The Hidden Advantage of Long/Short Portfolios
|
|
- Blake Pitts
- 5 years ago
- Views:
Transcription
1 The Hidden Advantage of Long/Short Portfolios January 9, 2019 by Larry Swedroe Advisor Perspectives welcomes guest contributions. The views presented here do not necessarily represent those of Advisor Perspectives. This article originally appeared in ETF.COM here. Conventional wisdom can be defined as ideas that are so accepted they go unquestioned. Unfortunately, conventional wisdom is often wrong. Two good examples are that millions of people once believed the conventional wisdom that the Earth is flat, and millions also believed that the Earth is the center of the universe. Much of today s conventional wisdom on investing is also wrong. Today we ll look at the conventional wisdom that the tax burden of an investment strategy increases with its turnover high turnover strategies exhibit a higher propensity to realize capital gains. In addition, short selling is perceived to be particularly tax inefficient, since the realized capital gains on short positions are generally taxed at the higher short-term capital gains tax rate, regardless of the holding period of the short positions. Recent research Clemens Sialm and Nathan Sosner, authors of the study Taxes, Shorting, and Active Management, published in the first quarter 2018 issue of the Financial Analysts Journal, examined the consequences of short selling in the context of quantitative investment strategies in taxable accounts of individual investors. They computed the tax burden of a quantitative fund manager who follows a combined value and momentum strategy. Combining value and momentum strategies is particularly beneficial because these strategies tend to exhibit negative correlation. Their model combined value and momentum with equal risk weights and targeted a tracking error of 4%. Tax awareness was implemented through a penalty term that incorporates tax costs into the portfolio s objective function. The sample period is 1985 through Following is a summary of their findings: Page 1, 2019 Advisor Perspectives, Inc. All rights reserved.
2 Short positions not only allow investors to benefit from the anticipated underperformance of securities, they create tax benefits because they enhance the opportunities to time capital gains realizations. The presence of short positions gives investment strategies additional opportunities for realizing capital losses in up markets, when capital losses from long positions are scarce. Up markets are also periods when investors tend to have more abundant capital gains, making the realization of capital losses in these periods particularly valuable. Long-short strategies increase the opportunity to realize short-term losses, which are particularly beneficial because the short-term capital gains tax rate is substantially higher than the long-term rate, and the realized short-term losses will first be used to offset highly taxed short-term capital gains. The relaxation of short selling constraints generates tax benefits because the long positions of a portfolio tend to generate long-term capital gains, which are taxed at relatively low rates, whereas the short positions tend to generate short-term capital losses, which offset short-term capital gains taxed at relatively high rates. Specifically, Sialm and Sosner found that if the strategy is managed as a long-only portfolio, it generates a tax burden of 2.8% per year. On the other hand, if the strategy is managed as a relaxedconstraint portfolio that combines a 130% long exposure with a 30% short exposure, its tax burden reduces to 2.2% per year. For a long-short strategy the tax burden turns into a tax benefit of 0.5% per year. They also found that the investor can further enhance the tax benefits by deferring the realization of capital gains and accelerating the realization of capital losses. As compared to the tax-agnostic approach, such tax-aware asset management reduces the annual tax burden of the long-only strategy from 2.8% to 1%, turns the annual 2.2% tax burden of the relaxed-constraint strategy into a 0.7% tax benefit, and increases the tax benefit of the long-short strategy from 0.5% to 4.6% per year. Tax-aware strategies also significantly reduce turnover of long-short strategies, as they reduce capital gains realizations (delaying realization until short-term gains become long term) and thus trading costs. Additional findings It s important to note that Sialm and Sosner s results are specific to investors who realize sufficient short- and long-term capital gains from other investment sources. The reduction in the taxes is smaller if the portfolios are structured as mutual funds according to the Investment Company Act of 1940 or if the investor does not have any other capital gains in the portfolio. In these cases, the remaining capital losses need to be carried forward to future years, which will likely reduce the benefits of capital loss realizations. However, they also noted that despite these reductions in the tax benefits using limited offsets, we find a significant reduction in the tax burden in strategies that take advantage of short selling and tax awareness. For example, a tax-agnostic long-only strategy generates tax costs of 3.1% per year, whereas a tax-agnostic long-short strategy generates tax costs of only 0.7% per year despite a higher pre-tax active return. Furthermore, introducing tax awareness generates a tax benefit of 0.4% for a Page 2, 2019 Advisor Perspectives, Inc. All rights reserved.
3 long-short strategy. This small benefit occurs primarily due to the fact that dividends obtained on the long positions qualify for the dividend tax rate, whereas in-lieu dividend payments on the short positions can be deducted from ordinary income emanating from cash used to finance the long-short portfolio. Thus, tax-awareness and short-selling can also enhance after-tax returns for investors who have limited opportunities to offset capital gains realizations. The authors also noted that their examples assume that the portfolio does not experience any inflows or outflows of funds. Inflows provide additional opportunities to reduce the tax burden of future portfolio rebalancing since these funds are used to purchase new positions and thus increase the cost basis of a portfolio with embedded unrealized capital gains. On the other hand, outflows, if not managed in a tax-efficient manner, may trigger additional taxes as the investor needs to liquidate positions and potentially realize capital gains. Superior after-tax performance Sialm and Sosner concluded that their results show that quantitative investment strategies that take advantage of short selling can generate superior after-tax performance by significantly reducing the tax burden, and can even generate tax benefits if executed with an eye toward tax awareness. They also found on average the tax benefits of tax-aware strategies come from short positions. Moreover, these tax benefits are positively correlated with market returns meaning that the short positions generate tax losses exactly at the time when other investments in the investor s portfolio are likely to be at a gain. Importantly, they also found that their conclusions are robust to the target level of active risk, to transaction and financing costs, to the level of tax aversion, and to the historical variation in tax rates. Summarizing, Sialm and Sosner demonstrate that the conventional wisdom on the tax-efficiency of long-short strategies is wrong, having found that, on average, the tax benefits of tax-aware strategies come from short positions. In addition, they found these tax benefits are positively correlated with market returns meaning that the short positions generate tax losses exactly at the time when other investments in the investor s portfolio are likely to be at a gain. According to the authors, their evidence demonstrates that short-selling is a valuable tool for a taxable investor. While portfolio design decisions market beta, level of risk and tax aversion, and turnover and leverage might vary, the presence of short positions is likely to enhance after-tax returns and to interact favorably with explicit tax awareness. Character of tax benefits of relaxed-constraint strategies Sosner, with co-authors Stanley Krasner and Ted Pyne, followed up his original study with the October 2018 study The Tax Benefits of Relaxing the Long-Only Constraint: Do They Come from Character or Deferral? which covers the period January 1988 to December The authors focus on the tax benefits of a quantitative tax-aware fund manager who follows either a Page 3, 2019 Advisor Perspectives, Inc. All rights reserved.
4 combined value and momentum strategy or a passive index strategy with a quantitative tax management overlay. They begin by noting there are two ways of achieving a tax benefit at the level of an overall investment portfolio held in a taxable account: An investor can favorably affect the character of realized capital gains and income at the overall portfolio level by tilting the balance of net realized gains in a given year from short-term to longterm gains and from highly taxed ordinary income to low-taxed qualified dividends. A character benefit occurs because short-term losses offset short-term gains before offsetting any long-term gains. Thus, a strategy realizing long-term gains and qualified dividend income and short-term losses and ordinary deductions tilts the balance of net realized gains and income in a given year from short term (and ordinary) to long term (and qualified dividends) at the overall portfolio level. This benefit is permanent. However, a strategy s character benefit only exists when other strategies in the overall investment portfolio realize their gains and income in highly taxed characters short-term capital gains and ordinary income. At the overall portfolio level, an investor can defer the realization of capital gains to future years and benefit from a reduction in the current year s taxable gains. In this case, the benefit is temporary because, barring a tax-exempt portfolio liquidation due to donation to charity or step-up in the cost basis at death, an increase in current unrealized gains leads to higher liquidation taxes. Despite being temporary, deferral benefits add value, allowing wealth to compound at a faster rate. Following is a summary of Sosner, Krasner and Pyne s findings: Under their tax rate assumptions, for a relaxed-constraint value-momentum strategy, tax awareness increases after-tax (net of transaction and financing cost) annual returns by close to 1%. Most of the benefit comes from the realization of short-term capital losses, with a small benefit from in-lieu dividends expense on short positions. The tax-aware, value-momentum, relaxed-constraint strategy tends to realize tax benefits in falling markets and tax costs in rising markets. However, its benefits in falling markets are higher and its costs in rising markets are lower compared to its long-only counterparts tax-aware, value-momentum, long-only strategy and passively indexed, loss-harvesting strategy. This is because, due to shorting, the relaxed-constraint strategy inherits some of the properties of the very-tax-efficient long-short strategy: The tax-aware, value-momentum, long-short strategy realizes tax benefits in both rising and falling markets, with its tax benefits being even higher in rising markets, when all the beta-one strategies relaxed-constraint, long-only and passively indexed tend to realize significant tax costs. All the tax-aware strategies relaxed-constraint (such as 130 long/30 short), long-short, longonly and passively-indexed convey much larger benefits to those investors who have the ability to efficiently use short-term losses and deductions realized by the strategies against short-term gains and ordinary income from other strategies in their investment portfolio. Importantly, the new result of Sosner, Krasner and Pyne s study is that, with the exception of the first Page 4, 2019 Advisor Perspectives, Inc. All rights reserved.
5 few years, in an average year, all the tax-aware beta-one strategies relaxed-constraint, long-only and passively-indexed obtain their tax benefits from character, whereas the tax-aware long-short strategy obtains its tax benefits from both character and deferral. Moreover, since the tax-aware relaxed-constraint strategy similar to long-short benefits from shorting, its character benefit is substantially higher than the character benefits of tax-aware, long-only and passively indexed, loss-harvesting strategies. This result is true in an average year and also in rising and falling market years. The authors concluded: Empirical evidence shows that for tax-aware strategies relaxing the long-only constraint results in a drastic increase in their tax benefits and in particular in the character benefit. We thus conclude that tax aware relaxed-constraint strategies are more attractive to taxable investors than their long-only counterparts. Conclusion These findings have important implications for investors willing to consider leverage and shorting as part of their equity strategies. For example, AQR Capital Management employs the tax-aware stock selection strategy in its Alternative Risk Premia R6 Fund (QRPRX). The short-term capital losses realized by the stock selection strategy help offset short-term capital gains from other strategies trading futures, forwards and options. As a result, despite being an alternative hedge-fundlike investment, QRPRX is expected to be highly tax efficient because it: (1) distributes only a small portion of its economic return as dividends; and (2) those dividends predominantly comprise low-taxed long-term capital gains and qualified dividend income. The tax efficiency of QRPRX allows investors to hold the strategy in taxable accounts. For investors with limited capacity in tax-advantaged accounts, this is an important benefit. (Full disclosure: My firm, Buckingham Strategic Wealth, recommends AQR funds in constructing client portfolios.) Larry Swedroe is the director of research for The BAM Alliance, a community of more than 140 independent registered investment advisors throughout the country. Page 5, 2019 Advisor Perspectives, Inc. All rights reserved.
Recent increases in tax rates have
A reprinted article from January/February 2015 IMCA Investment Management Consultants Association TAX-EFFICIENT INVESTING Tactics and Strategies By Paul Bouchey, CFA, Rey Santodomingo, CFA, and Jennifer
More informationDoes Morgan Stanley Add Value For Investors?
Does Morgan Stanley Add Value For Investors? September 8, 2015 by Larry Swedroe In an April 21, 2015 column, New York Times reporter Nathaniel Popper observed that, over the last few years, a growing line
More informationBAM Intelligence. 1 of 7 11/6/2017, 12:02 PM
1 of 7 11/6/2017, 12:02 PM BAM Intelligence Larry Swedroe, Director of Research, 6/22/2016 For about ree decades, e working asset pricing model was e capital asset pricing model (CAPM), wi beta specifically
More informationDo Goldman Sachs' Funds Add Value for Investors?
Do Goldman Sachs' Funds Add Value for Investors? May 19, 2015 by Larry Swedroe In an April column, New York Times reporter Nathaniel Popper noted that, over the last few years, an expanding line of mutual
More informationStructured Portfolios: Solving the Problems with Indexing
Structured Portfolios: Solving the Problems with Indexing May 27, 2014 by Larry Swedroe An overwhelming body of evidence demonstrates that the majority of investors would be better off by adopting indexed
More informationAsset Location for Retirement Savers
Asset Location for Retirement Savers James M. Poterba Massachusetts Institute of Technology, Hoover Institution, and NBER John B. Shoven Stanford University and NBER Clemens Sialm Stanford University November
More informationDoes Wells Fargo Add Value for Investors?
Does Wells Fargo Add Value for Investors? October 5, 2015 by Larry Swedroe Assets in actively managed mutual funds have been a consistent source of revenue growth for Wall Street banks. But would investors
More informationCan American Funds Sustain Its Outperformance?
Can American Funds Sustain Its Outperformance? June 30, 2015 by Larry Swedroe Among actively managed funds, American Funds has a reputation for providing investor-friendly, lowcost products with sustained
More informationThis work is distributed as a Discussion Paper by the STANFORD INSTITUTE FOR ECONOMIC POLICY RESEARCH. SIEPR Discussion Paper No.
This work is distributed as a Discussion Paper by the STANFORD INSTITUTE FOR ECONOMIC POLICY RESEARCH SIEPR Discussion Paper No. 00-08 ASSET LOCATION FOR RETIREMENT SAVERS James M. Poterba* John B. Shoven**
More informationFactor Investing: Smart Beta Pursuing Alpha TM
In the spectrum of investing from passive (index based) to active management there are no shortage of considerations. Passive tends to be cheaper and should deliver returns very close to the index it tracks,
More informationDid Barron s Number-One Ranked Fund Family Add Value for Its Investors?
Did Barron s Number-One Ranked Fund Family Add Value for Its Investors? August 11, 2015 by Larry Swedroe Our series evaluating the performance of the market s most prominent actively managed mutual fund
More informationDoes GMO Add Value for Investors?
Does GMO Add Value for Investors? March 1, 2016 by Larry Swedroe My series evaluating the performance of the market s most prominent actively managed mutual fund families continues today with an in-depth
More informationDoes T. Rowe Price Add Value for Investors?
Does T. Rowe Price Add Value for Investors? May 3, 2016 by Larry Swedroe My series evaluating the performance of the market s most prominent actively managed mutual fund families continues with an in-depth
More informationThe Factors That Matter
The Factors That Matter Presented to Democratize Quant / MARC March 22, 2018 Presented by: Tammira Philippe, CFA President Bridgeway Capital Management This material is intended for use by investment professionals
More informationDiversified Growth Fund
Diversified Growth Fund A Sophisticated Approach to Multi-Asset Investing Introduction The Trustee of the NOW: Pensions Scheme has appointed NOW: Pensions Investment A/S Fondsmæglerselskab A/S as Investment
More informationFor many private investors, tax efficiency
The Long and Short of Tax Efficiency DORSEY D. FARR DORSEY D. FARR is vice president and senior economist at Balentine & Company in Atlanta, GA. dfarr@balentine.com Anyone may so arrange his affairs that
More informationDo The Russell Funds Add Value for Investors?
Do The Russell Funds Add Value for Investors? November 2, 2015 by Larry Swedroe Do The Russell Funds Add Value for Investors? By Larry Swedroe November 3, 2015 My series evaluating the performance of the
More informationHow Much Should DC Savers Worry about Expected Returns?
Volume 5 1 2 www.practicalapplications.com How Much Should DC Savers Worry about Expected Returns? ANTTI ILMANEN, MATTHEW RAUSEO, and LIZA TRUAX The Voices of Influence iijournals.com Practical Applications
More informationThe Wise Investor The Components of Net Returns
The Wise Investor The Components of Net Returns Investors face a myriad of investment options, and determining which options offer the best odds of success is no mean feat. A prudent investment approach
More informationDynamic Smart Beta Investing Relative Risk Control and Tactical Bets, Making the Most of Smart Betas
Dynamic Smart Beta Investing Relative Risk Control and Tactical Bets, Making the Most of Smart Betas Koris International June 2014 Emilien Audeguil Research & Development ORIAS n 13000579 (www.orias.fr).
More informationHull Tactical US ETF EXCHANGE TRADED CONCEPTS TRUST. Prospectus. March 30, 2018
EXCHANGE TRADED CONCEPTS TRUST Prospectus March 30, 2018 Hull Tactical US ETF Principal Listing Exchange for the Fund: NYSE Arca, Inc. ( NYSE Arca ) Ticker Symbol: HTUS Neither the Securities and Exchange
More informationWealth Strategies. Saving For Retirement: Tax Deductible vs Roth Contributions.
www.rfawealth.com Wealth Strategies Saving For Retirement: Tax Deductible vs Roth Contributions Part 2 of 12 Your Guide to Saving for Retirement WEALTH STRATEGIES Page 1 Saving For Retirement: Tax Deductible
More informationCHAPTER 17 INVESTMENT MANAGEMENT. by Alistair Byrne, PhD, CFA
CHAPTER 17 INVESTMENT MANAGEMENT by Alistair Byrne, PhD, CFA LEARNING OUTCOMES After completing this chapter, you should be able to do the following: a Describe systematic risk and specific risk; b Describe
More informationBatseta Seminar. Understanding risk April 2016
Batseta Seminar Understanding risk April 2016 $350bn Global ETP cumulative flow The global ETP inflow 2015 Source: BlackRock ETP Landscape The global ETP inflow by asset class & exposure 2015 The SATRIX
More informationThe History of Rebalancing of the Fund
NBIM Discussion NOTE #4-2012 This paper was part of the NBIM memo On rebalancing (February 2012) The History of Rebalancing of the Fund 30/03/2012 In this note we dig deeper into the rebalancing question
More informationThe Incredible Shrinking Alpha
Closing Keynote: The Incredible Shrinking Alpha Speaker: LARRY SWEDROE Managing Principal & Director of Research Buckingham Family of Financial Services & the BAM Alliance Larry Swedroe Director of Research
More informationT A X A D V A N T A G E D E Q U I T Y
Nor thern Trust T A X A D V A N T A G E D E Q U I T Y I S N O W T H E R I G H T T I M E T O H A R V E S T G A I N S? Northern Trust s Tax Advantaged Equity team presents a model to help assess the investment
More informationCIO Educational Series
CIO Educational Series The Capital Gains Dilemma OCTOBER 2018 Why investors should start thinking strategically about capital gains and taxes The current bull market, almost a decade long, has left many
More informationU.S. Large Cap Value Portfolio
U.S. Large Cap Value Portfolio SHARE CLASS (TICKER): INSTITUTIONAL CLASS (DFLVX) Summary Prospectus February 28, 2018 Before you invest, you may want to review the Portfolio s Prospectus, which contains
More informationImproving on Buy and Hold: Tactical Asset Allocation Mebane Faber March 3, 2009
Improving on Buy and Hold: Tactical Asset Allocation Mebane Faber March 3, 2009 Advisor Perspectives welcomes guest contributions. The views presented here do not necessarily represent those of Advisor
More informationThe Navigator. September 2016 Issue 9. Variable Annuities. A Financial Planning Resource from Pekin Singer Strauss Asset Management
The Navigator A Financial Planning Resource from Pekin Singer Strauss Asset Management September 2016 Issue 9 Variable annuities are highly complex financial instruments that, despite their popularity,
More informationOPPENHEIMER ETF TRUST
OPPENHEIMER ETF TRUST OPPENHEIMER LARGE CAP REVENUE ETF OPPENHEIMER MID CAP REVENUE ETF OPPENHEIMER SMALL CAP REVENUE ETF OPPENHEIMER FINANCIALS SECTOR REVENUE ETF OPPENHEIMER ULTRA DIVIDEND REVENUE ETF
More informationAdvisor Briefing Why Alternatives?
Advisor Briefing Why Alternatives? Key Ideas Alternative strategies generally seek to provide positive returns with low correlation to traditional assets, such as stocks and bonds By incorporating alternative
More informationRational Defensive Growth Fund Class A Shares: HSUAX Class C Shares: HSUCX Institutional Shares: HSUTX
Rational Defensive Growth Fund : HSUAX : HSUCX Institutional : HSUTX SUMMARY PROSPECTUS May 1, 2017 Before you invest, you may want to review the Fund s complete prospectus, which contains more information
More informationHull Tactical US ETF EXCHANGE TRADED CONCEPTS TRUST. Prospectus. April 1, 2019
EXCHANGE TRADED CONCEPTS TRUST Prospectus April 1, 2019 Hull Tactical US ETF Principal Listing Exchange for the Fund: NYSE Arca, Inc. Ticker Symbol: HTUS Neither the U.S. Securities and Exchange Commission
More informationLazard Insights. Distilling the Risks of Smart Beta. Summary. What Is Smart Beta? Paul Moghtader, CFA, Managing Director, Portfolio Manager/Analyst
Lazard Insights Distilling the Risks of Smart Beta Paul Moghtader, CFA, Managing Director, Portfolio Manager/Analyst Summary Smart beta strategies have become increasingly popular over the past several
More informationAccess. Access Equity Investments. Alternative Assets. Access Alternative Strategies. Access. Fixed Income AAA... BBB+... CCC... Alternative Assets
Building Blocks for Today s Portfolios Gain access to a broad range of investment options through this customizable variable annuity investment platform. With a robust offering of equity investments, fixed
More informationThinking. Alternative. Third Quarter The Role of Alternative Beta Premia
Alternative Thinking The Role of Alternative Beta Premia While risk parity strategies are our highest-capacity answer for investing in long-only, core asset classes, alternative beta premia dynamic long-short
More informationSTRATEGY OVERVIEW EMERGING MARKETS LOW VOLATILITY ACTIVE EQUITY STRATEGY
STRATEGY OVERVIEW EMERGING MARKETS LOW VOLATILITY ACTIVE EQUITY STRATEGY A COMPELLING OPPORTUNITY For many years, the favourable demographics and high economic growth in emerging markets (EM) have caught
More informationFactorReview Q Quarterly Highlights
The Factor Review provides an analysis of several of the most robust risk factors explaining stock returns, as identified through several decades of academic research. We strive to harvest the premia associated
More informationPROSPECTUS. BlackRock Variable Series Funds, Inc. BlackRock Capital Appreciation V.I. Fund (Class III) MAY 1, 2018
MAY 1, 2018 PROSPECTUS BlackRock Variable Series Funds, Inc. c BlackRock Capital Appreciation V.I. Fund (Class III) This Prospectus contains information you should know before investing, including information
More informationManagers who primarily exploit mispricings between related securities are called relative
Relative Value Managers who primarily exploit mispricings between related securities are called relative value managers. As argued above, these funds take on directional bets on more alternative risk premiums,
More informationA NEW VIEW OF VARIABLE ANNUITIES:
A NEW VIEW OF VARIABLE ANNUITIES: TAX ADVANTAGED INVESTING FOR CLIENTS WITH JEFFERSON NATIONAL, HORTER & TCA JNL20XXXX-AXXX FOR FINANCIAL PROFESSIONAL USE ONLY. NOT FOR PUBLIC USE. Agenda Jefferson National
More informationIs Your Alpha Big Enough to Cover Its Taxes? A Quarter-Century Retrospective
June 2018. Arnott. Is Your Alpha Big Enough to Cover Its Taxes? A Quarter-Century Retrospective 1 Is Your Alpha Big Enough to Cover Its Taxes? A Quarter-Century Retrospective Investors and their advisors
More informationAmplify EASI Tactical Growth ETF
AMPLIFY ETF TRUST SUMMARY PROSPECTUS JUNE 11, 2018 Amplify EASI Tactical Growth ETF NYSE Arca EASI Before you invest, you may want to review the Fund s prospectus, which contains more information about
More informationMy Favorite Two Corporate Finance Puzzles
My Favorite Two Corporate Finance Puzzles Harold Bierman My favorite two corporate finance puzzles are: 1. The dividend puzzle. 2. The capital structure puzzle. Long ago, Fischer Black (1976) wrote the
More informationRiverPark Long/Short Opportunity Fund
Summary Prospectus January 27, 2017 RiverPark Long/Short Opportunity Fund Retail Class Shares Institutional Class Shares Class C Shares* * Class C Shares are not currently being offered for sale to investors.
More informationProspectus. AGFiQ Equal Weighted High Momentum Factor Fund (HIMO)
Prospectus AGFiQ U.S. Market Neutral Momentum Fund (MOM) AGFiQ U.S. Market Neutral Value Fund (CHEP) AGFiQ U.S. Market Neutral Size Fund (SIZ) AGFiQ U.S. Market Neutral Anti-Beta Fund (BTAL) AGFiQ Hedged
More informationDoes JPMorgan Chase Add Value For Investors?
Does JPMorgan Chase Add Value For Investors? June 2, 2015 by Larry Swedroe In an April column, New York Times reporter Nathaniel Popper noted that, over the last few years, an expanding line of mutual
More informationUniversity of New Brunswick. Investments Committee. Statement of Investment Objectives and Policy
Statement of Investment Objectives and Policy TABLE OF CONTENTS Title Page 1. Introduction and Purpose... 3 2. Goals and Objectives... 3 3. General... 3 4. Description of Business and Asset Base... 4 5.
More informationPRINCIPAL FUNDS, INC. ( PFI )
PRINCIPAL FUNDS, INC. ( PFI ) Institutional Class Shares Class R-1 Shares Class R-2 Shares Class R-3 Shares Class R-4 Shares Class R-5 Shares Class R-6 Shares The date of this Prospectus is September 6,
More informationJACOBS LEVY CONCEPTS FOR PROFITABLE EQUITY INVESTING
JACOBS LEVY CONCEPTS FOR PROFITABLE EQUITY INVESTING Our investment philosophy is built upon over 30 years of groundbreaking equity research. Many of the concepts derived from that research have now become
More informationEmployee Stock Ownership Plans (ESOPs)
Employee Stock Ownership Plans (ESOPs) By Keith J. Apton Senior Vice President Investments (202)585-5358 Current as of 9/29/2014 Congress and the Obama administration recently enacted legislation that
More informationThe benefits of core-satellite investing
The benefits of core-satellite investing Contents 1 Core-satellite: A powerful investment approach 3 The key benefits of indexing the portfolio s core 6 Core-satellite methodology Core-satellite: A powerful
More informationIMPACT. November/December last-minute tax-planning ideas. Need a financial backup plan? Why you should consider a SLAT
tax November/December 2015 IMPACT 5 last-minute tax-planning ideas Need a financial backup plan? Why you should consider a SLAT Solving the play-or-pay conundrum Tax Tips Passive foreign investment company,
More informationThe new asset allocation took effect on July 1, 2014 coinciding with the beginning of the 2015 fiscal year and involved the following changes:
This memo is intended to memorialize the decision made by the SDCERA Board of Trustees to change the SDCERA Policy Asset Allocation effective July 1, 2014. Beginning in 2009, the SDCERA Board of Trustees
More informationETF tax efficiency Fact or fiction?
ETF tax efficiency Fact or fiction? kpmg.com Exchange traded funds (ETFs) are widely regarded as being more tax efficient than comparable mutual funds. This is one of the core selling points that ETF sponsors
More informationDo John Hancock Funds Add Value for Investors?
Do John Hancock Funds Add Value for Investors? August 24, 2015 by Larry Swedroe My series evaluating the performance of the market s most prominent actively managed mutual fund families continues today
More informationq merrill edge guided investing strategy profile CIO Moderately Conservative ETF Core Tax Aware
Overview This Strategy seeks to provide diversified exposure among three major asset classes for a client's account with a moderately conservative target asset allocation. In normal market conditions,
More informationInvestment Taxation and Portfolio Performance
1 Investment Taxation and Portfolio Performance Daniel Bergstresser Harvard Business School Jeffrey Pontiff Wallace E. Carroll School of Management Boston College 2 Why is Investment Taxation Important?
More informationMenu Choices in Defined Contribution Pension Plans
SIEPR policy brief Stanford University August 2014 Stanford Institute for Economic Policy Research on the web: http://siepr.stanford.edu Menu Choices in Defined Contribution Pension Plans By Clemens Sialm
More informationHow Tax Efficient are Equity Styles?
Working Paper No. 77 Chicago Booth Paper No. 12-20 How Tax Efficient are Equity Styles? Ronen Israel AQR Capital Management Tobias Moskowitz Booth School of Business, University of Chicago and NBER Initiative
More informationA NEW VIEW OF VARIABLE ANNUITIES:
A NEW VIEW OF VARIABLE ANNUITIES: TAX ADVANTAGED INVESTING FOR CLIENTS WITH JEFFERSON NATIONAL, HORTER & TCA JNL20XXXX-AXXX FOR FINANCIAL PROFESSIONAL USE ONLY. NOT FOR PUBLIC USE. Agenda Jefferson National
More informationNOT ALL RISK MITIGATION IS CREATED EQUAL
MARK SPITZNAGEL President & Chief Investment Officer Universa Investments L.P. S A F E H A V E N I N V E S T I N G - P A R T O N E NOT ALL RISK MITIGATION IS CREATED EQUAL October 2017 Mark founded Universa
More informationWhy Dividend-Paying Stocks are Riskier than You Think
Why Dividend-Paying Stocks are Riskier than You Think December 15, 2015 by Larry Swedroe As advisors shift allocations from bonds to high-dividend stocks, they are exposing their clients to equity market
More informationHas Vanguard Added Value as an Active Manager?
Has Vanguard Added Value as an Active Manager? January 12, 2016 by Larry Swedroe Passive management was pioneered by Vanguard, and its founder, John Bogle, remains its most outspoken advocate. But the
More informationFactor Investing & Smart Beta
Factor Investing & Smart Beta Raina Oberoi VP, Index Applied Research MSCI 1 Outline What is Factor Investing? Minimum Volatility Index Methodology Historical Performance and Index Characteristics Risk
More informationAiming to deliver attractive absolute returns with style
For professional investors only Aiming to deliver attractive absolute returns with style BMO Global Equity Market Neutral (SICAV) 2 BMO Global Equity Market Neutral (SICAV) Leveraging our proven capabilities
More informationTactical Asset Allocation in the Age of ETFs
Tactical Asset Allocation in the Age of ETFs August 16, 2016 by Henry Ma, Ph.D., CFA Advisor Perspectives welcomes guest contributions. The views presented here do not necessarily represent those of Advisor
More informationRATIONAL DYNAMIC BRANDS FUND
Rational Dynamic Brands Fund Class A : HSUAX Class C : HSUCX Institutional : HSUTX August 31, 2018 The information in this Supplement provides new information beyond that contained in the currently effective
More informationin-depth Invesco Actively Managed Low Volatility Strategies The Case for
Invesco in-depth The Case for Actively Managed Low Volatility Strategies We believe that active LVPs offer the best opportunity to achieve a higher risk-adjusted return over the long term. Donna C. Wilson
More informationRetirement. Optimal Asset Allocation in Retirement: A Downside Risk Perspective. JUne W. Van Harlow, Ph.D., CFA Director of Research ABSTRACT
Putnam Institute JUne 2011 Optimal Asset Allocation in : A Downside Perspective W. Van Harlow, Ph.D., CFA Director of Research ABSTRACT Once an individual has retired, asset allocation becomes a critical
More informationBuy-Out Transactions: Private Wealth Considerations
Buy-Out Transactions: Private Wealth Considerations During the period approaching and immediately following a buy-out transaction, business owners selling a company have numerous tax and wealth planning
More informationHarbour Asset Management New Zealand Equity Advanced Beta Fund FAQ S
Harbour Asset Management New Zealand Equity Advanced Beta Fund FAQ S January 2015 ContactUs@harbourasset.co.nz +64 4 460 8309 What is Advanced Beta? The name Advanced Beta is often interchanged with terms
More informationInvestment Policy Statement
Investment Policy Statement Contents Introduction 1 Implementing the investment strategy 5 Roles and responsibilities 1 Risk management 6 Investment mission & beliefs 2 Monitoring and reviewing the investment
More informationFEDERATED MDT LARGE CAP GROWTH FUND
FEDERATED MDT LARGE CAP GROWTH FUND A Portfolio of Federated MDT Series P R O S P E C T U S November 5, 2010 (Revised May 12, 2011) INSTITUTIONAL SHARES (TICKER QILGX) A mutual fund seeking long-term capital
More informationINVESTMENT POLICY STATEMENT TEXAS ENDOWMENT FUNDS
INVESTMENT POLICY STATEMENT TEXAS ENDOWMENT FUNDS 1 TABLE OF CONTENTS CHAPTER PAGE I. GENERAL INFORMATION 3 II. FUND OBJECTIVES & EXPECTATIONS 4 III. RISK MANAGEMENT & GUIDELINES 6 IV. INVESTMENT MANAGERS
More informationDo Equity Hedge Funds Really Generate Alpha?
Do Equity Hedge Funds Really Generate Alpha? April 23, 2018 by Michael S. Rulle, Jr. Advisor Perspectives welcomes guest contributions. The views presented here do not necessarily represent those of Advisor
More informationCORESHARES SCIENTIFIC BETA MULTI-FACTOR STRATEGY HARVESTING PROVEN SOURCES OF RETURN AT LOW COST: AN ACTIVE REPLACEMENT STRATEGY
CORESHARES SCIENTIFIC BETA MULTI-FACTOR STRATEGY HARVESTING PROVEN SOURCES OF RETURN AT LOW COST: AN ACTIVE REPLACEMENT STRATEGY EXECUTIVE SUMMARY Smart beta investing has seen increased traction in the
More informationCapped Volatility Funds Something for everyone?
Capped Volatility Funds Something for everyone? Eamonn Phelan Richard McMahon 31 October 2014 Agenda Managed risk fund strategies Target Volatility Capped Volatility Pros and Cons Communication with policyholders
More informationUS Cash Collateral STRATEGY DISCLOSURE DOCUMENT
This Strategy Disclosure Document describes core characteristics, attributes, and risks associated with a number of related strategies, including pooled investment vehicles and funds. 1 Table of Contents
More informationExplaining After-Tax Mutual Fund Performance
Explaining After-Tax Mutual Fund Performance James D. Peterson, Paul A. Pietranico, Mark W. Riepe, and Fran Xu Published research on the topic of mutual fund performance focuses almost exclusively on pretax
More informationMulti-Strategy Total Return Fund A fund seeking attractive risk adjusted returns through a global portfolio of stocks, bonds, and other investments.
SUMMARY PROSPECTUS TMSRX TMSSX TMSAX Investor Class I Class Advisor Class March 1, 2018 T. Rowe Price Multi-Strategy Total Return Fund A fund seeking attractive risk adjusted returns through a global portfolio
More informationQuantifying the benefits of overlay management
Quantifying the benefits of overlay management Diversification has long been one of the primary tenets of investment theory and for good reason. From a practical standpoint, however, diversification introduces
More informationHow to evaluate factor-based investment strategies
A feature article from our U.S. partners INSIGHTS SEPTEMBER 2018 How to evaluate factor-based investment strategies Due diligence on smart beta strategies should be anything but passive Original publication
More informationMinimizing Timing Luck with Portfolio Tranching The Difference Between Hired and Fired
Minimizing Timing Luck with Portfolio Tranching The Difference Between Hired and Fired February 2015 Newfound Research LLC 425 Boylston Street 3 rd Floor Boston, MA 02116 www.thinknewfound.com info@thinknewfound.com
More informationArin Large Cap Theta Fund
Statutory Prospectus Link: Open Prospectus Statement of Additional Information Link: Open SAI Arin Large Cap Theta Fund Institutional Class Shares (AVOLX) Advisor Class Shares (AVOAX) A series of the Starboard
More informationU.S. Dynamic Equity Fund Money Manager and Russell Investments Overview April 2017
Money Manager and Russell Investments Overview April 2017 RUSSELL INVESTMENTS APPROACH Russell Investments uses a multi-asset approach to investing, combining asset allocation, manager selection and dynamic
More information401(k) Action Steps To Take Now
in order to take charge of your financial life HAVE YOU EVER SWITCHED JOBS? Research shows the average American employee switches jobs 11 times before retiring. 1 Job changes means many Americans have
More informationPROSPECTUS ALPS ETF Trust
ALPS ETF Trust PROSPECTUS 03.31.14 VelocityShares Tail Risk Hedged Large Cap ETF (NYSE ARCA: TRSK) VelocityShares Volatility Hedged Large Cap ETF (NYSE ARCA: SPXH) An ALPS Advisors Solution The Securities
More informationChi Phi Educational Trust
Chi Phi Educational Trust INVESTMENT POLICY Reviewed and amended by the Chi Phi Educational Trust on June 12, 2009; amended March 26, 2010, May 18, 2010, March 21, 2011, June 22, 2012, July 26, 2012, January
More informationThe current study builds on previous research to estimate the regional gap in
Summary 1 The current study builds on previous research to estimate the regional gap in state funding assistance between municipalities in South NJ compared to similar municipalities in Central and North
More informationPROSPECTUS. ALPS ETF TRUST April 16, 2013
VelocityShares Tail Risk Hedged Large Cap ETF (NYSE ARCA: TRSK) VelocityShares Volatility Hedged Large Cap ETF (NYSE ARCA: SPXH) PROSPECTUS ALPS ETF TRUST April 16, 2013 The Securities and Exchange Commission
More information3 questions you need to answer when choosing factor-based products
3 questions you need to answer when choosing factor-based products March 5, 2018 by Vanguard Advisors are interested in using factors. But it takes a lot of due diligence to choose among the many products
More information* Subject to postponement in the event of a market disruption event and as described under Description of the CDs Payment
Disclosure supplement To disclosure statement dated September 20, 2012 and underlying supplement no. CD-6-I dated December 7, 2012 JPMorgan Chase Bank, National Association $968,000 Variable Annual Income
More informationInitiating Our Quantitative Stock Selection Models
Turkey / Quantitative Research / Equities 27 April 2016 Initiating Our Quantitative Stock Selection Models Ayhan Yüksel, PhD, CFA Aykut Ahlatcıoğlu, CFA Can Özçelik Okan Ertem, FRM +90 (212) 334 94 95
More informationINVESTMENTS Lecture 2: Measuring Performance
Philip H. Dybvig Washington University in Saint Louis portfolio returns unitization INVESTMENTS Lecture 2: Measuring Performance statistical measures of performance the use of benchmark portfolios Copyright
More informationTactical Core Equity Portfolio Strategy Global core equity portfolio strategy that seeks to outperform equity markets while minimizing volatility
EquityCompass Tactical Core Equity Portfolio Strategy Global core equity portfolio strategy that seeks to outperform equity markets while minimizing volatility Approved for public distribution Investment
More informationTHE DURSO WEALTH MANAGEMENT GROUP AT MORGAN STANLEY DISCRETIONARY PORTFOLIO MANAGEMENT INVESTMENT STRATEGIES
Morgan Stanley 20 Linden Place Red Bank, NJ 07701 (732) 936-3400 THE DURSO WEALTH MANAGEMENT GROUP AT MORGAN STANLEY THE DURSO WEALTH MANAGEMENT GROUP AT MORGAN STANLEY DISCRETIONARY MANAGEMENT INVESTMENT
More informationBUILDING EQUITY PORTFOLIOS WITH STYLE JULY 2014
BUILDING EQUITY PORTFOLIOS WITH STYLE JULY 2014 WE BELIEVE THAT IT IS IMPORTANT TO FOCUS ON THE UNDERLYING DRIVERS OF RETURN 2 INTRODUCTION Much has been written recently about smart beta, advanced beta,
More information