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Heuristic portfolio trading rules with capital gain taxes

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2016

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Gallmeyer, Michael F.

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https://doi.org/10.1016/j.jfineco.2016.01.024
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Journal of Financial Economics. 2016, 119(3), pp. 611-625. ISSN 0304-405X. eISSN 1879-2774. Available under: doi: 10.1016/j.jfineco.2016.01.024

Zusammenfassung

We study the out-of-sample performance of portfolio trading strategies used when an investor faces capital gain taxation and proportional transaction costs. Overlaying simple tax trading heuristics on trading strategies improves out-of-sample performance. For medium to large transaction costs, no trading strategy can outperform a 1/N trading strategy augmented with a tax heuristic, not even the most tax and transaction cost-efficient buy-and-hold strategy. Overall, the best strategy is 1/N augmented with a heuristic that allows for a fixed deviation in absolute portfolio weights. Our results thus show that the best trading strategies balance diversification considerations and tax considerations.

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Fachgebiet (DDC)
330 Wirtschaft

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Portfolio choice; Capital gain taxation; Limited use of capital losses; Heuristic trading rules

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ISO 690FISCHER, Marcel, Michael F. GALLMEYER, 2016. Heuristic portfolio trading rules with capital gain taxes. In: Journal of Financial Economics. 2016, 119(3), pp. 611-625. ISSN 0304-405X. eISSN 1879-2774. Available under: doi: 10.1016/j.jfineco.2016.01.024
BibTex
@article{Fischer2016Heuri-32424,
  year={2016},
  doi={10.1016/j.jfineco.2016.01.024},
  title={Heuristic portfolio trading rules with capital gain taxes},
  number={3},
  volume={119},
  issn={0304-405X},
  journal={Journal of Financial Economics},
  pages={611--625},
  author={Fischer, Marcel and Gallmeyer, Michael F.}
}
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