Rolling the Tax Dice - How Taxes Impact Equity Factor Investing
Factor investing is an area of great interest to super funds as it ties together key industry themes including fee pressures, appetite for transparency and skepticism about ‘alpha’. However, virtually all the equity factor research funds are seeing tends to be pre-tax focused. Our new research shows that funds are “rolling the tax dice” by not managing the often significant tax impact of their factor strategies. We argue, instead, for explicit tax-management of factor strategies to “load the tax dice” in funds’ favour.