PT - JOURNAL ARTICLE AU - Brian J. Jacobsen TI - The Use of Downside Risk Measures in Tax-Efficient Portfolio Construction and Evaluation AID - 10.3905/jwm.2006.614433 DP - 2006 Jan 31 TA - The Journal of Wealth Management PG - 17--26 VI - 8 IP - 4 4099 - https://pm-research.com/content/8/4/17.short 4100 - https://pm-research.com/content/8/4/17.full AB - It has become almost a platitude to say that downside risk measures are superior to traditional risk measures such as standard deviation. One of the challenges of using downside risk measures as an alternative constructor of portfolios and diagnostic device is in their computational complexity, intensity, and opaqueness. The question investors, especially high-net-worth investors who are concerned about tax efficiency, must ask is whether downside risk measures offer enough benefits to offset their implementation costs in use. This article shows how to use downside risk measures to construct tax-efficient portfolios. A final insight is an outline of how to forecast risk using distributional scaling.TOPICS: Risk management, portfolio construction, downside-only measures