Option-Enhanced Tax-Smart Portfolio Value
研究了税收损失收割期权的时间价值，通过重启短期时钟和战略证券选择，管理者可构建富含税收期权的投资组合以提升税后业绩。
Tax-loss harvesting is an investor-specific option. The tax-smart value of an asset, which is defined as the greater of its after-tax liquidation value and hold value, reveals the intrinsic value of the tax-loss harvesting option. This article focuses on the time value of the tax-loss harvesting option, which affects expected performance. We demonstrate how a manager can achieve superior after-tax performance by structuring portfolios rich in tax optionality. Two features contribute to performance enhancement: restarting the short-term clock, and strategic security selection. Restarting the short-term clock utilizes the higher applicable tax rate in the event of short-term loss. Security selection is motivated by the recognition that certain structures (such as tax-exempt bonds trading at a premium) are more suitable than others (such as bonds trading near par) for tax-loss harvesting.