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Working Paper

The Tax Benefits of Relaxing the Long-Only Constraint: Do They Come from Character or Deferral?

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.

White Paper

Style Investing and Tax Efficiency: Building a More Tax Efficient Global Equity Portfolio for Australian Investors

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

Tax-Aware Management of Global Equities

This is an overview of AQR’s tax-aware research, which has resulted in an enhancement to the efficiency of AQR’s existing long-only global equity strategy. Maximizing pre-tax returns over an investment cycle still remains our main objective.

Journal Article

Partnership Allocations and Their Effects on Tax-Aware Fund Investors

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

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

Working Paper

The Tax Benefits of Separating Alpha from Beta

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 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.