TY - JOUR T1 - Tax-Efficient Passive Momentum Asset Allocation JF - The Journal of Wealth Management SP - 68 LP - 72 DO - 10.3905/jwm.2003.320477 VL - 6 IS - 1 AU - Matthew King AU - Binbin Guo Y1 - 2003/04/30 UR - https://pm-research.com/content/6/1/68.abstract N2 - The authors first note that the debate over tax-efficient active management strategies, over recent years, often revolves around the central question of selling an appreciated asset (A) and using the after-tax proceeds to purchase another asset (B) that may or may not outperform asset (A) in the future. The taxes on the sale of asset (A) are a certainty while the performance of asset (B) is a real question given the actual track record of most active managers as has been documented on both a before-tax (Carhart [1997] and Elton [1996]) and after-tax basis (Brunel [1999, 2000]). In this article, they show that the persistence of asset class returns proven in “Passive Momentum Asset Allocation” (King, Silver, and Guo [2002]) can be extended to investors facing sell or hold decisions in an after-tax context. The tax-efficient PMAA methodology changes the entire dynamic of the “sell or hold” decision to one where investors use probabilities instead of mere possibilities to guide their decision-making processes. ER -