Tax-managed portfolio management
I am really interested in learning how to construct a portfolio with tax-managed core. and perhaps learning how to increase alpha by realizing losses while tracking certain benchmark. It seems like there are not that many books about the topic. Would anyone recommend me where to get some research paper or books?
Thanks.
There was a CFA monograph a few years ago by Jarrod Wilcox (formerly of Panagora) and Dan DiBartolomeo (Northfield) that has some basics on investment taxation.
I attempted to look into this a few years ago but backed off when I realized how intense the data side of it was. The tax-lot holdings files I was given were hundreds of times larger than the normal stuff I was used to.
Some simple tax-loss harvesting can really improve after-tax returns for most active portfolios, but not many places actually calculate or present after-tax returns.
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