Brian Ahrens

Impact of Market Conditions on Tax-Loss Harvesting: The Role of Portfolio Breadth in Industry-Based Strategies

How much portfolio breadth does tax-loss harvesting require? Using cap-weighted Fama–French industry portfolios (10, 17, and 30 industries) from January 1995 through December 2025, together with four wash-sale-compliant substitute tiers per industry, we simulate gross tax-loss ca...