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Primary Article

The Role of Alternative Assets in Tax-Efficient Portfolio Construction

Jean L.P. Brunel
The Journal of Wealth Management Summer 1999, 2 (1) 9-25; DOI: https://doi.org/10.3905/jwm.1999.320346
Jean L.P. Brunel
A partner and senior consultant at Windermere Investment Associates' Stamford, Connecticut office. Windermere is based in Portland, Oregon
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Abstract

The author considers the role alternative assets play in a taxable portfolio and suggests that investors who pay taxes ought to have a greater portion of their wealth, ceteris paribus, invested in alternative asses relative to tax-exempt investors. The analysis starts with the intuition that fix-income assets are relatively tax-inefficient, and the diversification power of alternative assets should lead them to play a greater portfolio role. The author compares the results of pre- and after-tax portfolio optimization. He suggest that, in line with the original intuition, investors who optimize their asset allocation on an after-tax basis will seek a greater exposure to equity and alternative assets than those who ignore the impact of taxes at the asset allocation stage. Furthermore, an analysis that biases the decision process toward minimizing taxes rather than risks shows that the optimizer shifts even more dramatically out of fixed-income investments toward alternative assets.

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The Journal of Wealth Management
Vol. 2, Issue 1
Summer 1999
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The Role of Alternative Assets in Tax-Efficient Portfolio Construction
Jean L.P. Brunel
The Journal of Wealth Management Apr 1999, 2 (1) 9-25; DOI: 10.3905/jwm.1999.320346

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The Role of Alternative Assets in Tax-Efficient Portfolio Construction
Jean L.P. Brunel
The Journal of Wealth Management Apr 1999, 2 (1) 9-25; DOI: 10.3905/jwm.1999.320346
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