Rob Arnott: Is Your Alpha Big Enough to Cover Its Taxes?

March 2018
By Rob Arnott

An overview of our research 25 years after Arnott and Jeffrey (1993)—who found that traditional equity managers’ alpha was not big enough to cover their taxes in most instances—finds that the more efficient forms of investment management and investment vehicles introduced over the last quarter-century now make earning alpha in excess of taxes more plausible for investors.