Nathan Sosner

AQR Capital Management, LLC

Principal

One Greenwich Plaza

Greenwich, CT 06830

United States

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 17,020

SSRN RANKINGS

Top 17,020

in Total Papers Downloads

3,508

SSRN CITATIONS
Rank 47,054

SSRN RANKINGS

Top 47,054

in Total Papers Citations

5

CROSSREF CITATIONS

9

Scholarly Papers (16)

1.

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 524 (64,097)
Citation 1

Abstract:

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

2.

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 513 (65,982)
Citation 2

Abstract:

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

3.

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 453 (76,751)
Citation 2

Abstract:

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comovement, beta, stock market index

4.

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
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 319 (114,568)

Abstract:

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

5.

Integration of Income and Estate Tax Planning

The Journal of Wealth Management, Forthcoming
Number of pages: 50 Posted: 02 Oct 2020 Last Revised: 09 Feb 2021
Nathan Sosner, Joseph Liberman and Steven Liu
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 270 (136,617)

Abstract:

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

6.

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 232 (158,709)
Citation 1

Abstract:

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

7.

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 201 (181,730)
Citation 1

Abstract:

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after tax reporting, tax efficient investing, wealth management

8.

Sources of Institutional Performance

Number of pages: 64 Posted: 13 May 2008
Boris Kovtunenko and Nathan Sosner
Acadian Asset Management and AQR Capital Management, LLC
Downloads 191 (190,333)
Citation 6

Abstract:

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

9.

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 175 (205,552)

Abstract:

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

10.

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 148 (236,507)
Citation 1

Abstract:

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

11.

Limitation on Trader Fund Losses under the CARES Act of 2020

Number of pages: 35 Posted: 04 Mar 2021 Last Revised: 22 Mar 2021
Nathan Sosner and Roxana Steblea
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 134 (256,232)

Abstract:

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

12.

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 129 (263,682)

Abstract:

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

13.

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 79 (365,171)

Abstract:

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

14.

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

Number of pages: 69 Posted: 10 May 2021
Nathan Sosner, Michael Gromis and Stanley Krasner
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 72 (396,831)

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

15.

Avoidance of Small Stocks and Institutional Performance

Number of pages: 50 Posted: 19 Jun 2008
Boris Kovtunenko and Nathan Sosner
Acadian Asset Management and AQR Capital Management, LLC
Downloads 68 (396,831)
Citation 1

Abstract:

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

16.

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