@article {Khang75, author = {Kevin Khang and Alan Cummings and Tom Paradise}, title = {Optimal Tax-Loss-Harvesting Implementation}, volume = {13}, number = {2}, pages = {75--89}, year = {2022}, doi = {10.3905/jbis.2022.13.2.075}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Tax-loss harvesting (TLH) is one of the most objectively quantifiable benefits of direct indexing (DI). Motivated by a wide range of TLH implementations in practice, this article examines the strengths and weaknesses of various modes of TLH implementation. We find that the effectiveness of a TLH strategy varies significantly over two margins: 1) the breadth of loss-harvesting opportunities (from a single fund to individual securities) and 2) the frequency of harvesting (from annual to daily). For DI investors who have a regular stream of significant capital gains to offset, DI with daily harvesting offers the maximal TLH effectiveness in all volatility environments.}, issn = {2771-6511}, URL = {https://jii.pm-research.com/content/13/2/75}, eprint = {https://jii.pm-research.com/content/13/2/75.full.pdf}, journal = {The Journal of Beta Investment Strategies} }