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.
13.1Tax arbitrageReference
Municipal bond tax arbitrage
Borrow (with tax-deductible interest) to buy tax-exempt municipal bonds, earning the after-tax spread. Tax rules limit how far this can go.
Why there is no chart
Municipal yields, borrowing costs and the investor’s tax position.
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
- 13.1 · Tax arbitrage
- Asset class
- Tax arbitrage
- In the lab
- Explained, not backtested
Municipal bond tax arbitrage (13.1)
Borrow (with tax-deductible interest) to buy tax-exempt municipal bonds, earning the after-tax spread. Tax rules limit how far this can go.
Data it needs
Municipal yields, borrowing costs and the investor’s tax position.
More in Tax arbitrage
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.