Tax Alpha Weekly

May 19, 2024

Research Roundup

Nuveen: After-Tax Efficient Frontier

SS&C: After-Tax Wealth Optimization

Parametric: The Case for Preferred Securities

Source: Nuveen

Tax-Aware Long-Short is On Deck

I begin with a series on tax-aware long-short strategies.

Over several posts, I will cover:

• Why does tax-aware long-short exist?

• How does it stack up against direct indexing?

• How does tax-aware long-short work?

• Diversifying single-stock concentration

  • Using variable prepaid forwards

• Application for values-aligned investing

  • Using leverage to give more

• Who is leading and who is disrupting?

• Why is this strategy taking so long to break into the market?

• Practicalities

  • Financing costs

  • Custodian support

  • After-tax reporting

  • Security selection

  • Is pre-tax alpha real?

  • Is post-tax alpha meaningful?

  • levering up… 130/30 to 250/150 and more?

  • Constructive sales

  • Dividend differential

• Risk

  • Drawdown

  • Margin

  • Short squeeze

  • How many shares can we short in aggregate?

• …and whatever else comes up along the way

Send me a message if you have ideas or requests.