• Filter By
  • Topic (${ Topics.length })
  • Type (${ ContentTypes.length })
  • Contributor (${ Contributors.length })
Filter By







Close Clear Filters Apply

Showing 1 - 8 of 8 results

Sort By
  • Relevance
  • Newest
  • Oldest

Working Paper

A Brief Guide to Pricing and Taxation of Variable Prepaid Forwards

November 6, 2024 - Joseph Liberman Nathan Sosner

Variable prepaid forward (VPF) contracts have been developed as a solution to hedging the risk of concentrated low-basis stock. Using options pricing theory, we develop a VPF pricing model that helps understand the VPF prepayment amount and the cash flows and tax liabilities upon VPF rolls.

Journal Article

Levering Up to Do Good: Direct Long-Short Investing and Charitable Giving

April 23, 2024 - Stanley Krasner Joseph Liberman Nathan Sosner Sydney Filler

We use historical strategy simulations to evaluate the advantages of donating appreciated stock in the context of tax-aware long-short factor strategies. We find long-short strategies exhibit several advantages over long-only investments.

Working Paper

Combining VPFs and Tax-Aware Strategies to Diversify Low-Basis Stock

March 7, 2024 - Joseph Liberman Nathan Sosner

We illustrate how combining VPFs (variable prepaid forwards) with tax-aware strategies can help diversify low-basis stock and thereby improve after-tax wealth accumulation. Long-run after-tax wealth outcomes are significantly better when a VPF is combined with tax-aware long-short factor strategies rather than with other alternatives, such as a direct-indexing strategy or a market index fund.

Journal Article

Beyond Direct Indexing: Dynamic Direct Long-Short Investing

May 3, 2023 - Joseph Liberman Stanley Krasner Nathan Sosner Pedro Freitas

On average, net losses realized by direct indexing loss-harvesting strategies taper off within the first few years after their inception, and these strategies also exhibit a high dispersion of net loss outcomes. We show that long-short strategies motivated by factor investing can significantly outperform direct indexing strategies from both a pre-tax and tax perspective.

Journal Article

Integration of Income and Estate Tax Planning

September 1, 2020 - Nathan Sosner Joseph Liberman Steven Liu

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.

White Paper

Understanding a Tax-Aware Defensive Equity Long-Short Strategy

April 17, 2020 - Nathan Sosner Ted Pyne Joseph Liberman Steven Liu

We describe a hypothetical Tax-Aware Defensive Equity Long-Short strategy, including its construction and pre-tax and after-tax performance. The strategy closely replicates the pre-tax performance of a similar hypothetical tax-agnostic strategy and has the potential to achieve a meaningful tax benefit for a taxable investor.

Journal Article

Should Taxable Investors Shun Dividends?

June 13, 2019 - Ronen Israel Joseph Liberman Nathan Sosner Lixin Wang

We evaluate the tax benefit of dividend avoidance for quantitative multi-style strategies and find that dividend avoidance generally reduces implementation efficiency, thus lowering expected pre-tax returns.

Journal Article

The Tax Benefits of Separating Alpha from Beta

May 14, 2018 - Joseph Liberman Clemens Sialm Nathan Sosner Lixin Wang

We show how separating a portfolio into an active long-short portfolio and a passive index portfolio can have significant tax benefits.