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 …

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 proposes and analyzes an enhanced, but easily implemented, heuristic for tax-
loss harvesting within a portfolio of stocks. Because stock returns are correlated within and …

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 …

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 …

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 …

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 …