TAX.IB™ : Tax Managed Large Cap Portfolio

Managed by IB Asset Management

3.3% Last 30 days 7.3% Last 90 days - Last 365 days - Sharpe Ratio - Max Drawdown

TAX.IB™ : Tax Managed Large Cap Portfolio

Managed by IB Asset Management

3.3% Last 30 days 7.3% Last 90 days - Last 365 days - Sharpe Ratio - Max Drawdown
Risk score
Strategy IB Smart Beta
AUM fee 0.08%
Requirements
• Investment minimum: $5,000
or Sign up to invest
The Tax Managed Large Cap portfolio is a portfolio designed to systematically deliver return and risk characteristics of large stocks within the US equity market while potentially reducing the investor’s overall tax liability. Every quarter, the portfolio is rebalanced with the objective to harvest unrealized investment losses while trying to maintain the target capitalization weighting. Tax losses incurred in this portfolio could be potentially used by investors to offset other gains and income depending on their unique circumstances. The portfolio is implemented using a rules-based approach and offered at a relatively low cost.

Research

The goal is to achieve a risk-return profile similar to the large stocks within the US equity market, while harvesting unrealized investment losses with a quarterly frequency. Replacement stocks are chosen based on how similar they are to the original stock on various fundamental factors like market capitalization, valuation, industry classification and others. On average, these replacement stocks have similar expected risk and return characteristics as the stock that is being replaced but there can be no assurance that the replacement stocks will perform the same or similarly.

Approach

The portfolio is constructed using a rules-based algorithm to determine position allocations. Initial allocations are based on capitalization weights. Stocks with unrealized investment losses are replaced with similar, correlated stocks. The portfolio tries to harvest losses without changing the desired risk and return characteristics.

Allocation discipline

The portfolio targets an allocation of 150 long positions. The initial allocation is based on capitalization weight where the security universe consists of the largest stocks within the US equity market. Every quarter, the portfolio is rebalanced with the objective to harvest unrealized investment losses while trying to maintain the target capitalization weighting.

Sell discipline

Sell decisions are based upon selling stocks with unrealized investment losses and replacing them with similar stocks.

Exceptions

Positions in stocks undergoing corporate actions may be sold or adjusted.

All performance information on this page is based on the performance of the Portfolio Manager’s account. Client performance may differ. This information was calculated on December 13, 2017.

Daily returns
Performance
S&P 500
Manager (net of fees )
Last 30 days 3.3% 3.0%
Last 90 days 7.3% 6.7%
Last 365 Days - 17.2%
Since inception 15.5% 12.8%
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About IB Asset Management

IB Asset Management is a pioneer in online investing. IB Asset Management offers a variety of portfolios, including the Smart Beta portfolios, which are managed by IB Asset Management's Chief Investment Officer and Investment Management team. The “Smart Beta” approach to portfolio construction is grounded in academic research. The goal is to achieve an alternative risk-return profile which is more attractive than a simple capitalization-weighted index such as the S&P 500. IB Asset Management Smart Beta portfolios are designed to provide systematic exposure to a fundamental factor or combination of factors. Portfolios are constructed using a rules-based approach and offered at a relatively low cost.

Important Information

  1. This portfolio was launched on IB Asset Management on March 29, 2017.
  2. Past performance is no guarantee of future results, and all investments, including those in this portfolio, involve the risk of loss, including loss of principal and a reduction in earnings.  
  3. The actual performance of the manager account displayed on this page is based on the performance of an IB Asset Management proprietary account invested using this strategy and is calculated by IB Asset Management on a daily time-weighted basis, including cash, dividends and earnings distributions. The actual performance for this portfolio is presented “net of fees” and reflects the deduction of the IB Asset Management advisory fee, Interactive Brokers LLC brokerage and other commissions and expenses that a client has to pay if he invests in this portfolio after the launch date.
  4. None of the performance information displayed on this page is based on the actual performance of any IB Asset Management client account investing in this portfolio. The performance in an IB Asset Management client account invested in this portfolio may differ (i.e., be lower or higher) from the Portfolio Manager’s account performance based on any trading restrictions imposed by the client (resulting in different account holdings), time of initial investment, amount of investment, frequency and size of cash flows in and out of the client account, applicable brokerage commissions, and different corporate actions. Clients investing in this portfolio may view the actual performance of their investment in this portfolio by logging into their IB Asset Management account and reviewing their customized dashboard.
  5. All graph data is as of the end of day for the referenced period, unless otherwise specified. The investment minimum is the minimum investment required to follow a particular portfolio. The minimum amount is determined by IB Asset Management, based on the characteristics of the underlying portfolio. It should not be considered as specific investment advice for your investment situation.
  6. The actual performance chart is provided for informational purposes only, and should not be used as the basis for making an investment decision. We rely on mathematical formulas, computer programs, and pricing information from third-party vendors (Thomson Reuters Worldscope database) to provide these returns. Neither IB Asset Management nor any of its data or content providers shall be liable for any errors in this information or any actions taken by you in reliance upon this information.
  7. Benchmark returns displayed have been calculated by IB Asset Management using daily benchmark prices and do not include dividend income. More information here. For certain portfolios IB Asset Management uses an index as a benchmark, while for others it uses an investable exchange traded fund (ETF) as a benchmark. Index returns do not reflect the deduction of any management fees, transaction costs or expenses. Individuals cannot invest directly in an index. Investable ETF returns reflect the deduction of (i.e., are net of) management fees, transaction costs and expenses.
  8. Transaction history is available upon request. Portfolio classifications are provided by IB Asset Management, and are intended to serve as a general guide.
  9. Not all transactions listed will appear in accounts due to IB Asset Management's trading rules and individual client constraints. Eligibility of these securities is monitored periodically, and may change over time. Actual client investment holdings may vary.