%0 Journal Article %A Peter Mladina %T Portfolio Implications of Triple Net Returns %D 2011 %R 10.3905/jwm.2011.13.4.051 %J The Journal of Wealth Management %P 51-59 %V 13 %N 4 %X 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.TOPICS: Portfolio construction, performance measurement %U https://jwm.pm-research.com/content/iijwealthmgmt/13/4/51.full.pdf