While Ben Franklin’s saying that “除了死亡和税收之外，没有什么是肯定的” may be true, it’s unhelpful in actually working out all of the options and uncertainties that people face when considering investments and diversifying their portfolios. One of these uncertainties comes in the form of hedge funds and the impact they may have on your tax season.
许多演讲的对冲基金或基金的乐趣ds are impressive. What most fail to point out, though, is that allocations to hedge funds frequently generate large short-term gains, which carry taxes that can exceed 50 percent in some states, including California. I specifically mention California not only for its high concentration of ultrahigh-net-worth (having at least $30 million in assets) individuals but also because it is the home of the Aperio Group, an investment management firm that focuses on the very wealthy.
In a white paper titled “如果是纳税，耶鲁会做什么?,” Aperio collected endowment asset allocations and asset-class returns, volatility and correlation data from third-party sources, including Yale’s annual report —大学以其最佳养老金而闻名- 以及Commonfund与大学商业人员（Nacubo）禀赋的独立研究。
Aperio took the data and calculated pretax and aftertax returns for Yale’s asset classes. Then, using an allocation optimizer, the firm generated a tax-adjusted optimal asset allocation — evaluating what the institution might do differently if its assets were taxable (see chart).
Pre-Tax (P/T and After-Tax (A/T) Returns and Weights for Yale (low correlation HF index)
Source: Aperio Group, LLC, based on data for the period December 31, 1998 through June 30, 2013.
After factoring in taxes, what do the Aperio models recommend allocating to absolute return — a term the company uses as a proxy for hedge funds? The answer: nothing.
Describing the impact of its hypothetical Yale endowment being shifted to a taxable environment, Aperio notes the following: “Given that an investor now has to pay taxes on what had been a tax-exempt portfolio, suddenly active equity and absolute return [hedge fund] allocations become far less attractive.”
Aperio达到了这一结论，即使在对冲基金策略将通过与股票的低相关性提供多样化而使投资组合有益。事实上，许多对冲基金，如长短策略，与股票相对较高。例如，HFRI资金加权综合对冲基金指数与股票的相关性0.88。这使得这种情况使用它们来实现多样化甚至更具吸引力。随着Aperio的结论：“如果对冲基金战略反映了HFRI指数的风险模式，则与股票的相关性较高，那么该模型从不为对冲基金分配任何东西。”
超越谨慎耶鲁首席投资官大卫斯文森and Aperio’s analysis, I’ve been surprised at the dearth of publicly available research on the impact of taxes on hedge fund returns.
Admittedly, coming up with metrics to evaluate returns and annual taxable-gain assumptions across a range of hedge funds is difficult, owing to limited transparency on returns, turnover and the mix of long-term versus short-term taxable gains. I don’t think it’s a stretch, though, to echo John Rekenthaler, vice president of research at Morningstar in Chicago, who wrote in January that “hedge funds are notoriously tax-inefficient” and that a sizable portion of yearly returns comes in the form of short-term taxable gains.
One article of note is a simple piece that Wall Street analyst–turned–media magnate Henry Blodget wrote forSlatecalled “华尔街自卫手册。“（他后来将这件作品齐纳了一本同名的书。）与Aperio和其复杂分析相比，Blodget使用了直接的假设和计算来质疑个人投资者对冲基金的适当性。
大多数对冲基金每年收取2％的资产费用加20％的收益。Blodget认为，追踪标准和穷人的500指数的基金在资产上为0.2％（这是相当高的：Vanguard仅费用仅为0.05％），并产生每年9.8％的净返回 - 收费的10％百分之百％。他确定一个股权对冲基金计费2和20的费用需要生产15％的汇款，以与指数基金相匹配。在潜在的对冲基金费用上，展示返回率需要18.5％，以获得1和10资金的资金。
然后，他警告说，“别忘了大多数[对冲基金投资]带来健康的玩货，最大的成本：税收。”
Blodget assumed that after expenses a hedge fund generates annual pretax net gains of 10 percent per year and that 75 percent of those gains come from short-term trading. With a 50 percent total short-term gain and a tax liability of 20 percent on the balance, this would produce an aftertax return of just under 6 percent. A 40 percent haircut.
哎哟。
当您将所有成本放在一起 - 费用和税收 - 您就有一个熟练的对冲基金经理必须是如何为应税投资者提供上述市场后的返回。Blodget计算出“平等的标准普尔500指数净返回，产生了10％的报告总回报率，对冲基金将不得不产生不低于20％的总回报。一项资金基金将不得不发布24％的总回报。“
如果您认为Blodget的数学必须已关闭，Matthew Klein于2013年为Bloombergview写作，突出了Greenline Partners的比较研究，由曾经在对冲基金公司工作的人员Bridgewater Associates。GreenLine确定了对冲基金投资者，平均只保留收费和税后的大约40％的收益。在Greenline Research中，Klein写道，“获得了税后的等效回报和追回标准普尔500指数的低成本指数基金的费用，投资者必须找到一个持续赚取近21％的对冲基金一年。”
Of course, some hedge fund managers are outliers and have produced attractive aftertax returns. But evidence like the Aperio study and Blodget’s calculations make me question the use of most hedge funds in the majority of ultrahigh-net-worth portfolios.
作为我的朋友Greg Rogers，Raylign咨询的总裁兼创始人，康涅狄格州格林威治的财富管理公司，指出，“夜间让我一直在过度弥补我的投资组合经理朋友绩效费用，华尔街管理董事进行交易费用政府金库。“
对冲基金的资金或捐赠箱式有限的合作伙伴关系，Greg补充道，“投资者正要求来自经理选择，战略分配和对冲基金管理人员的英雄事业 - 所有三个能力都证明了可持续性有限在延长的时间内，至少可以说。“
所以下次听到对冲基金或基金基金禀赋模型的音高，或者教信托审慎要求您考虑对冲基金的分配，退后并想到老本本富兰克林和与您的肯定的建议在一年中与税务人一起。
Preston McSwain是一个管理合作伙伴和创始人Fiduciary Wealth Partners是波士顿注册投资顾问。
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