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White Paper

Understanding the Tax Efficiency of Market Neutral Equity Strategies

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.

Journal Article

Taxes, Shorting, and Active Management

This paper examines the consequences of short selling by quantitative investment strategies held by individual investors in taxable accounts.

Journal Article

Trading Patterns and Excess Comovement of Stock Returns

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