Tax Aware
April 9, 2024
Long/short tax-aware factor strategies may provide the means to offset gains resulting from a transition from a concentrated stock to a diversified portfolio.
Tax Aware
March 12, 2024
Factor investing (combined with tax-aware implementation) can offer investors substantial rewards in the form of both pre-tax returns and tax benefits. Two papers by our colleagues recently won highly prestigious awards from top academic and practitioner journals for their research on factor investing, demonstrating our commitment to top-notch factor research.
Tax Aware
March 7, 2024
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Joseph Liberman
Nathan Sosner
We illustrate how combining VPFs (variable prepaid forwards) with tax-aware strategies can help diversify low-basis stock and thereby improve after-tax wealth accumulation. Long-run after-tax wealth outcomes are significantly better when a VPF is combined with tax-aware long-short factor strategies rather than with other alternatives, such as a direct-indexing strategy or a market index fund.
ESG Investing
March 1, 2024
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Marc Eskildsen
Markus Ibert
Theis Ingerslev Jensen
Lasse H. Pedersen
The greenium (the expected return of green securities relative to brown) is a central impact measure for ESG investors. We propose a robust green score combined with forward-looking expected returns, yielding a more precisely estimated annual equity greenium.
ESG Investing
March 1, 2024
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Marc Eskildsen
Markus Ibert
Theis Ingerslev Jensen
Lasse H. Pedersen
The greenium (the expected return of green securities relative to brown) is a central impact measure for ESG investors. We propose a robust green score combined with forward-looking expected returns, yielding a more precisely estimated annual equity greenium.
Machine Learning
March 1, 2024
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Bryan T. Kelly
Semyon Malamud
Kangying Zhou
Contrary to conventional wisdom, we theoretically prove that simple models severely understate return predictability compared to “complex” models in which the number of parameters exceeds the number of observations. We empirically document the virtue of complexity in U.S. equity market return prediction. Our findings establish the rationale for modeling expected returns through machine learning.
Tax Aware
March 1, 2024
There is a range of solutions aimed at reducing the risk of concentrated stock tax-efficiently: completion portfolios, exchange funds, charitable giving, just to name a few. But for some investors, Variable Prepaid Forwards (VPFs ) are a favorite. It’s not hard to see why.
Tax Aware
March 1, 2024
There is a range of solutions aimed at reducing the risk of concentrated stock tax-efficiently: completion portfolios, exchange funds, charitable giving, just to name a few. But for some investors, Variable Prepaid Forwards (VPFs ) are a favorite. It’s not hard to see why.