aug 31 TA - The Journal of Index Investing PG - 78--86 VI - 7 IP - 2 4099 - https://pm-research.com/content/7/2/78.short 4100 - https://pm-research.com/content/7/2/78.full 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