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Tactical and Tax Aware GTAA

Michael Aked, Robert Arnott, Paul Bouchey, Tianchuan Li and Omid Shakernia
The Journal of Portfolio Management Multi-Asset Special Issue 2019, 45 (2) 23-37; DOI: https://doi.org/10.3905/jpm.2018.45.2.023
Michael Aked
is director of research, Australia, for Research Affiliates, LLC, in Newport Beach, CA
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Robert Arnott
is founder and chairman of the board for Research Affiliates, LLC, in Newport Beach, CA
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Paul Bouchey
is chief investment officer for Parametric Portfolio Associates in Seattle, WA
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Tianchuan Li
is a researcher at Parametric Portfolio Associates in Seattle, WA
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Omid Shakernia
is senior vice president, asset allocation, for Research Affiliates, LLC, in Newport Beach, CA
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The Journal of Portfolio Management: 45 (2)
The Journal of Portfolio Management
Vol. 45, Issue 2
Multi-Asset Special Issue 2019
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Tactical and Tax Aware GTAA
Michael Aked, Robert Arnott, Paul Bouchey, Tianchuan Li, Omid Shakernia
The Journal of Portfolio Management Dec 2018, 45 (2) 23-37; DOI: 10.3905/jpm.2018.45.2.023

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Tactical and Tax Aware GTAA
Michael Aked, Robert Arnott, Paul Bouchey, Tianchuan Li, Omid Shakernia
The Journal of Portfolio Management Dec 2018, 45 (2) 23-37; DOI: 10.3905/jpm.2018.45.2.023
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  • Article
    • Abstract
    • THE TACTICAL MODEL
    • PORTFOLIO CONSTRUCTION
    • TAX MANAGEMENT
    • AFTER-TAX EXCESS RETURN DECOMPOSITION
    • OUR FINDINGS
    • ADAPTING TO DIFFERENT INVESTOR PREFERENCES
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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