Heuristic portfolio trading rules with capital gain taxes

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• 作者：Marcel Fischer ; ^a ; ^b ; ^{marcel.fischer@uni.kn" class="auth_mail" title="E-mail the corresponding author} ; Michael F. Gallmeyer^c
• 关键词：Portfolio choice ; Capital gain taxation ; Limited use of capital losses ; Heuristic trading rules
• 刊名：Journal of Financial Economics
• 出版年：2016
• 出版时间：March 2016
• 年：2016
• 卷：119
• 期：3
• 页码：611-625
• 全文大小：598 K

文摘

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.