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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.