The authors investigate how exchange-traded funds (ETFs), which are well known for tax
efficiency, can be used to create broader portfolio tax efficiency. They show that it is reasonable …

Investors have traditionally equated vola-tility with risk and viewed it as unavoid-able.
However, volatility also affects how returns compound over time, which raises the question: Is it …

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 …

Rebalancing is an important tool for managing risk in a portfolio. It can also be a source of
return--the act of maintaining constant weights generates a buy-low, sell-high trading pattern …

While there is a tax cost to recognizing the capital gain, doing so resets the holding period
and buys the option to recognize future capital losses. By thinking ahead and paying a long-…

This article examines the question facing taxable investors: How much of the equity portfolio
should be invested in a tax-managed core portfolio versus active satellite managers? …

Since 2002, the Securities and Exchange Commission has required mutual funds to present
both before and after-tax returns. Table 3A shows pretax and after-tax annualized returns for …

In this article, the authors formally define a measure of cross-sectional volatility, demonstrate
potential uses for a set of indices that track this metric, and establish a strong, positive …

The value of direct indexing in enhancing overall after-tax returns has been well established.
But where does direct indexing fit in an investor’s portfolio? In this paper, we demonstrate …

Global tactical asset allocation (GTAA) has rarely been associated with tax-aware investing.
Although GTAA can improve returns over a buy-and-hold strategy, more tactical trading (…