Nathan Sosner

AQR Capital Management, LLC

Principal

One Greenwich Plaza

Greenwich, CT 06830

United States

  • AQR Capital Management, LLC

SCHOLARLY PAPERS

20

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Top 10,410

in Total Papers Downloads

8,033

SSRN CITATIONS
Rank 33,918

SSRN RANKINGS

Top 33,918

in Total Papers Citations

20

CROSSREF CITATIONS

8

Scholarly Papers (20)

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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 1,123 (33,821)

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

2.

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 931 (44,086)

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

3.

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
Joseph Liberman, Stanley Krasner, Nathan Sosner and Pedro Freitas
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 703 (64,486)

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

4.

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 667 (68,947)
Citation 2

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

5.

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
Joseph Liberman, Clemens Sialm, Nathan Sosner and Lixin Wang
AQR Capital Management, LLC, University of Texas at Austin - McCombs School of Business, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 660 (69,902)
Citation 3

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

6.

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 476 (104,817)
Citation 1

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comovement, beta, stock market index

7.

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

Number of pages: 35 Posted: 18 Oct 2023
Stanley Krasner and Nathan Sosner
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 446 (113,150)

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

8.

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
Ronen Israel, Joseph Liberman, Nathan Sosner and Lixin Wang
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 409 (125,201)
Citation 1

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

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 405 (126,625)

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

10.

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 351 (148,489)

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

11.

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 313 (167,893)
Citation 2

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

12.

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 270 (195,552)
Citation 3

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

13.

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 244 (216,153)
Citation 1

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after tax reporting, tax efficient investing, wealth management

14.

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 235 (224,240)
Citation 1

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

15.

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 225 (233,751)
Citation 6

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

16.

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 191 (271,711)
Citation 1

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

17.

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 167 (305,464)

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

18.

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 129 (376,117)

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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

19.

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 88 (491,472)
Citation 1

Abstract:

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

20.

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