Nathan Sosner

AQR Capital Management, LLC

Principal

One Greenwich Plaza

Greenwich, CT 06830

United States

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 8,504

SSRN RANKINGS

Top 8,504

in Total Papers Downloads

11,197

TOTAL CITATIONS
Rank 32,141

SSRN RANKINGS

Top 32,141

in Total Papers Citations

27

Scholarly Papers (25)

1.

When Fortune Doesn’t Favor the Bold: Perils of Volatility for Wealth Growth and Preservation

The Journal of Wealth Management Winter 2022, 25 (3) 10-36; DOI: https://doi.org/10.3905/jwm.2022.1.189
Number of pages: 44 Posted: 11 May 2022 Last Revised: 04 Nov 2022
Nathan Sosner
AQR Capital Management, LLC
Downloads 1,241 (35,473)

Abstract:

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Wealth Growth, Wealth Preservation, Concentrated Stock, Appreciated Stock, Concentrated Risk, Diversification

2.

Beyond Direct Indexing: Dynamic Direct Long-Short Investing

The Journal of Beta Investment Strategies, Direct Indexing Special Issue 2023, 14 (3): 10-41; DOI: 10.3905/jbis.2023.1.045
Number of pages: 57 Posted: 11 May 2023 Last Revised: 06 Sep 2023
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 1,232 (35,875)

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Direct Indexing, Long-Short Strategies, Factor Investing, Tax-Aware Strategies

3.

The Tax Benefits of Direct Indexing, and How They Are Affected by the Biden Tax Plan

The Journal of Beta Investment Strategies, Direct Indexing Special Issue 2022, 13 (2) 28-51; DOI: https://doi.org/10.3905/jbis.2022.1.001
Number of pages: 59 Posted: 10 May 2021 Last Revised: 24 May 2022
Nathan Sosner, Michael Gromis and Stanley Krasner
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 1,043 (45,650)
Citation 1

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Direct Indexing, Loss Harvesting, Tax Benefits, High-Net-Worth Investors, Charitable Giving, American Families Plan, Biden Tax Plan

4.

Loss Harvesting or Gain Deferral? A Surprising Source of Tax Benefits of Tax-Aware Long-Short Strategies

The Journal of Wealth Management, Summer 2024, 27 (1) 8-24; DOI: 10.3905/jwm.2024.1.233
Number of pages: 35 Posted: 18 Oct 2023 Last Revised: 17 May 2024
Stanley Krasner and Nathan Sosner
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 905 (55,591)
Citation 2

Abstract:

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Direct Indexing, Long-Short Strategies, Factor Investing, Tax-Aware Strategies

5.

Taxes, Shorting, and Active Management

Financial Analysts Journal, Vol. 74, No. 1, 2018
Number of pages: 35 Posted: 28 Jan 2017 Last Revised: 12 Dec 2017
Clemens Sialm and Nathan Sosner
University of Texas at Austin - McCombs School of Business and AQR Capital Management, LLC
Downloads 793 (66,505)
Citation 2

Abstract:

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Tax-Efficient Asset Management, Short-Selling, Quantitative Strategies

6.

The Tax Benefits of Separating Alpha from Beta

Financial Analysts Journal, 2020, 76 (1) 38-61; DOI: doi.org/10.1080/0015198X.2019.1675421
Number of pages: 55 Posted: 25 May 2018 Last Revised: 31 Jan 2020
AQR Capital Management, LLC, University of Texas at Austin - McCombs School of Business, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 716 (76,084)
Citation 4

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Alpha-Beta Separation, Portable Alpha, Active Management, Long-Short, Long-Only, Tax Efficiency, After-Tax Performance

7.

Combining Variable Prepaid Forwards and Tax-Aware Strategies to Diversify Low-Basis Stock

The Journal of Wealth Management, volume 27, issue 4, 2025[10.3905/jwm.2024.1.263]
Number of pages: 32 Posted: 05 Apr 2024 Last Revised: 10 Feb 2025
Joseph Liberman and Nathan Sosner
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 583 (98,825)

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Variable Prepaid Forward, Low-Basis Stock, Concentrated Stock, Diversification, Direct Indexing, Long-Short Strategies, Factor Investing, Tax-Aware Strategies JEL Classification: G11

8.

Trade and the Comovement of Stock Returns: Evidence from Japan

Number of pages: 59 Posted: 10 Jan 2003
Nathan Sosner and Robin M. Greenwood
AQR Capital Management, LLC and Harvard Business School - Finance Unit
Downloads 492 (121,778)
Citation 1

Abstract:

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comovement, beta, stock market index

9.

Integration of Income and Estate Tax Planning

The Journal of Wealth Management, Summer 2021, 24 (1) 78-104; DOI: https://doi.org/10.3905/jwm.2021.1.134
Number of pages: 50 Posted: 02 Oct 2020 Last Revised: 26 Jul 2021
Nathan Sosner, Joseph Liberman and Steven Liu
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 452 (134,911)

Abstract:

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Wealth Preservation, Income Tax, Estate Tax, Trusts, GRATs

10.

Should Taxable Investors Shun Dividends?

The Journal of Wealth Management, Winter 2019, 22 (3) 49-69; DOI: org/10.3905/jwm.2019.1.080
Number of pages: 42 Posted: 24 Jun 2019 Last Revised: 07 Nov 2019
Yale School of Management, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 443 (138,271)
Citation 1

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Tax-Aware Portfolio Management, Active Management, Quantitative Strategies, Long-only Investing, Dividend Yield, Capital Gains

11.

Limitation on Trader Fund Losses under the CARES Act of 2020

The Journal of Wealth Management, Winter 2021, 24(3); DOI: https://doi.org/10.3905/jwm.2021.1.152
Number of pages: 35 Posted: 04 Mar 2021 Last Revised: 21 Sep 2021
Nathan Sosner and Roxana Steblea
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 395 (157,681)

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Excess Business Loss, Hedge Fund Taxation, Trader Fund, Trader in Securities Election, TCJA, CARES Act, Section 461(l)

12.

Levering Up to Do Good: Direct Long-Short Investing and Charitable Giving

The Journal of Beta Investment Strategies, Forthcoming
Number of pages: 53 Posted: 25 Apr 2024 Last Revised: 17 May 2024
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 367 (171,222)

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Direct Indexing, Long-Short Strategies, Tax-Aware Strategies, Factor Investing, Charitable Giving

13.

Lot Layering: The New Frontier for Hedge Fund Partnership Allocations

The Journal of Wealth Management, Summer 2020, 23 (1) 22-31; DOI: https://doi.org/10.3905/jwm.2019.1.097
Number of pages: 21 Posted: 21 Oct 2019 Last Revised: 09 Feb 2021
Nathan Sosner and Philip Balzafiore
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 351 (179,737)
Citation 2

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Lot Layering, Partnership Allocations, Taxation of Partnerships, Securities Partnerships, Hedge Funds

14.

The Tax Benefits of Relaxing the Long-Only Constraint: Do They Come from Character or Deferral?

The Journal of Wealth Management, Spring 2019, 21 (4) 10-31; DOI: 10.3905/jwm.2019.1.068
Number of pages: 48 Posted: 25 Oct 2018 Last Revised: 31 Jan 2020
Nathan Sosner, Stanley Krasner and Ted Pyne
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 347 (182,023)
Citation 3

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Tax-Aware Portfolio Management, Active Management, Quantitative Strategies, Relaxed-Constraint Strategies

15.

Tax-Efficient Portfolio Transition: A Tax-Aware Relaxed-Constraint Approach to Switching Equity Managers

The Journal of Wealth Management, Spring 2021, 23 (4) 31-57; DOI: https://doi.org/10.3905/jwm.2020.1.125
Number of pages: 47 Posted: 13 Mar 2020 Last Revised: 09 Feb 2021
Nathan Sosner and Stanley Krasner
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 284 (225,335)
Citation 1

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Manager Replacement, Portfolio Transition, Appreciated Stock, Capital Gains, Tax-Aware Portfolio Management, Relaxed-Constraint Strategies

16.

Multi-Period After-Tax Reporting: A Practical Solution

The Journal of Wealth Management, Winter 2018, 21 (3) 11-25; DOI: 10.3905/jwm.2018.21.3.011
Number of pages: 36 Posted: 30 Mar 2018 Last Revised: 01 Feb 2020
Nathan Sosner, Rodney N Sullivan and Liliana Urrutia
AQR Capital Management, LLC, University of Virginia, Darden Graduate School of Business and AQR Capital Management, LLC
Downloads 269 (238,206)
Citation 1

Abstract:

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after tax reporting, tax efficient investing, wealth management

17.

A Brief Guide to Pricing and Taxation of Variable Prepaid Forwards

The Journal of Wealth Management, volume 27, issue 4, 2025[10.3905/jwm.2024.1.264]
Number of pages: 35 Posted: 17 Dec 2024 Last Revised: 10 Feb 2025
Joseph Liberman and Nathan Sosner
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 266 (240,871)

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Variable Prepaid Forward, Low-Basis Stock, Concentrated Stock JEL Classification: G11

18.

Sources of Institutional Performance

Number of pages: 64 Posted: 13 May 2008
Boris Kovtunenko, Boris Kovtunenko and Nathan Sosner
Acadian Asset ManagementBlue Fir Capital and AQR Capital Management, LLC
Downloads 246 (260,585)
Citation 6

Abstract:

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financial institutions, performance evaluation, return on equity, expected returns

19.

Understanding a Tax-Aware Defensive Equity Long-Short Strategy

Number of pages: 22 Posted: 22 May 2020
Nathan Sosner, Ted Pyne, Joseph Liberman and Steven Liu
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 218 (292,835)
Citation 1

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Defensive Investing, Long-Short Equity Strategies, Quantitative Strategies, Tax-Aware Portfolio Management

20.

Partnership Allocations and Their Effects on Tax-Aware Fund Investors

The Journal of Wealth Management, Summer 2018, 21 (1) 8-17; DOI: 10.3905/jwm.2018.21.1.008
Number of pages: 22 Posted: 13 Nov 2017 Last Revised: 24 Jun 2019
Nathan Sosner, Philip Balzafiore and Zhenduo Du
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 217 (294,134)
Citation 1

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Taxation, Limited Partnership, Tax Aware, Tax Managed, Securities Partnership, Partnership Accounting, Partnership Allocations, Tax Allocations, Partner Outside Basis

21.

Taxes, Charity, and Hedge Funds: Tax Implications of Charitable Contributions of Leveraged Partnership Interests

The Journal of Wealth Management, Summer 2022, 25 (1) 30-49; DOI: https://doi.org/10.3905/jwm.2022.1.165
Number of pages: 37 Posted: 05 Jan 2022 Last Revised: 01 Aug 2022
Nathan Sosner and Roxana Steblea
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 151 (406,863)

Abstract:

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Hedge Funds, Partnership Taxation, Charitable Contributions, Discharge of Liabilities, Allocation of Nonrecourse Liabilities, Part Gift Part Sale Transactions, Tax-Efficient Investing

22.

Avoidance of Small Stocks and Institutional Performance

Number of pages: 50 Posted: 19 Jun 2008
Boris Kovtunenko, Boris Kovtunenko and Nathan Sosner
Acadian Asset ManagementBlue Fir Capital and AQR Capital Management, LLC
Downloads 98 (565,526)
Citation 1

Abstract:

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financial institutions, performance evaluation, return on equity, expected returns

23.

A Brief Guide to the Mathematics and Taxation of Charitable Remainder Unitrusts

Number of pages: 30
Nathan Sosner, Catherine Chen and Roxana Steblea
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 50

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Charitable Remainder Unitrust, CRUT, Unitrust Payments, Charitable Residual, Taxation of CRUT Beneficiaries, Unrelated Business Taxable Income, UBTI, Deemed Sale JEL Classification: D14, G11, G51, H24, K34

24.

Combining Charitable Remainder Unitrusts and Tax-Aware Strategies to Diversify Low-Basis Stock

Number of pages: 40
Joseph Liberman, Nathan Sosner and Jonathan Maron
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 38

Abstract:

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Charitable Remainder Unitrust, Low-Basis Stock, Concentrated Stock, Diversification, Direct Indexing, Long-Short Strategies, Factor Investing, Tax-Aware Strategies JEL Classification: D14, G11, G51, H24

25.

Trading Patterns and Excess Comovement of Stock Returns

Financial Analysts Journal, Vol. 63, No. 5, 2007
Posted: 28 Sep 2007
Nathan Sosner and Robin M. Greenwood
AQR Capital Management, LLC and Harvard Business School - Finance Unit

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Equity Investments, Fundamental Analysis and Valuation Models, Portfolio Management, Equity Strategies, Asset Allocation, Trading and Execution, Portfolio Construction, Rebalancing, and Implementation, Investment Theory, Behavioral Finance, Efficient Market Theory, Risk Measurement and Management