RT Journal Article
SR Electronic
T1 After-Tax Performance Measurement
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 69
OP 83
DO 10.3905/jwm.2008.706274
VO 11
IS 1
A1 Stephen M. Horan
A1 Philip N. Lawton
A1 Robert R. Johnson
YR 2008
UL https://pm-research.com/content/11/1/69.abstract
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