RT Journal Article
SR Electronic
T1 Practical Applications of Tax Management of Factor-Based Portfolios
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 4
DO 10.3905/pa.2016.4.2.176
VO 4
IS 2
A1 Rey Santodomingo
A1 Vassilii Nemtchinov
A1 Tianchuan (Tim) Li
A1 Howard Moore
YR 2016
UL https://pm-research.com/content/4/2/1.11.abstract
AB 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.