A Model for Tax Advantages of Portfolios with Many Assets

The effect of holdings data frequency on conclusions about mutual fund behavior

“…While this could potentially mitigate the amount of tax-loss selling at the end of the tax year, the data soon to be presented clearly indicate that reducing current taxes by tax-loss selling plus raising current after-tax returns are in aggregate the more important influences. Birge and Yang (2007) show the impact of portfolio size on tax trading. 22 There is a limit to how far a fund can carry the loss into the future.…”