@article {Santodomingo1, author = {Rey Santodomingo and Vassilii Nemtchinov and Tianchuan (Tim) Li}, editor = {Moore, Howard}, title = {Practical Applications of Tax Management of Factor-Based Portfolios}, volume = {4}, number = {2}, pages = {1--4}, year = {2016}, doi = {10.3905/pa.2016.4.2.176}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Tax Management of Factor-Based Portfolios Rey Santodomingo Vassilii Nemtchinov Tianchuan (Tim) Li Would applying systematic tax-management strategies add value to the after-tax returns of single- and multifactor strategies? This is the question addressed by Rey Santodomingo, Vassilii Nemtchinov and Tim Li of Parametric Portfolio Associates .Santodomingo and his colleagues describe a practical approach to constructing risk-controlled factor strategy portfolios. They find that the effects of taxes are significant, even for the most tax-efficient factor strategies and that an active tax-management strategy can reduce tax costs and, sometimes, provide tax benefits. Systematically applying tax-management tactics can add 0.9\% to 1.8\% of tax alpha to these factor strategy portfolios.}, issn = {2329-0196}, URL = {https://pa.pm-research.com/content/4/2/1.11}, eprint = {https://pa.pm-research.com/content/4/2/1.11.full.pdf}, journal = {Practical Applications} }