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AQR资本管理 · 2026/08/06

对税务意识投资的更多关注对行业和投资者都是一件好事

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对税务意识投资的更多关注对行业和投资者都是一件好事

十五年来,我们一直公开分享我们在税务意识多空投资方面所学到的知识。 1 1 关闭 从Israel和Moskowitz(2011)开始。 , 2 2 关闭 一些额外的视角很重要:尽管我们发表了许多关于税务意识投资的文章,但它们只是AQR在投资信号、投资组合构建和资产配置方面整体研究的一小部分。我们关于税务主题的文章总是引用相关的投资重点文献,这些文献构成了税务意识多空因子策略的基础。无论是在同行评审的出版物中, 3 3 关闭 例如,Sialm和Sosner(2018)、Liberman等人(2023)、Krasner等人(2024)。获奖研究文章中, 4 4 关闭 Liberman等人(2020)。我们网站上的博客中, 5 5 关闭 例如,"我们对税务意识多空投资的研究",AQR税务事务博客(2025)及其中的参考文献。或短视频中, 6 6 关闭 "经济实质原则",AQR快速解读(2026)。我们已经清楚地说明了它的运作方式, 7 7 关闭 Krasner和Sosner(2024)。如何改进它, 8 8 关闭 Liberman、Sosner和Freitas(2026)。以及投资者在考虑时应评估哪些因素。 9 9 关闭 "去伪存真",AQR税务事务博客(2024)。

当然,AQR并没有发明税务意识投资;即使已经做了十年,我们也还算是相对的新手。整个生态系统非常庞大——以直接指数化为例,这是一个大约 $1.2 万亿美元的行业。 10 10 关闭 MMI-Cerulli Q1 2026 咨询解决方案数据 | 货币管理研究所。几十年前还是一项金融创新,现在已经为数以十万计的投资者改善了投资成果 11 11 关闭 例如,Parametric截至3/31/2026,管理着136,000个账户,Goldman 68,000个账户截至12/31/2025,,BlackRock截至12/31/2025有33,000个。通过提供一种参与股票市场增长的节税方式。

税务意识多空投资是一项相对较新的创新,规模相对较小,但在投资者、 12 12 关闭 例如,参见https://www.taxalphainsider.com/tax-aware-longshort-grows-to-150/ 研究人员和媒体中越来越受到关注。这种关注带来了一系列的观点、叙述和辩论。我们认为这是一件好事。

我们认为,来自更广泛的税务、投资和学术界人士的兴趣可以帮助识别和防止可能削弱投资者对这些策略信心的做法。如果有的话,负责任的参与者——无论是管理人还是投资者——都应该从透明度和教育中受益,这将有助于根据经济实质和预期税前利润来区分不同策略。

我们一直坚持认为,税务意识投资应基于可信且经受住时间考验的投资策略。本着这一原则,我们向免税机构和目标是追求强劲税后回报的客户提供相同的投资策略,特别是因为对于像我们这样的投资策略,税务效率可以与税前利润有效平衡。如果我们在税务意识自然契合于投资流程、并且旨在符合相关指引和法规的情况下未能考虑税收后果,那将是对那些寻求税后回报的客户的失职。

深思熟虑的循证讨论,适当关注税务意识策略在整个生命周期中的成本、收益和局限性,包括长期经济结果和清算税务负债,可能是有用的。虽然对于经济上有利可图的策略,递延具有重要价值,但退出税可能相当可观。事实上,我们鼓励所有投资者和顾问超越顶层指标,审视投资者的净税后头寸,包括在计算清算税时。我们相信这种建设性的对话可以帮助行业更好地服务投资者,这始终是我们的首要目标之一。

本文件无意且不特指AQR提供的任何投资策略或产品。其仅用于提供框架,以帮助投资者自行分析和形成对本文讨论主题的看法。

完整英文原文

We've shared publicly what we've learned about tax-aware long/short investing for fifteen years now. 1 1 Close Starting with Israel and Moskowitz (2011). , 2 2 Close Some additional perspective is important: Although we have published a number of articles on tax-aware investing, they represent only a sliver of AQR’s overall research on investment signals, portfolio construction, and asset allocation. Our articles on tax-related topics always cite the relevant investment-focused literature, which serves as a foundation for tax-aware long-short factor strategies. Whether in peer-reviewed publications, 3 3 Close For example, Sialm and Sosner (2018), Liberman et al (2023), Krasner et al (2024). award-winning research articles, 4 4 Close Liberman et al (2020). blogs on our site, 5 5 Close For example, "Our Research into Tax-Aware Long-Short Investing," AQR Tax Matters blog (2025) and references therein. or short-form video, 6 6 Close "Economic Substance Doctrine," AQR Quick Take (2026). we've been clear about how it works, 7 7 Close Krasner and Sosner (2024). how to make it better, 8 8 Close Liberman, Sosner and Freitas (2026). and what investors should evaluate when considering it. 9 9 Close "Separating the Wheat from the Chaff," AQR Tax Matters blog (2024).

Of course, AQR didn't invent tax-aware investing; even a decade in, we're relative newcomers. The overall ecosystem is huge – take direct-indexing, a roughly $1.2 trillion industry. 10 10 Close MMI-Cerulli Q1 2026 Advisory Solutions Data | Money Management Institute. What was decades ago a financial innovation has since improved outcomes for hundreds of thousands of investors 11 11 Close For example, Parametric manages 136,000 accounts as of 3/31/2026, Goldman 68,000 accounts as of 12/31/2025, and BlackRock 33,000 as of 12/31/2025. by providing a tax-efficient way to participate in equity market growth.

Tax-aware long/short is a relatively recent innovation, comparatively small, but getting more attention among investors, 12 12 Close See for example, https://www.taxalphainsider.com/tax-aware-longshort-grows-to-150/ researchers, and the media. This attention has brought with it a range of perspectives, narratives, and debates. And we think that's a good thing.

In our view, interest from the broader tax, investment, and academic community can help identify and prevent practices that could undermine investor confidence in these strategies. If anything, responsible participants – both managers and investors – should benefit from transparency and education that would help differentiate strategies on the basis of their economic substance and expected pre-tax profits.

We have consistently maintained that tax-aware investing should be based on credible and time-tested investment strategies. In keeping with this principle, we offer the same investment strategies to both tax-exempt institutions and clients whose objective is instead strong after-tax returns, particularly because for investment strategies such as ours, tax efficiency can be effectively balanced with pre-tax profits. We would be doing a disservice to those clients who seek after-tax returns if we failed to take tax consequences into account when tax-awareness fits naturally into our investment process and is designed to operate in accordance with relevant guidance and regulations.

Thoughtful evidence-based discussion that gives appropriate attention to costs, benefits, and limitations of tax-aware strategies across their full lifecycle, including long-run economic outcomes and liquidation tax liabilities, can be useful. While, for economically profitable strategies, there is meaningful value in deferral, the exit tax can be significant. Indeed, we encourage all investors and advisors to look beyond the top-line metrics and examine investors' net after-tax position, including when liquidation taxes are accounted for. We believe this type of constructive dialogue can help the industry better serve investors, which is always one of our utmost goals.

This document is not intended to, and does not relate specifically to any investment strategy or product that AQR offers. It is being provided merely to provide a framework to assist in the implementation of an investor’s own analysis and an investor’s own view on the topic discussed herein.

机构免责声明
This document has been provided to you solely for information purposes and does not constitute an offer or solicitation of an offer or any advice or recommendation to purchase any securities or other financial instruments and may not be construed as such. The factual information set forth herein has been obtained or derived from sources believed by the author and AQR Capital Management, LLC (“AQR”) to be reliable but it is not necessarily all-inclusive and is not guaranteed as to its accuracy and is not to be regarded as a representation or warranty, express or implied, as to the information’s accuracy or completeness, nor should the attached information serve as the basis of any investment decision. This document is not to be reproduced or redistributed to any other person. The information set forth herein has been provided to you as secondary information and should not be the primary source for any investment or allocation decision. Past performance is not a guarantee of future performance. Diversification does not eliminate the risk of experiencing investment losses. This material is not research and should not be treated as research. This paper does not represent valuation judgments with respect to any financial instrument, issuer, security or sector that may be described or referenced herein and does not represent a formal or official view of AQR. The views expressed reflect the current views as of the date hereof and neither the author nor AQR undertakes to advise you of any changes in the views expressed herein. The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. Charts and graphs provided herein are for illustrative purposes only. The information in this presentation has been developed internally and/or obtained from sources believed to be reliable; however, neither AQR nor the author guarantees the accuracy, adequacy or completeness of such information. Nothing contained herein constitutes investment, legal, tax or other advice nor is it to be relied on in making an investment or other decision. There can be no assurance that an investment strategy will be successful. Historic market trends are not reliable indicators of actual future market behavior or future performance of any particular investment which may differ materially, and should not be relied upon as such. Diversification does not eliminate the risk of experiencing investment losses. The information in this paper may contain projections or other forward-looking statements regarding future events, targets, forecasts or expectations regarding the strategies described herein, and is only current as of the date indicated. There is no assurance that such events or targets will be achieved, and may be significantly different from that shown here. The information in this document, including statements concerning financial market trends, is based on current market conditions, which will fluctuate and may be superseded by subsequent market events or for other reasons.
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关键论点
  • 税务感知多空投资虽小但关注度提升,对行业和投资者有利。
  • 更广泛社区的兴趣有助于识别和防止破坏投资者信心的做法。
  • 税务感知投资应基于可信且经过时间考验的投资策略。
  • 投资者应超越表面指标,审视包括清算税在内的税后净头寸。
风险
  • 税务感知策略的清算税负可能很大。
  • 潜在的做法可能削弱投资者对税务感知策略的信心。