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Welcome to the 2017 AFS Annual Meeing, being held this year, in conjunction with FPA in Nashville!
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Sunday, October 1 • 11:30am - 12:20pm
D2b Measuring the Impact of Dynamic Tax-Loss Harvesting on Portfolio Returns

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Tax-loss harvesting (TLH) has been shown to be a source of alpha for separately managed accounts in previous studies.  This study builds on this literature by looking at the performance of a pre-defined portfolio objective using various TLH strategies.  Specifically, we compare the performance of a portfolio that harvests monthly with portfolios that only harvest at the end of the year or follow a buy and hold strategy.  Results provide guidance to money managers on the best practices for TLH.

Author(s): John Clark, Stephen Riley, Richard Furmanski


John Clark

University of Missouri - Kansas City

Sunday October 1, 2017 11:30am - 12:20pm
Mockingbird 2