The Role of Taxes in the Rise of ETFs

R Moussawi, K Shen, R Velthuis - Available at SSRN 3744519, 2022 - papers.ssrn.com
The immense growth of ETFs is often attributed to their intraday liquidity and low expenses,
which are favored by short-term investors. This paper argues that lesser known, yet …

Is your alpha big enough to cover its taxes? A quarter-century retrospective

R Arnott, V Kalesnik… - The Journal of Portfolio …, 2018 - jpm.pm-research.com
This article revisits the findings (published in this journal) of Jeffrey and Arnott, who reported
that over 95% of active managers underperformed a capitalization-weighted index fund on …

The error of tracking error: Why active indexing makes sense

D Du, C Overway - The Journal of Index Investing, 2021 - pm-research.com
Direct indexing is an excellent tool for improving after-tax returns for taxable clients.
However, the predominant approach to doing this, where tracking error is minimized and …

[BOOK][B] Successful Investing Is a Process: Structuring Efficient Portfolios for Outperformance

J Lussier - 2013 - books.google.com
A process-driven approach to investment management that lets you achieve the same high
gains as the most successful portfolio managers, but at half the cost What do you pay for …

Will Hedge Fund Investors Start Asking for Tax Alpha? Can Hedge Fund Managers Deliver It?

R Kim, EH Dougherty, M Klein - The Journal of Wealth …, 2011 - pm-research.com
Tax efficiency, a common topic in the mutual fund world, has never been a big priority for
hedge funds. Although US taxable investors would benefit if hedge fund managers were …

How much does tax erode fund excess returns?

Z Chen, DR Gallagher, G Harman… - Accounting & …, 2020 - Wiley Online Library
We model the tax drag from active fund management based on reported monthly holdings of
active equity funds. Tax drag erodes 65 percent of the 0.74 percent excess return in Broad …

The Only Sure Alpha: Tax-Motivated Trading and Price Efficiency

H Nadler - Available at SSRN 3672831, 2020 - papers.ssrn.com
This article addresses how tax rules shape price discovery in financial markets. Price
discovery, the process by which new information about the fundamental value of an asset is …

The effect of data availability in measuring fund managers' after‐tax alphas

Z Chen, DR Gallagher, GJ Warren - Accounting & Finance, 2019 - Wiley Online Library
We examine potential sources of measurement error when evaluating the after‐tax
performance of fund managers based on periodic snapshots of their holdings alone …

Tax-efficient asset management via loss harvesting

AG Anastasov - 2017 - dspace.mit.edu
In this thesis, we study loss-harvesting--an investment strategy that realizes capital losses
immediately but defers realizing capital gains as long as possible. We begin by describing a …

How much does tax erode fund alpha?

Z Chen, DR Gallagher, G Harman, GJ Warren - 2016 - apo.org.au
We model the tax drag from active funds management by simulating portfolios based on
reported monthly holdings of 207 active Australian equity funds between July 2000 and …