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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 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.

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.

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.

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.

White Paper

Understanding the Tax Efficiency of Relaxed-Constraint Equity Strategies

April 5, 2019 - Nathan Sosner Ted Pyne Swati Chandra

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

Tax-Aware Management of Global Equities

August 1, 2008 - Jeff Dunn Simon Wills

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.

Interview