On average, net losses realized by direct indexing loss-harvesting strategies taper off within
the first few years after their inception. In our historical simulations, they reach a maximum …

We illustrate how combining VPFs with tax-aware strategies can help diversify low-basis
stock and thereby improve after-tax wealth accumulation. We find that direct-indexing …

Abstract Liberman et al.(2023) showed that tax-aware long-short factor strategies, within the
first three years since inception, can realize cumulative net capital losses exceeding 100 …

There is strong demand for sustainable investing in direct indexing strategies. We examine
implications of disagreement about environmental, social, and governance (ESG) ratings for …

This paper aims to analyze the portfolio return characteristics of investing in an index
through direct indexing and to measure the potential tax alpha derived from this investment …