This is a summary of links featured on Quantocracy on Sunday, 09/08/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Exploring Bond Tax Efficiency: Futures or Bond ETFs? [Alpha Architect]Bond futures are often assumed to be more tax-efficient than bond ETFs. My analysis indicates that this assumption is frequently incorrect. Although investors might view the 60/40 tax treatment of futures as advantageous, a futures strategy faces several challenges compared to a bond ETF, including frequent taxable events, potential tax drag from cash collateral, and additional state taxation. My
-
Adding Leveraged, Long-Short Factor Strategies to Improve Tax Alpha [Alpha Architect]Empirical research, including the 2020 study An Empirical Evaluation of Tax-Loss Harvesting Alpha and the 2023 study Expected Loss Harvest from Tax-Loss Harvesting with Direct Indexing, has found that tax-loss harvesting strategies in separately managed accounts (SMAs) can improve the post-tax returns of an investment portfolio by employing a strategy of selling positions in securities
-
Research Review | 6 September 2024 | Portfolio Risk Management [Capital Spectator]Semivolatility-managed portfolios Daniel Batista da Silva (U. of Geneva) and M. Fernandes (Getulio Vargas Fnd.) July 2024 There is ample evidence that volatility management helps improve the risk-adjusted performance of momentum portfolios. However, it is less clear that it works for other factors and anomaly portfolios. We show that controlling by the upside and downside components of volatility