Working Paper
August 28, 2026
This paper shows that investors may be able to access meaningful liquidity from tax-aware strategies while preserving the remaining portfolio’s tracking error, leverage, and pre-tax return potential. An adaptive withdrawal process may also better manage capital-gain realization than a fixed withdrawal schedule.
Journal Article
July 31, 2026
In an interview with Portfolio Management Research, AQR Principal Nathan Sosner discusses managing concentrated wealth, including goals-based diversification, balancing risk with long-term objectives, and integrating investment decisions into a broader wealth management framework.
Journal Article
June 26, 2026
We show how combining charitable remainder unitrusts (CRUTs) with tax-aware strategies can help investors diversify low-basis stock and enhance after-tax wealth accumulation. Our findings suggest that investors and their advisors should integrate philanthropy and investment management to optimize wealth preservation and charitable impact.
Journal Article
June 24, 2026
We provide a practical guide for financial planners and wealth management professionals on charitable remainder unitrusts (CRUTs).
Working Paper
March 18, 2026
This paper shows that pre-tax alpha may enhance tax benefits in tax-aware long-short strategies by accelerating NAV growth and creating new positions that support loss realization. The result is meaningfully higher after-tax wealth—especially at longer horizons and higher levels of leverage.
Journal Article
August 31, 2025
This paper investigates the most effective ways to manage the risk of concentrated stock positions.
Journal Article
January 31, 2025
Variable prepaid forward (VPF) contracts have been developed as a solution to hedging the risk of concentrated low-basis stock. Using options pricing theory, we develop a VPF pricing model that helps understand the VPF prepayment amount and the cash flows and tax liabilities upon VPF rolls.
Journal Article
January 31, 2025
We illustrate how combining VPFs (variable prepaid forwards) with tax-aware strategies can help diversify low-basis stock and thereby improve after-tax wealth accumulation. Long-run after-tax wealth outcomes are significantly better when a VPF is combined with tax-aware long-short factor strategies rather than with other alternatives, such as a direct-indexing strategy or a market index fund.
Journal Article
August 31, 2024
We use historical strategy simulations to evaluate the advantages of donating appreciated stock in the context of tax-aware long-short factor strategies. We find long-short strategies exhibit several advantages over long-only investments.
Journal Article
April 30, 2024
We explore the mechanism for how tax-aware long-short factor strategies, within their first three years since inception, can realize cumulative net capital losses exceeding 100% of initially invested capital, all while generating a significant pre-tax alpha – a result shown in previous research. Surprisingly, we find in these strategies that net capital losses arise not from an increased realization of capital losses but rather from the deferral of capital gains, especially short-term gains on long positions.
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