PT  - JOURNAL ARTICLE
AU  - Stephen M. Horan
AU  - Philip N. Lawton
AU  - Robert R. Johnson
TI  - After-Tax Performance Measurement
AID  - 10.3905/jwm.2008.706274
DP  - 2008 Apr 30
TA  - The Journal of Wealth Management
PG  - 69--83
VI  - 11
IP  - 1
4099  - https://pm-research.com/content/11/1/69.short
4100  - https://pm-research.com/content/11/1/69.full
AB  - Measuring portfolio performance on an after-tax basis is a challenging matter. Whether one uses simple or complex models, one implicitly or explicitly makes certain assumptions about a taxable investor's time horizon and capital gains recognition behavior. This article integrates the after-tax performance measurement literature with recent advances in after-tax portfolio valuation. It implements a variation of Stein's [1998] full cost equivalent model using after-tax valuation techniques developed by Horan [2007a, b]. The approach has several advantages. It can be applied relatively easily without sacrificing precision; it accounts for the impact of taxes on portfolio risk; and it can be used to develop a customized after-tax benchmark.TOPICS: Portfolio construction, legal/regulatory/public policy, risk management, performance measurement