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- Title
Optimal Tax-Loss-Harvesting Implementation.
- Authors
Khang, Kevin; Cummings, Alan; Paradise, Tom
- Abstract
Tax-loss harvesting (TLH) is one of the most objectively quantifiable benefits of direct indexing (DI). Motivated by a wide range of TLH implementations in practice, this article examines the strengths and weaknesses of various modes of TLH implementation. We find that the effectiveness of a TLH strategy varies significantly over two margins: 1) the breadth of loss-harvesting opportunities (from a single fund to individual securities) and 2) the frequency of harvesting (from annual to daily). For DI investors who have a regular stream of significant capital gains to offset, DI with daily harvesting offers the maximal TLH effectiveness in all volatility environments.
- Publication
Journal of Beta Investment Strategies, 2022, Vol 13, Issue 2, p75
- ISSN
2771-6511
- Publication type
Academic Journal
- DOI
10.3905/jbis.2022.13.2.075