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12 OctMon
  1. AQR: Research38

    Misconceptions About Tax-Aware Long-Short Strategies: The Misleading Analogy to Direct Indexing (Part 3)

    AQR has released the third part of its research series on tax-aware long-short (TA LS) strategies, clarifying two common misconceptions. As an active investment strategy, TA LS deliberately retains tracking error to express alpha models and capture excess returns and tax deferral benefits, rather than minimizing tracking error like direct indexing. Portfolio construction for TA LS requires balancing expected returns, risk, costs, and taxes, rather than simply realizing capital losses or deferring capital gains.

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6 OctTue
  1. vn.py：GitHub Releases43

    vn.py 4.5.0 Released

    vn.py version 4.5.0 has been released. This update includes feature adjustments, performance optimizations, and fixes for multiple issues. Key changes include: vnpy_ctabacktester backtest configurations are now saved grouped by strategy name; vnpy.alpha has been refactored for factor and signal performance analysis with a new vwap matching mode; vnpy_polygon has been renamed to vnpy_massive; and several trading interfaces have updated API versions. The update also fixes issues related to UI sorting, cross-contract indicator calculation, market data processing, and connection timeouts.

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28 SeptMon
  1. AQR: Research50

    AQR: Common Misconceptions About Tax-Aware Long-Short Investing (Part 2) — The Misleading Analogy to Direct Indexing

    AQR has published the second installment of its research series on tax-aware long-short (TA LS) investing, clarifying two misconceptions arising from analogies to direct indexing. First, the tax benefits of TA LS come primarily from deferred capital gains rather than active loss harvesting: its loss realization pace is similar to ordinary tax-insensitive strategies, and tax-aware optimization is mainly used to avoid selling positions with existing unrealized gains, especially short-term gains.

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21 SeptMon
28 AugFri
  1. AQR: Research38

    AQR Research: Accessing Liquidity Without Liquidating

    AQR research explores whether tax-aware equity strategies can provide sufficient liquidity without full liquidation, while preserving investment objectives. The study finds that substantial capital can be extracted while maintaining tracking error, leverage, and pre-tax information ratio. The tax-efficient extraction capability of long-short strategies is generally superior to that of direct indexing strategies, and improves with higher strategy tracking error and leverage levels.

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