%0 Journal Article %A Rey Santodomingo %A Vassilii Nemtchinov %A Tianchuan (Tim) Li %A Howard Moore %T Practical Applications of Tax Management of Factor-Based Portfolios %D 2016 %R 10.3905/pa.2016.4.2.176 %J Practical Applications %P 1-4 %V 4 %N 2 %X 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. %U https://pa.pm-research.com/content/iijpracapp/4/2/1.11.full.pdf