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Working Paper

Integration of Income and Estate Tax Planning

September 1, 2020 - Nathan Sosner Joseph Liberman Steven Liu

Preservation and transfer of wealth to future generations is one of the central financial goals for most high-net-worth families. We show that a family that invests with income and estate tax efficiency in mind can achieve substantially higher wealth levels than a family oblivious to taxes.

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.

Journal Article

Should Taxable Investors Shun Dividends?

June 13, 2019 - Ronen Israel Joseph Liberman Nathan Sosner Lixin Wang

We evaluate the tax benefit of dividend avoidance for quantitative multi-style strategies and find that dividend avoidance generally reduces implementation efficiency, thus lowering expected pre-tax returns.

Journal Article

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

October 15, 2018 - Nathan Sosner Stanley Krasner Ted Pyne

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.

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.

Journal Article

The Tax Benefits of Separating Alpha from Beta

May 14, 2018 - Joseph Liberman Clemens Sialm Nathan Sosner Lixin Wang

We show how separating a portfolio into an active long-short portfolio and a passive index portfolio can have significant tax benefits.

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.

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.