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I recently became obsessed with enhancing portfolio resilience (risk, inflation, tax), and part of that is hunting for portfolio diversifiers… and understanding how those diversifiers are taxed.
I read an old/2010 AQR paper suggesting that managed futures might do the trick. And here’s an AQR blog post from yesterday making a similar point.
I also interviewed Andrew Beer at Future Proof Citywide (Miami) and might be smitten.
Before getting into managed futures, I wanted to understand how plain ‘ole futures are taxed.
Like many things in tax management, taxation of futures contracts is relatively straightforward after staring at it for 4 hours.
I’ve distilled all that work into the infographic below.