2026-09-21T05:54:31Zhttps://dspace.mit.edu/server/oai/requestoai:dspace.mit.edu:1721.1/1128292026-06-06T00:49:00Zcom_1721.1_7582com_1721.1_7581col_1721.1_131023
Andrew W. Lo.
Anastasov, Anton G
Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science.
Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science
2017-12-20T17:24:24Z
2017-12-20T17:24:24Z
2017
2017
http://hdl.handle.net/1721.1/112829
1015182911
Thesis: M. Eng., Massachusetts Institute of Technology, Department of Electrical Engineering and Computer Science, 2017.
This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Cataloged from student-submitted PDF version of thesis.
Includes bibliographical references (page 63).
In this thesis, we study loss-harvesting--an investment strategy that realizes capital losses immediately but defers realizing capital gains as long as possible. We begin by describing a computational framework for studying the properties of loss-harvesting empirically. The main advantage of our framework is flexibility. In particular, our framework is independent of any particular choice of a source for stock return time series. After combining the framework with the Capital Asset Pricing Model as a source for simulated stock returns data, we perform a thorough sensitivity analysis and study the performance of loss-harvesting under various conditions of the financial market. By combining the framework with historical stock return time series from the S&P 500 Index, we study the performance of loss-harvesting from a different and more practical, point of view. Through this empirical exploration, we identify three new findings about loss-harvesting: (1) introducing a transaction cost rate of 1% reduces alpha by about 50% after taxes; (2) introducing regular cash contributions reduces alpha after taxes; and (3) under specific market conditions, a simple passive buy-and-hold investment strategy outperforms loss-harvesting.
by Anton G. Anastasov.
M.Eng.
63 pages
eng
Massachusetts Institute of Technology
MIT theses are protected by copyright. They may be viewed, downloaded, or printed from this source but further reproduction or distribution in any format is prohibited without written permission.
http://dspace.mit.edu/handle/1721.1/7582
Electrical Engineering and Computer Science.
Tax-efficient asset management via loss harvesting
Thesis
application/pdf
false
Publication
unknown
unknown
<Publication xmlns="https://www.openaire.eu/cerif-profile/1.1/" id="231a7271-ac64-4748-8b2a-1a1d797ccb60">
<Type xmlns="https://www.openaire.eu/cerif-profile/vocab/COAR_Publication_Types">http://purl.org/coar/resource_type/c_1843</Type>
<Language>eng</Language>
<Title>Tax-efficient asset management via loss harvesting</Title>
<PublishedIn>
<Publication>
</Publication>
</PublishedIn>
<PublicationDate>2017</PublicationDate>
<Authors>
<Author>
<DisplayName>Anastasov, Anton G</DisplayName>
<Affiliation>
<OrgUnit>
</OrgUnit>
</Affiliation>
</Author>
</Authors>
<Editors>
</Editors>
<Publishers>
<Publisher>
<DisplayName>Massachusetts Institute of Technology</DisplayName>
<OrgUnit />
</Publisher>
</Publishers>
<License>http://dspace.mit.edu/handle/1721.1/7582</License>
<Keyword>Electrical Engineering and Computer Science.</Keyword>
<Abstract>In this thesis, we study loss-harvesting--an investment strategy that realizes capital losses immediately but defers realizing capital gains as long as possible. We begin by describing a computational framework for studying the properties of loss-harvesting empirically. The main advantage of our framework is flexibility. In particular, our framework is independent of any particular choice of a source for stock return time series. After combining the framework with the Capital Asset Pricing Model as a source for simulated stock returns data, we perform a thorough sensitivity analysis and study the performance of loss-harvesting under various conditions of the financial market. By combining the framework with historical stock return time series from the S&P 500 Index, we study the performance of loss-harvesting from a different and more practical, point of view. Through this empirical exploration, we identify three new findings about loss-harvesting: (1) introducing a transaction cost rate of 1% reduces alpha by about 50% after taxes; (2) introducing regular cash contributions reduces alpha after taxes; and (3) under specific market conditions, a simple passive buy-and-hold investment strategy outperforms loss-harvesting.</Abstract>
<Access xmlns="http://purl.org/coar/access_right"
>
</Access>
</Publication>