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The Journal of Wealth Management

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Primary Article

After-Tax Performance Measurement

Stephen M. Horan, Philip N. Lawton and Robert R. Johnson
The Journal of Wealth Management Summer 2008, 11 (1) 69-83; DOI: https://doi.org/10.3905/jwm.2008.706274
Stephen M. Horan
The head of Private Wealth at CFA Institute in Charlottesville, VA.
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  • For correspondence: stephen.horan@cfainstitute.org
Philip N. Lawton
The head of CIPM Program at CFA Institute in Charlottesville, VA.
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  • For correspondence: philip.lawton@cfainstitute.org
Robert R. Johnson
The deputy CEO at CFA Institute in Charlottesville, VA.
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  • For correspondence: bob.johnson@cfainstitute.org
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Abstract

Measuring portfolio performance on an after-tax basis is a challenging matter. Whether one uses simple or complex models, one implicitly or explicitly makes certain assumptions about a taxable investor's time horizon and capital gains recognition behavior. This article integrates the after-tax performance measurement literature with recent advances in after-tax portfolio valuation. It implements a variation of Stein's [1998] full cost equivalent model using after-tax valuation techniques developed by Horan [2007a, b]. The approach has several advantages. It can be applied relatively easily without sacrificing precision; it accounts for the impact of taxes on portfolio risk; and it can be used to develop a customized after-tax benchmark.

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The Journal of Wealth Management
Vol. 11, Issue 1
Summer 2008
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After-Tax Performance Measurement
Stephen M. Horan, Philip N. Lawton, Robert R. Johnson
The Journal of Wealth Management Apr 2008, 11 (1) 69-83; DOI: 10.3905/jwm.2008.706274

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After-Tax Performance Measurement
Stephen M. Horan, Philip N. Lawton, Robert R. Johnson
The Journal of Wealth Management Apr 2008, 11 (1) 69-83; DOI: 10.3905/jwm.2008.706274
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