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Article

Portfolio Implications of Triple Net Returns

Peter Mladina
The Journal of Wealth Management Spring 2011, 13 (4) 51-59; DOI: https://doi.org/10.3905/jwm.2011.13.4.051
Peter Mladina
is the director of research at Waterline Partners in Los Angeles, CA.
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Abstract

The author develops a methodology to estimate forward-looking long-term active and passive investment returns for major publicly traded asset classes from the perspective of a taxable investor who consumes triple net returns—after all expenses, taxes, and inflation. The author compares active and passive strategies by gauging triple-net-alpha, which is the amount of gross alpha necessary for an active manager to claw back all additional expenses and taxes to achieve a breakeven triple net return relative to a passive, investable alternative. The author then investigates through unconstrained mean-variance-optimization, adjusted for triple net returns, which asset classes are worth inclusion in portfolios across the risk spectrum. The findings suggest that taxable investors should own primarily low-cost, passively managed equities and municipal bonds. The author finds similar results for tax-exempt investors when considering double net returns—after all expenses and inflation.

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The Journal of Wealth Management: 13 (4)
The Journal of Wealth Management
Vol. 13, Issue 4
Spring 2011
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Portfolio Implications of Triple Net Returns
Peter Mladina
The Journal of Wealth Management Jan 2011, 13 (4) 51-59; DOI: 10.3905/jwm.2011.13.4.051

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Portfolio Implications of Triple Net Returns
Peter Mladina
The Journal of Wealth Management Jan 2011, 13 (4) 51-59; DOI: 10.3905/jwm.2011.13.4.051
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  • Article
    • Abstract
    • TRIPLE NET RETURNS
    • MEAN–VARIANCE-OPTIMIZATION OF TRIPLE NET RETURNS
    • DOUBLE NET RETURNS—TAX-EXEMPT INVESTORS
    • CONCLUSIONS
    • ENDNOTES
    • REFERENCES
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