Loading…
This event has ended. Visit the official site or create your own event on Sched.
Welcome to the 2017 AFS Annual Meeing, being held this year, in conjunction with FPA in Nashville!
View analytic
Sunday, October 1 • 11:30am - 12:20pm
D2b Measuring the Impact of Dynamic Tax-Loss Harvesting on Portfolio Returns

Sign up or log in to save this to your schedule and see who's attending!

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

Presenters
JC

John Clark

University of Missouri - Kansas City


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