{"title":"要素投资组合的税务管理","authors":"Rey Santodomingo, V. Nemtchinov, Tianchuan Li","doi":"10.3905/jii.2016.7.2.078","DOIUrl":null,"url":null,"abstract":"The risk-adjusted returns of factor strategies can look quite attractive. However, the turnover associated with them can significantly reduce their after-tax excess returns. In this article, the authors report the results of their after-tax study of these strategies. They find that material pre-tax excess return can be gained through exposure to popular factors—up to 2.4% net of management fees. From an after-tax perspective, they find that taxes can erode much of this return unless a systematic tax management process is applied.","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2016-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2016.7.2.078","citationCount":"9","resultStr":"{\"title\":\"Tax Management of Factor-Based Portfolios\",\"authors\":\"Rey Santodomingo, V. Nemtchinov, Tianchuan Li\",\"doi\":\"10.3905/jii.2016.7.2.078\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The risk-adjusted returns of factor strategies can look quite attractive. However, the turnover associated with them can significantly reduce their after-tax excess returns. In this article, the authors report the results of their after-tax study of these strategies. They find that material pre-tax excess return can be gained through exposure to popular factors—up to 2.4% net of management fees. From an after-tax perspective, they find that taxes can erode much of this return unless a systematic tax management process is applied.\",\"PeriodicalId\":36431,\"journal\":{\"name\":\"Journal of Index Investing\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2016-08-31\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.3905/jii.2016.7.2.078\",\"citationCount\":\"9\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Index Investing\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3905/jii.2016.7.2.078\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"Economics, Econometrics and Finance\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Index Investing","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jii.2016.7.2.078","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
The risk-adjusted returns of factor strategies can look quite attractive. However, the turnover associated with them can significantly reduce their after-tax excess returns. In this article, the authors report the results of their after-tax study of these strategies. They find that material pre-tax excess return can be gained through exposure to popular factors—up to 2.4% net of management fees. From an after-tax perspective, they find that taxes can erode much of this return unless a systematic tax management process is applied.
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