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The Journal of Beta Investment Strategies最新文献

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Tax-Efficient Diversification of a Concentrated Portfolio through Margin and Shorting 通过保证金和做空实现集中投资组合的节税多样化
The Journal of Beta Investment Strategies Pub Date : 2022-05-19 DOI: 10.3905/jbis.2022.13.2.101
L. Goldberg, Taotao Cai, Harrison Selwitz
{"title":"Tax-Efficient Diversification of a Concentrated Portfolio through Margin and Shorting","authors":"L. Goldberg, Taotao Cai, Harrison Selwitz","doi":"10.3905/jbis.2022.13.2.101","DOIUrl":"https://doi.org/10.3905/jbis.2022.13.2.101","url":null,"abstract":"We look at the rewards and risks of two tax-efficient strategies for diversifying a 10-stock basket of appreciated stocks in a separately managed account. Our long-only strategy requires an upfront partial liquidation whose after-tax proceeds are used to fund a diversified loss-harvesting portfolio. Losses are used to lower the weight of the remaining concentrated positions’ tax neutrally. Our margin-and-shorting strategy complements the 10-stock basket with a dollar-neutral loss-harvesting portfolio. An upfront liquidation is not required, although steep financing costs are associated with short positions in the loss-harvesting portfolio. Examining these strategies over many historical periods, we find that both diversification strategies typically generated portfolios with forecast tracking errors at roughly 1% on average at a 10-year horizon. The margin-and-shorting strategy delivered more tax alpha than the long-only strategy, however, for an investor with an initial investment of at least $10 million.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132786243","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Special Section Editor’s Introduction for 2022 Special Issue on Direct Indexing 2022年《直接索引》特刊编者简介
The Journal of Beta Investment Strategies Pub Date : 2022-05-19 DOI: 10.3905/jbis.2022.13.2.002
Benson W. Davis
{"title":"Special Section Editor’s Introduction for 2022 Special Issue on Direct Indexing","authors":"Benson W. Davis","doi":"10.3905/jbis.2022.13.2.002","DOIUrl":"https://doi.org/10.3905/jbis.2022.13.2.002","url":null,"abstract":"","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124578214","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Optimal Tax-Loss-Harvesting Implementation 最优税收损失收获实施
The Journal of Beta Investment Strategies Pub Date : 2022-05-19 DOI: 10.3905/jbis.2022.13.2.075
Kevin Khang, A. Cummings, Thomas H. Paradise
{"title":"Optimal Tax-Loss-Harvesting Implementation","authors":"Kevin Khang, A. Cummings, Thomas H. Paradise","doi":"10.3905/jbis.2022.13.2.075","DOIUrl":"https://doi.org/10.3905/jbis.2022.13.2.075","url":null,"abstract":"Tax-loss harvesting (TLH) is one of the most objectively quantifiable benefits of direct indexing (DI). Motivated by a wide range of TLH implementations in practice, this article examines the strengths and weaknesses of various modes of TLH implementation. We find that the effectiveness of a TLH strategy varies significantly over two margins: 1) the breadth of loss-harvesting opportunities (from a single fund to individual securities) and 2) the frequency of harvesting (from annual to daily). For DI investors who have a regular stream of significant capital gains to offset, DI with daily harvesting offers the maximal TLH effectiveness in all volatility environments.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"109 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121816770","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Direct Indexing: Opportunities for Customization and Potential Tax Alpha 直接索引:定制和潜在的税务阿尔法的机会
The Journal of Beta Investment Strategies Pub Date : 2022-04-23 DOI: 10.3905/jbis.2022.1.009
Lisa Shalett, D. Hunt, Steve Edwards, Spencer Cavallo
{"title":"Direct Indexing: Opportunities for Customization and Potential Tax Alpha","authors":"Lisa Shalett, D. Hunt, Steve Edwards, Spencer Cavallo","doi":"10.3905/jbis.2022.1.009","DOIUrl":"https://doi.org/10.3905/jbis.2022.1.009","url":null,"abstract":"Direct indexing strategies, delivered through customized separately managed accounts (SMAs) with direct ownership of underlying index constituents, can benefit investors through their flexibility. That direct ownership allows for customizing, both by selecting a specific index and by employing screening to avoid or feature certain exposures. Moreover, for taxable investors, direct indexing may unlock “tax alpha,” generated through proactive, security-level tax-loss harvesting.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120978419","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The Benefits of Direct Indexing for Transitioning Portfolios 直接索引转换投资组合的好处
The Journal of Beta Investment Strategies Pub Date : 2022-04-21 DOI: 10.3905/jbis.2022.1.008
Jim Cracraft, Srinivas Vemparala, Scott Kuldell, Neil Constable
{"title":"The Benefits of Direct Indexing for Transitioning Portfolios","authors":"Jim Cracraft, Srinivas Vemparala, Scott Kuldell, Neil Constable","doi":"10.3905/jbis.2022.1.008","DOIUrl":"https://doi.org/10.3905/jbis.2022.1.008","url":null,"abstract":"Direct indexing can provide substantial tax benefits over ETFs for a variety of common transitioning activities, such as repositioning and rebalancing. The authors show examples where common style or capitalization rotations can be performed at a fraction of the tax cost with direct indexing, using the concept of weighted name overlap to illustrate the weight of holdings that would not need to turn over and could thereby avoid incurring realized gains. The authors then introduce the concept of optimizing a transition from an appreciated direct index to another direct index by allowing tracking error to reduce turnover. To help advisors decide when to use direct indexing over straightforward index ETF vehicles, the authors describe key considerations, including client tax rate, holding period, name or factor overlap, index cross-sectional dispersion, and the frequency of active repositioning.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122427596","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Beware the Bounce: Tax-Loss Harvesting during a Stock Market Crash 谨防反弹:股市崩盘期间的税收损失收获
The Journal of Beta Investment Strategies Pub Date : 2022-04-15 DOI: 10.3905/jbis.2022.1.007
B. Davis, Tianchuan Li, V. Nemtchinov
{"title":"Beware the Bounce: Tax-Loss Harvesting during a Stock Market Crash","authors":"B. Davis, Tianchuan Li, V. Nemtchinov","doi":"10.3905/jbis.2022.1.007","DOIUrl":"https://doi.org/10.3905/jbis.2022.1.007","url":null,"abstract":"We compare three different approaches to mitigating post-crash underperformance risk associated with tax-loss harvesting strategies: a stock-bounds approach, a risk model approach, and an enhanced risk model approach, adding extra controls on factors associated with reversal risk. We analyze the reversal risk by conducting a comprehensive sweep, evaluating the performance of 60,000 realistically simulated accounts over the past 25 years, and quantifying the extent of pre-tax underperformance during the most stressful periods for index tracking.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121486271","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Direct Indexing with Tax-Loss Harvesting: The Importance of Held-Away Gains 直接索引与税收损失收获:持有收益的重要性
The Journal of Beta Investment Strategies Pub Date : 2022-03-22 DOI: 10.3905/jbis.2022.1.005
S. Anderson, Iraklis Kourtidis
{"title":"Direct Indexing with Tax-Loss Harvesting: The Importance of Held-Away Gains","authors":"S. Anderson, Iraklis Kourtidis","doi":"10.3905/jbis.2022.1.005","DOIUrl":"https://doi.org/10.3905/jbis.2022.1.005","url":null,"abstract":"Direct indexing (DI) combined with tax-loss harvesting (TLH) is a popular approach to generate capital losses to offset a client’s capital gains, while attempting to track a specified index. To quantify the tax alpha of DI/TLH, we must make assumptions about the amount of client capital gains that can be offset. The most common simplifying assumption is that the client has unlimited long-term (LT) gains to be offset and either unlimited (or perhaps zero) short-term (ST) gains. We relax these assumptions by using a schedule of expected yearly LT and ST “held-away” net gains. We show that as yearly expected gains decrease, the effectiveness of DI/TLH also decreases. Instead of fully offsetting capital gains, some TLH capital losses become carryover losses. These are still valuable, but delay the conversion of capital losses into a tax benefit. We quantify this effect using our tax-aware backtester.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126903478","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Evaluating the Cost of Managing Real Estate Mutual Funds 评估管理房地产共同基金的成本
The Journal of Beta Investment Strategies Pub Date : 2022-03-16 DOI: 10.3905/jbis.2022.1.004
D. Malhotra
{"title":"Evaluating the Cost of Managing Real Estate Mutual Funds","authors":"D. Malhotra","doi":"10.3905/jbis.2022.1.004","DOIUrl":"https://doi.org/10.3905/jbis.2022.1.004","url":null,"abstract":"We investigated the relationship between real estate mutual fund expense ratios, advisory fee, and total assets managed by real estate mutual funds. We also evaluated if cost efficiencies in management (dollar operating cost as well as advisory fee) were associated with scale in real estate investment trusts (REITs), our results showed that dollar cost increases in real estate mutual funds were less than proportionate to increases in assets, suggesting economies of scale for real estate mutual funds. Average cost elasticity for funds varied depending upon fund size, index versus non-index fund, institutional versus retail funds, global versus US real estate funds, and share class of funds. Cash flows were negatively related to the cost of managing a fund. We also found cost efficiencies in the advisory fee charged by real estate mutual funds contributed to economies of scale in the overall cost of fund management.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126107241","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
ETN Closures: An Empirical Analysis ETN闭包:实证分析
The Journal of Beta Investment Strategies Pub Date : 2022-03-16 DOI: 10.3905/jbis.2022.1.003
Nazli Sila Alan, John McDermott, Michael Puleo
{"title":"ETN Closures: An Empirical Analysis","authors":"Nazli Sila Alan, John McDermott, Michael Puleo","doi":"10.3905/jbis.2022.1.003","DOIUrl":"https://doi.org/10.3905/jbis.2022.1.003","url":null,"abstract":"We investigate the determinants of exchange-traded-note (ETN) closures using the full sample of ETNs listed in the CRSP Database. Examining a total of 356 unique ETNs between 2006 and 2019, we document 172 ETN closures (a 48% aggregate failure rate). We find that credit quality of the issuing bank and assets under management most meaningfully explain ETN closures, both are significantly negatively related to the likelihood of closure. We also find that leveraged, inverse, actively managed, and newer ETNs each face higher failure rates. Counterintuitively, we find neither strong nor expected associations between prior ETN returns, volatility, and closure likelihood.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128888699","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Combining Value and Profitability Factors to Improve Performance 结合价值和盈利能力因素提高绩效
The Journal of Beta Investment Strategies Pub Date : 2022-03-15 DOI: 10.3905/jbis.2022.1.002
A. Berkin, Larry E. Swedroe
{"title":"Combining Value and Profitability Factors to Improve Performance","authors":"A. Berkin, Larry E. Swedroe","doi":"10.3905/jbis.2022.1.002","DOIUrl":"https://doi.org/10.3905/jbis.2022.1.002","url":null,"abstract":"The value and profitability factors are widely used by both academics and practitioners. Studies of their properties have tended to focus on them separately. This article considers the results of combining these two factors. We find that portfolios formed on the intersection of stocks with both high value and profitability characteristics outperform portfolios with moderate characteristics, which in turn outperform portfolios of stocks with low characteristics. These results are persistent, pervasive, robust, investable, and intuitive, giving us greater faith in their continuing efficacy. We also show that, in contrast to the traditional value measure of book to market, value metrics using earnings and cash flow provide significant exposure to profitability and thus act as a useful complement.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"102 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123510783","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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