| Autor: |
Davis, Ben, Tianchuan Li, Nemtchinov, Vassilii |
| Předmět: |
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| Zdroj: |
Journal of Beta Investment Strategies; 2022, Vol. 13 Issue 2, p62-74, 13p |
| Abstrakt: |
We compare three different approaches to mitigating post-crash underperformance risk associated with tax-loss harvesting strategies: a stock-bounds approach, a risk model approach, and an enhanced risk model approach, adding extra controls on factors associated with reversal risk. We analyze the reversal risk by conducting a comprehensive sweep, evaluating the performance of 60,000 realistically simulated accounts over the past 25 years, and quantifying the extent of pre-tax underperformance during the most stressful periods for index tracking. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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