Strategy lab
Every strategy from 151 Trading Strategies and all 101 Formulaic Alphas as formulas you can edit and backtest on ten years of daily stocks, ETFs, futures, forex and crypto data. Free, in your browser.
13.2Tax arbitrageReference
Cross-border tax arbitrage
Shift dividend-paying shares around the record date to investors who can use dividend tax credits they otherwise could not.
Why there is no chart
Dividend dates, tax regimes and securities-lending terms.
The lab runs on daily prices for stocks, ETFs, indexes, futures, currencies, crypto and Treasury yields. This strategy from 151 Trading Strategies depends on data outside that set, so it is explained and formalised here rather than backtested.
Hypothetical backtests on daily closes with no slippage unless you add costs. Survivorship bias applies: the stock list is today’s large caps. For learning, not investment advice. Data: Yahoo Finance via yfinance.
- Source
- 151 Trading Strategies
- Section
- 13.2 · Tax arbitrage
- Asset class
- Tax arbitrage
- In the lab
- Explained, not backtested
Cross-border tax arbitrage (13.2)
Shift dividend-paying shares around the record date to investors who can use dividend tax credits they otherwise could not.
Data it needs
Dividend dates, tax regimes and securities-lending terms.
More in Tax arbitrage
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.