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White Paper
Style Investing and Tax Efficiency: Building a More Tax Efficient Global Equity Portfolio for Australian Investors
May 1, 2018
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 a Tax-Aware Defensive Equity Long-Short Strategy
April 17, 2020
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
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.
White Paper
Understanding the Tax Efficiency of Relaxed-Constraint Equity Strategies
April 5, 2019
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
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
The Tax Benefits of Separating Alpha from Beta
May 14, 2018
We show how separating a portfolio into an active long-short portfolio and a passive index portfolio can have significant tax benefits.
Working Paper
Tax-Efficient Portfolio Transition: A Tax-Aware Relaxed-Constraint Approach to Switching Equity Managers
March 2, 2020
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.
Interview
Meet the Expert: Nathan Sosner on Tax-Aware Investing
November 20, 2019
AQR Principal Nathan Sosner explains the basics of tax-aware strategies and why taxable investors should consider them.
Journal Article
Partnership Allocations and Their Effects on Tax-Aware Fund Investors
May 1, 2018
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
We propose an after-tax performance report aimed at enhancing wealth preservation and accumulation for taxable investors.