The Value of Tax Alpha
Parametric’s Custom Core strategies are designed to provide flexible, tax-efficient equity index exposure. “Tax alpha” is how we quantify the value of active tax-management. Here, we explore the two key drivers of tax alpha - the overall market return and cross-sectional stock volatility.
Tax Management of Factor-Based Portfolios
The risk-adjusted returns of factor strategies can look quite attractive. However, the turnover associated with them can significantly reduce their after-tax excess returns. In this article, we report the results of our after-tax study of these strategies.
Our Custom CoreTM Strategies let investors take charge of their passive mandates. Since our portfolios are held as separate accounts, we can customize them to meet client needs. Investors can select from a wide range of benchmarks and then tailor their exposure to incorporate their unique objectives.
Rey Santodomingo, CFA - Managing Director of Investment Strategy
Mr. Santodomingo is responsible for all aspects of Parametric’s Tax-Managed Equity Strategies. As one of the primary strategists for Custom Core™, he works closely with taxable clients and advisers to design, develop and implement custom portfolio solutions.
The views expressed in these posts are those of the authors and are current only through the date stated. These views are subject to change at any time based upon market or other conditions, and Parametric and its affiliates disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions for Parametric are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Parametric strategy. The discussion herein is general in nature and is provided for informational purposes only. There is no guarantee as to its accuracy or completeness. Past performance is no guarantee of future results. All investments are subject to the risk of loss.