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Tax Matters
Misconceptions about Tax-Aware Long-Short: Misleading Parallels with Direct Indexing, Part III
October 12, 2026
In the final installment of our series, we address two misconceptions about the risks and trade-offs involved in tax-aware long-short strategies. We explain why tracking error is necessary to pursue pre-tax alpha and why effective portfolio construction requires balancing expected returns, risk, costs, and taxes rather than simply maximizing realized losses.
Tax Matters
Misconceptions about Tax-Aware Long-Short: Misleading Parallels with Direct Indexing, Part II
September 28, 2026
In our previous post, we addressed two misconceptions about the trading and hedging mechanisms of tax-aware long-short strategies. Here, we clarify that unlike direct indexing, the tax benefit of tax-aware long-short strategies comes primarily from gain deferral rather than loss harvesting, and that higher pre-tax alpha may materially enhances the strategy’s tax benefits.
Tax Matters
Misconceptions about Tax-Aware Long-Short: Misleading Parallels with Direct Indexing, Part I
September 21, 2026
Tax-aware long-short (TA LS) investing is often viewed as an extension of direct indexing, but the two approaches have fundamentally different objectives and mechanics. We explain why TA LS strategies trade to pursue alpha rather than simply harvest losses or closely track a benchmark.
Tax Matters
Not Locked Up: Accessing Liquidity in Tax-Aware Portfolios
September 8, 2026
Liquidity need not be an all-or-nothing decision. Our latest research explores how investors may be able to access meaningful cash from tax-aware long-short strategies while remaining invested and retaining key portfolio attributes.
Working Paper
Liquidity without Liquidation
August 28, 2026
This paper shows that investors may be able to access meaningful liquidity from tax-aware strategies while preserving the remaining portfolio’s tracking error, leverage, and pre-tax return potential. An adaptive withdrawal process may also better manage capital-gain realization than a fixed withdrawal schedule.
Tax Matters
Ten Lessons on Managing Concentrated Wealth
August 11, 2026
Nathan Sosner, AQR Principal and guest co-editor of a recent special issue of The Journal of Wealth Management, identifies ten principles for managing concentrated positions. One point is especially clear: concentrated wealth is not simply a problem to solve, but an asset to manage thoughtfully over time.
Tax Matters
Managing Concentrated Wealth: Research, Perspectives, and Practical Insights
August 6, 2026
AQR Principal Nathan Sosner was guest co-editor for a special issue of The Journal of Wealth Management on managing concentrated wealth. Drawing on behavioral finance, investment analysis, wealth planning, and practitioner experience, the issue offers practical perspectives on navigating the transition from wealth creation to wealth preservation.
Tax Matters
More Attention on Tax-Aware Investing Is a Good Thing for the Industry and Investors
August 6, 2026
As tax-aware long-short investing gains attention, we welcome thoughtful conversations that can help investors distinguish credible strategies from weaker approaches. We believe these strategies should be grounded in time-tested investment models, prioritize expected pre-tax profits, and balance tax efficiency with economic substance.
Journal Article
An Interview with Nathan Sosner: Perspectives on Concentrated Wealth
July 31, 2026
In an interview with Portfolio Management Research, AQR Principal Nathan Sosner discusses managing concentrated wealth, including goals-based diversification, balancing risk with long-term objectives, and integrating investment decisions into a broader wealth management framework.
Tax Matters
The Wrapper Illusion: Do Entity Structures Neutralize Tax Anti-Abuse Rules?
June 15, 2026
This article explains how U.S. tax law generally looks through legal wrappers to economic substance—and why structures designed primarily to engineer tax outcomes may create more compliance and reputational risk.