After-Tax Returns on Stocks Versus Bonds for the High Tax Bracket Investor

@inproceedings{Gannon2006AfterTaxRO,
  title={After-Tax Returns on Stocks Versus Bonds for the High Tax Bracket Investor},
  author={Niall J. Gannon and Michael J. Blum},
  year={2006}
}
The notion that stocks outperform bonds over the long run is a widely accepted principle of basic investing. This conclusion may not be as applicable, however, to a high tax bracket investor as it would be to a tax-exempt portfolio. Ibbotson Associates reports that between 1925 and 2004, the annualized compounded return on stocks (represented by the S&P 500) was 10.4% compared to the return on government bonds at 5.4%. The gross return on equities was nearly double the gross return on bonds… 
How Much Does Tax Erode Fund Excess Return?
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 December 2010, and then
A Quantitative Approach to Tactical Asset Allocation
This article presents a simple quantitative method that improves risk-adjusted returns across various asset classes. A moving-average timing model is tested in-sample on the United States equity
Risk and Return in General: Theory and Evidence
Empirically, standard, intuitive measures of risk like volatility and beta do not generate a positive correlation with average returns in most asset classes. It is possible that risk, however
How much does tax erode fund excess returns?
The authors gratefully acknowledge the financial support of the Centre for International Finance and Regulation (CIFR), and thank Raewyn Williams for her helpful comments.

References

SHOWING 1-10 OF 17 REFERENCES
Year End Portfolio Value = $181
    Stocks for the Long Run, 3 rd Edition
    • 2002
    Year End Portfolio Value = $107.42 -$0.25 + $0.10 = $107
      Year End Portfolio Value = $127.53 -$1.46 + $0.12 = $126
        Quarterly Dividends totaling $6.44 taxed @ 76% = $1.55 Year End Portfolio Value = $156
          Quarterly Dividends totaling $8.12 taxed @ 76% = $1.95 Year End Portfolio Value = $159
            Quarterly Dividends totaling $7.17 taxed @ 76% = $1.72 Year End Portfolio Value = $145
              Family Performance Tracking. Institute for Private Investors
              • 2005
              The Next Three Years Summarized 1962 Portfolio to start year-$121.81 * -11.81% S&P Performance = $107.42 $107.42 @ 20% turnover = $21
                ...
                ...