Aperio Business Continuity | Form CRS
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A Guide to ESG Portfolio ConstructionIn this article, the authors explore six quantitative environmental (E), social (S), and governance (G) strategies to provide insights into best practices for ESG portfolio construction. These strategies offer different approaches to the trade-off between desired ESG attributes and investment performance. They conclude that fully understanding the dynamics of these trade-offs will allow investors to select the strategy that best matches their ethical and financial views. |
Loss Harvesting with Inflation-Adjusted Gains
by Taotao Cai & Ben Schneider
In a White House press briefing in August, US President Donald Trump said he is “considering a capital gains tax cut.” While the administration has discussed a straightforward reduction of the long-term capital gains rate, the impact of such a change...
Tax Planning Under Election Uncertainty
by Patrick Geddes
After our recent analysis of the impact of some of the Biden tax proposals on loss harvesting, we met several times with a number of tax experts among our clients to share our findings and listen to their views...
Aperio Business Continuity | Form CRS
1) Underweights in Facebook, Apple, Amazon, Microsoft, and Google (FAAMG) stocks explain the lion’s share of the recent dismal performance of the Russell 1000 Value Index. 2) A hypothetical Optimized Value strategy cut the drawdown by 2/3 while achieving greater Value exposure and maintaining benchmark-like weights in FAAMGs.
Since late February 2020, betas have rapidly migrated toward 1.0 across US and global equity markets. This paper analyzes how this unprecedented phenomenon has dampened the positive impact of quality factors on Aperio Quality portfolios, transformed their industry exposures, and lowered their diversification.
In this article, we explore six quantitative environmental (E), social (S), and governance (G) strategies to provide insights into best practices for ESG portfolio construction. These strategies offer different approaches to the trade-off between desired ESG attributes and investment performance. We conclude that fully understanding the dynamics of these trade-offs will allow investors to select the strategy that best matches their ethical and financial views. (Published in the Journal of Portfolio Management, April 2019, Volume 45 Number 4.)
We report historical after-tax return and risk for three hypothetical tax-managed U.S. equity strategies based on the Russell 1000 Index. The first strategy aims to deliver index-like returns; the second is a factor tilt; and the third tracks the index while excluding oil producers. Tax alpha was highest in the index-tracking strategy, and differences in tax alpha were more pronounced, both across strategies and at different time horizons, in the estate/donation disposition than in the liquidation disposition. (Published in Investments & Wealth Monitor, May/June 2019.)
We examine the tax efficiency of an indexing strategy and six factor tilts. Between June 1995 and March 2018, average value added by tax management exceeded 1.50% per year at a 10-year horizon for all the strategies we considered. Tax-managed factor tilts that are beta 1 to the market generated average tax alpha between 1.59% and 1.89% per year, while average tax alpha for the tax-managed indexing strategy was 2.26% per year. (Published in the Financial Analysts Journal, Second Quarter 2019, Volume 75 Issue 2.)
All Fact Sheets - 2020 Q2
All fact sheets for Aperio Group strategies are collected here.
Aperio Tax-Loss Harvesting Strategies
This presentation provides an in-depth look at tax-loss harvesting (TLH), covering topics such as portfolio construction, how TLH works at Aperio, performance assessment, and how TLH can be combined with Factor Tilts and SRI/ESG strategies.
Aperio Factor Strategies
This presentation outlines Aperio’s approach to factor investing and portfolio construction, with a detailed description of our preconfigured strategies.
Values-Aligned Investing: SRI/ESG for Public Equities
This presentation describes Aperio’s approach to working with advisors and clients to construct custom values-aligned strategies.
Aperio Overview
Aperio Group is a different type of investment management firm. As described in this presentation, we partner with wealth advisors to build customized, tax-efficient, lower-fee public equity portfolios that reflect each client’s unique situation.
Loss Harvesting with Inflation-Adjusted Gains
by Taotao Cai & Ben Schneider
Tax Planning Under Election Uncertainty
by Patrick Geddes
Impact of Biden’s Capital Gains Proposal on the Performance of Loss-Harvesting Strategies
by Pete Hand & Ben Schneider