TY - JOUR T1 - Tax Management of Factor-Based Portfolios JF - The Journal of Index Investing SP - 78 LP - 86 DO - 10.3905/jii.2016.7.2.078 VL - 7 IS - 2 AU - Rey Santodomingo AU - Vassilii Nemtchinov AU - Tianchuan Li Y1 - 2016/08/31 UR - https://pm-research.com/content/7/2/78.abstract N2 - 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.TOPICS: Analysis of individual factors/risk premia, performance measurement ER -