Tax Loss Harvesting
Tax Loss Harvesting (Equity).
Definition
Tax Loss Harvesting refers to tax Loss Harvesting (Equity). Keep that definition fixed when comparing series, managers, or regimes — renaming the same tape does not create a new signal.
Why it matters
Equity risk premia compress or expand with earnings paths and factor regimes. When tax Loss Harvesting (Equity) shifts, related hedges, limits, and narratives usually need an explicit update rather than a quiet assumption.
Case
Suppose a desk is positioned for the opposite of what tax loss harvesting is saying. If tax Loss Harvesting (Equity) moves against that book, the first question is not “is the story clever?” but whether size, hedges, and stop logic still match the observation.
How to read it
Separate index beta from residual; know the sector and factor loadings of the claim. Prefer a short written null hypothesis for Tax Loss Harvesting: what would falsify the current reading in the next window?
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