Smart Beta Interactions with Tax-loss Harvesting
November 11, 2014 - Calendar Effects, Momentum Investing, Size Effect, Value Premium, Volatility Effects
Are gains from tax-loss harvesting, the systematic taking of capital losses to offset capital gains, additive to or subtractive from premiums from portfolio tilts toward common factors such as value, size, momentum and volatility (smart beta)? In their October 2014 paper entitled “Factor Tilts after Tax”, Lisa Goldberg and Ran Leshem look at the effects on portfolio performance… Keep Reading