Abstract
Measuring portfolio performance on an after-tax basis is a challenging matter. Whether one uses simple or complex models, one implicitly or explicitly makes certain assumptions about a taxable investor9s time horizon and capital gains recognition behavior. This article integrates the after-tax performance measurement literature with recent advances in after-tax portfolio valuation. It implements a variation of Stein9s [1998] full cost equivalent model using after-tax valuation techniques developed by Horan [2007a, b]. The approach has several advantages. It can be applied relatively easily without sacrificing precision; it accounts for the impact of taxes on portfolio risk; and it can be used to develop a customized after-tax benchmark. <b>TOPICS:</b>Portfolio construction, legal/regulatory/public policy, risk management, performance measurement
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
