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Whitepapers — December 18, 2023

Case Study: Tax-Efficient Portfolio Management at Scale  

In this paper, we present a fictional case study based on the many real conversations with, and the challenges we have solved, for wealth managers. Efficient Managed Investments (EMI) is the name of our wealth manager that is looking after investments on behalf of the Henderson Family Office. The case study will show how EMI approaches three different requirements by the end client related to tax-managed investing, using the portfolio construction and decision-making tool, Axioma Portfolio Optimizer.

We will show step-by-step how tax-sensitive optimizations can be backtested in the Axioma Portfolio Optimizer and then automated, using the API. The paper will also highlight some of the built-in tax aware features and the multi-optimization module that can be used straight out of the box to construct portfolios. At the end of the paper, we have included an appendix that details these tax-related objectives and constraints available in the software.  

Unless noted, all of the figures and simulations are sourced from the Axioma Portfolio Optimizer.

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