Abstract
In this article, the authors focus on the after-tax performance of several smart-beta strategies. These strategies have higher turnover than the capitalization-weighted index, which leads to a greater tax on returns. Despite this drag, most strategies retain a long-term excess return. The authors also test the effectiveness of tax-managed versions of the strategies. They observe that, relative to most active managers, smart-beta strategies have lower turnover, greater breadth, and are less concerned with stock selection. By allowing a tracking-error risk budget versus the original strategy, tax management can reduce much of the tax impact. <b>TOPICS:</b>Manager selection, passive strategies, statistical methods
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.
