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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.

Journal Article

Assessing Risk through Environmental, Social and Governance Exposures

February 24, 2017 - Jeff Dunn Shaun Fitzgibbons Lukasz Pomorski

ESG investing may have a role in portfolios that extends beyond ethical considerations, particularly for investors interested in tilting toward safer stocks, and in a way that complements what is captured by traditional statistical risk models.

White Paper

Tax-Aware Management of Global Equities

August 1, 2008 - Jeff Dunn Simon Wills

This is an overview of AQR’s tax-aware research, which has resulted in an enhancement to the efficiency of AQR’s existing long-only global equity strategy. Maximizing pre-tax returns over an investment cycle still remains our main objective.