Is Your Alpha Big Enough To Cover Its Taxes?

@inproceedings{Jeffrey1993IsYA,
  title={Is Your Alpha Big Enough To Cover Its Taxes?},
  author={Robert H. Jeffrey and Robert D. Arnott},
  year={1993}
}
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65 Citations
Highly Influential Citations
1
Background Citations
8
Methods Citations
2
Results Citations
1

65 Citations

Citation Type

Citation Type

Working Paper Series How Much Does Tax Erode Fund Alpha ?
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…
The Error of Tracking Error: Why Active Indexing Makes Sense
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 any possible tax…
Tax-Efficient Portfolio Transition: A Tax-Aware Relaxed-Constraint Approach to Switching Equity Managers
For a taxable investor with a highly appreciated equity portfolio, replacing the portfolio manager is likely to trigger substantial tax liabilities. We focus on transitioning an appreciated equity…
TAX-EFFICIENT ASSET MANAGEMENT: EVIDENCE FROM EQUITY MUTUAL FUNDS
Investment taxes have a substantial impact on the performance of taxable mutual fund investors. Mutual funds can reduce the tax burdens of their shareholders by avoiding securities that are heavily…
The Tax Benefits of Separating Alpha from Beta
Long-only active investment strategies have an inherent flaw: Investors pay capital gains taxes on market-related gains as well as on the alpha created. By separating alpha and beta, taxes can be…
Tax‐Efficient Asset Management: Evidence from Equity Mutual Funds
Investment taxes have a substantial impact on the performance of taxable mutual fund investors. Mutual funds can reduce the tax burdens of their shareholders by avoiding securities that are heavily…
Strategy, tax planning and liquidity constraints in investment funds
PurposeThe purpose of this paper is to analyze the effect of the interaction between liquidity constraints and tax planning on the performance of Brazilian investment funds, since liquidity…
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.
Tax-Managed Factor Strategies
We examine the tax efficiency of an indexing strategy and six factor tilts. Between June 1995 and March 2018, average value added by tax management exceeded 1.50% per year at a 10-year horizon for…
Taxes, Shorting, and Active Management
We examine the consequences of short selling in the context of quantitative investment strategies held by individual investors in taxable accounts. Short positions not only allow investors to benefit…
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