Download Presentation: How Systematic Investing Impacts Tax Efficiency

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How Systematic Investing
Impacts Tax Efficiency
Presentation Overview

The traditional view is that systematic investing that prioritizes risk management does not mix well with tax efficiency. However, when systematic investing rules are constructed thoughtfully, trend following strategies can actually account for both.

To provide an example, Blueprint Investment Partners ran a simulation that uses model performance to test how trend following impacts tax efficiency.

In our view, the data showed that since 2000:

Most of a buy-and-hold portfolio was made of up unrealized gains. Therefore, a financial advisor looking to make a change to the portfolio or strategy was likely to sustain a substantial taxable event.

On the contrary, the trend-followed portfolio, which had a process for systematically harvesting losses (and some gains), maintained a more palatable amount in unrealized gains.

A trend-following strategy had the potential to generate tax alpha over longer-term time horizons.

If you have any questions about the data or how systematic investing can build in ongoing tax-lass harvesting