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Working Paper
Tax-Efficient Portfolio Transition: A Tax-Aware Relaxed-Constraint Approach to Switching Equity Managers
March 2, 2020
For a taxable investor with a highly appreciated equity portfolio, replacing the portfolio manager is likely to trigger substantial tax liabilities. We find that a tax-aware relaxed-constraint post-transition strategy significantly outperforms a traditional tax-agnostic long-only strategy in its ability to preserve and grow the investors after-tax wealth over the long term.
Journal Article
The Tax Benefits of Relaxing the Long-Only Constraint: Do They Come from Character or Deferral?
October 15, 2018
Are there tax benefits from relaxation of the long-only constraint? If so, what are the sources? To answer these questions, we decompose the total tax benefit (or liability) of a strategy into two components.
Journal Article
The Tax Benefits of Separating Alpha from Beta
May 14, 2018
We show how separating a portfolio into an active long-short portfolio and a passive index portfolio can have significant tax benefits.
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.
Interview
Meet the Expert: Nathan Sosner on Tax-Aware Investing
November 20, 2019
AQR Principal Nathan Sosner explains the basics of tax-aware strategies and why taxable investors should consider them.
White Paper
Understanding the Tax Efficiency of Relaxed-Constraint Equity Strategies
April 5, 2019
A guide to tax-aware relaxed constraint strategies that also tries to enlighten investors on the nuances around tax benefits by comparing different tax-aware strategies with an equity beta of one.
White Paper
Style Investing and Tax Efficiency: Building a More Tax Efficient Global Equity Portfolio for Australian Investors
May 1, 2018
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.
White Paper
Understanding the Tax Efficiency of Market Neutral Equity Strategies
May 9, 2017
Tax-aware equity market neutral strategies can be inherently tax efficient. We explain why and illustrate our thinking through historical strategy simulations, as well as explore potential practical applications.