The US tax system does a very poor job of taxing the ultra-wealthy. 1 Consider, for example,
Larry Ellison-the founder and still largest shareholder of the software company Oracle …

Economic theory predicts that (in the absence of mispricing) the excess return to socially
responsible businesses is negative in equilibrium. In contrast, using the state-of-art empirical …

In recent months, there have been almost daily reports on problems that may result from
widespread delinquencies in subprime mortgage loans-loans with higher interest rates and …

In the tax-loss harvesting literature, a typical investor is assumed to have an unlimited supply
of offsetting capital gains and can earn annualized tax alpha on the order of 100 bps. Using …

On average, net losses realized by direct indexing loss-harvesting strategies taper off within
the first few years after their inception. In our historical simulations, they reach a maximum …

Using simulated historical backtests, we study the impact of stock exclusions on the
performance of passive and active portfolios. We find that at low to moderate numbers, stock …

Direct-indexing strategies realize tax benefits by harvesting losses on individual stock
positions. Some investors might benefit from this powerful tool for growing after-tax wealth …

Morgan Stanley Wealth Management is the trade name of Morgan Stanley Smith Barney
LLC, a registered broker-dealer in the United States. This material has been prepared for …

Direct indexing (DI) combined with tax-loss harvesting (TLH) is a popular approach to
generate capital losses to offset a client's capital gains, while attempting to track a specified …

Tax-loss harvesting (TLH) is one of the most objectively quantifiable benefits of direct
indexing (DI). Motivated by a wide range of TLH implementations in practice, this article …