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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Tax drag؟

Definition 15.5 The Desk and the Firm · الفصل 15 — Finance, Product Control and Tax

The tax drag of a strategy is the reduction in its annual return caused by taxes: transaction taxes on its turnover, withholding taxes on the dividends and interest it receives that it cannot reclaim, and taxes on its gains, for a given investor and jurisdiction.

The return after a transaction tax on purchases of a strategy that earns 8% a year before it, by turnover, for three tax rates. The dotted line is half the return: reached at turnovers of 40, 20 and 8 (). Data: firm.signoff.tax_drag.
Figure 15.2. The return after a transaction tax on purchases of a strategy that earns 8% a year before it, by turnover, for three tax rates. The dotted line is half the return: reached at turnovers of 40, 20 and 8 (Proposition 15.6). Data: firm.signoff.tax_drag.
grossturn-dividendregime 1regime 2regime 3
strategyreturnoveryield
statistical arbitrage12.0401.011.85−-8.003.85
momentum9.061.58.776.007.58
value7.00.83.56.486.606.31
Table 15.2. Returns after tax of three stylised strategies under three illustrative regimes (%): (1) no transaction tax and 15% withholding; (2) 0.5% on purchases; (3) 0.2% on purchases and 15% withholding. Turnover is purchases a year over capital. Data: fm_finance.tax_table.
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