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Journal Article

Partnership Allocations and Their Effects on Tax-Aware Fund Investors

May 1, 2018 - Nathan Sosner Philip Balzafiore Zhenduo Du

We discuss certain accounting principles relevant for investors in tax-aware funds structured as limited partnerships. We present a simple stylized model that illustrates that under such accounting principles new investors do not materially suffer from unrealized gains accumulated in a tax-aware fund.

Journal Article

Multi-Period After-Tax Reporting: A Practical Solution

March 29, 2018 - Nathan Sosner Rodney N. Sullivan Liliana Urrutia

We propose an after-tax performance report aimed at enhancing wealth preservation and accumulation for taxable investors.

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.

Journal Article

Trading Patterns and Excess Comovement of Stock Returns

September 1, 2007 - Nathan Sosner Robin M. Greenwood

In April 2000, 30 stocks were replaced in the Nikkei 225 Index.

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.

Working Paper

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.

Journal Article

Lot Layering: The New Frontier for Hedge Fund Partnership Allocations

October 11, 2019 - Nathan Sosner Philip Balzafiore

Despite its unavoidable deficiency caused by current regulations, we believe that lot layering aligns tax and economics more closely than any of the “aggregation” methods presently used by most hedge funds.

Working Paper

Tax-Efficient Portfolio Transition: A Tax-Aware Relaxed-Constraint Approach to Switching Equity Managers

March 2, 2020 - Nathan Sosner Stanley Krasner

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.

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.

White Paper

Understanding the Tax Efficiency of Market Neutral Equity Strategies

May 9, 2017 - Nathan Sosner Ted Pyne Swati Chandra

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.