TY - JOUR T1 - Optimal Tax-Loss-Harvesting Implementation JF - The Journal of Beta Investment Strategies SP - 75 LP - 89 DO - 10.3905/jbis.2022.13.2.075 VL - 13 IS - 2 AU - Kevin Khang AU - Alan Cummings AU - Tom Paradise Y1 - 2022/05/19 UR - https://pm-research.com/content/13/2/75.abstract N2 - 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. ER -