The authors analyze the performance of the private equity secondaries market during the
recent financial crisis. They show that the effective market liquidity contracted severely in …

This article sets forth a practical framework for incorporating tax management into long-only
factor investing and assessing the impact on tax efficiency and pre-tax returns. The …

It is widely believed that factor investing typically requires high turnover, which increases the
tax burden, rendering the factor alpha unobtainable in taxable accounts. Using 98 simulated …

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 …