We’re using cookies, but you can turn them off in Privacy Settings. Otherwise, you are agreeing to our use of cookies. Learn more in our Privacy Policy.

×

Abstract

The distinctive financial goals and constraints of ultra-high-net-worth individuals together with their aggregate growth in assets have led to the emergence of “New Institutional” investing, which includes the best practices from institutional investors but also incorporates the critical element of tax management. The authors design New Institutional asset allocations that incorporate traditional investment metrics in a tax-aware setting. Specifically, they show how risk and after-tax returns need to be combined from inception when seeking an optimal after-tax asset allocation. Diversification is especially important for taxable investors because low asset class correlations can facilitate the inclusion of attractive but tax-inefficient asset classes in a tax-aware allocation.

About the Author(s)

Patrick Geddes
Lisa R. Goldberg

Lisa R. Goldberg is an adjunct professor of statistics at the University of California, Berkeley, and director of research at Aperio Group, Sausalito, California.

Stephen W. Bianchi CFA