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Working Paper
Liquidity without Liquidation
August 28, 2026
This paper shows that investors may be able to access meaningful liquidity from tax-aware strategies while preserving the remaining portfolio’s tracking error, leverage, and pre-tax return potential. An adaptive withdrawal process may also better manage capital-gain realization than a fixed withdrawal schedule.
Working Paper
The Tax Benefits of Pre-Tax Alpha
March 18, 2026
This paper shows that pre-tax alpha may enhance tax benefits in tax-aware long-short strategies by accelerating NAV growth and creating new positions that support loss realization. The result is meaningfully higher after-tax wealth—especially at longer horizons and higher levels of leverage.
Journal Article
Are Completion Portfolios Effective for Managing Concentrated Stock Risk?
August 31, 2025
This paper investigates the most effective ways to manage the risk of concentrated stock positions.
Journal Article
Combining Charitable Remainder Unitrusts and Tax-Aware Strategies to Diversify Low-Basis Stock
June 26, 2026
We show how combining charitable remainder unitrusts (CRUTs) with tax-aware strategies can help investors diversify low-basis stock and enhance after-tax wealth accumulation. Our findings suggest that investors and their advisors should integrate philanthropy and investment management to optimize wealth preservation and charitable impact.
Journal Article
A Brief Guide to Pricing and Taxation of Variable Prepaid Forwards
January 31, 2025
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
August 31, 2024
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.
Journal Article
Combining VPFs and Tax-Aware Strategies to Diversify Low-Basis Stock
January 31, 2025
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
August 31, 2023
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
April 30, 2021
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
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.