Investors have access to a multitude of personalized indexing products, a key benefit of which is to allow for tax-loss harvesting (TLH). In this webinar, Professor Harry Mamaysky, Columbia University, uses a simple example to demonstrate many features of TLH and establish an invariance result which highlights circumstances where TLH does not matter. Using simulations, Professor Mamaysky analyzes the seasoning effect of TLH strategies and show that, absent investment inflows, the majority of TLH benefits accrue in the first few years of the strategy. Lower return correlations and a larger difference between high intermediate and lower terminal capital gains tax rates increase the benefit of TLH.
12.11.2023 - Tax Loss
Tax-loss Harvesting: A Primer
Presented by Professor Harry Mamaysky and