This article reevaluates low-volatility investing strategies—in particular, their tax efficiency. Low-volatility strategies intend to help investors achieve market-like equity returns, but with less risk than the broader market. Among the low-volatility strategies, those with lower volatility carry lower returns but incur higher turnover and tax burdens. Explicit tax management can greatly improve the strategy’s performance. Tax management, however, is no easy task in practice due to burdensome record-keeping. This article proposes two sets of tax-managed low-volatility investing strategies that require different amounts of record-keeping. Both strategies can significantly improve the after-tax strategy returns while maintaining the compelling risk and pre-tax return profile. Specifically, accounting for net taxable gains alone can harvest most tax alphas, and accounting for the timing of tax lots accurately can further improve the strategy’s performance.

中文翻译：

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迈向节税低波动性投资

本文重新评估了低波动性投资策略，尤其是它们的税收效率。低波动性策略旨在帮助投资者获得类似市场的股票回报，但风险低于大盘。在低波动率策略中，波动率较低的策略回报率较低，但会产生较高的营业额和税收负担。明确的税收管理可以大大提高战略的绩效。然而，由于记录繁琐，税收管理在实践中并非易事。本文提出了两组需要不同数量的记录保存的税收管理的低波动性投资策略。这两种策略都可以显着提高税后策略回报，同时保持令人信服的风险和税前回报概况。具体来说，