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Index / ETFs — November 14, 2023

Generating Tax Alpha with Optimized Index Tracking

Despite the significant impact of taxes on the growth of wealth held in taxable accounts, much of the research and discussion about portfolio management is based on pre-tax returns.

This paper presents our empirical investigation into how tax-aware portfolio optimization can systematically improve the post-tax returns of equity investment strategies for wealth managers tracking broad market indices within their portfolios. Our focus is on wealth managers who look after portfolios of individual investors and households subject to the United States tax code as of January 2023, but similar results do also hold true in other countries with analogous tax regulations.

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Sercan Yıldız, PhD

Research, Manager