TY - JOUR T1 - Practical Applications of Tax Management of Factor-Based Portfolios JF - Practical Applications SP - 1 LP - 4 DO - 10.3905/pa.2016.4.2.176 VL - 4 IS - 2 AU - Rey Santodomingo AU - Vassilii Nemtchinov AU - Tianchuan (Tim) Li A2 - Moore, Howard Y1 - 2016/10/31 UR - https://pm-research.com/content/4/2/1.11.abstract N2 - Tax Management of Factor-Based Portfolios Rey Santodomingo Vassilii Nemtchinov Tianchuan (Tim) Li Would applying systematic tax-management strategies add value to the after-tax returns of single- and multifactor strategies? This is the question addressed by Rey Santodomingo, Vassilii Nemtchinov and Tim Li of Parametric Portfolio Associates .Santodomingo and his colleagues describe a practical approach to constructing risk-controlled factor strategy portfolios. They find that the effects of taxes are significant, even for the most tax-efficient factor strategies and that an active tax-management strategy can reduce tax costs and, sometimes, provide tax benefits. Systematically applying tax-management tactics can add 0.9% to 1.8% of tax alpha to these factor strategy portfolios. ER -