In this article, the authors focus on the after-tax performance of several smart-beta strategies.
These strategies have higher turnover than the capitalization-weighted index, which leads to …

This paper analyzes the portfolio management implications of using drawdown-based
measures in allocation decisions. We introduce modified conditional expected drawdown …

The authors investigate how exchange-traded funds (ETFs), which are well known for tax
efficiency, can be used to create broader portfolio tax efficiency. They show that it is …

We establish a simple analytical technique for generating lognormal paths in reverse, ie, we
show how to propagate a terminal price distribution backwards in time one step at a time to …

A loss sale of stock allows investors to take a capital loss deduction. However, it has always
been unclear whether it is advisable for individual investors to engage in loss sales of stock …

Conventional wisdom suggests that taxation is a jurisdictionally specific discipline. For those
advising private clients, the economic implications of taxation are a critical foundation for …