本文探讨了资本利得税对投资组合风险的影响。由于政府分享收益，也分担损失，实际投资组合的风险和回报低于预期。为了抵消这种影响，投资者应该考虑增加投资组合中风险资产的配置比例。文章分析了税收对不同类型资产的影响，并提供了具体的调整建议，旨在帮助投资者在税收环境下优化投资策略，实现更好的风险调整后回报。此外，文章也提到了利用资本损失抵消资本利得税的策略。

💰税收对投资的影响：资本利得税制度下，政府分享收益，也分担损失，使得投资组合的实际风险和回报低于预期。例如，在美国20%的长期资本利得税率下，收益减少20%，损失也减少20%。

📈风险调整策略：为了抵消税收的影响，投资者应增加投资组合中风险资产的配置比例。对于适用20%长期资本利得税的60/40股票/债券组合，理论上应将股票比例增加25%，调整为75/25。

📉短期收益的影响：对于按普通收入税率（可能超过37%）征税的短期收益，影响更为显著。在这种情况下，最佳的风险增加幅度约为59%。

💡实际应用中的复杂性：虽然理论上存在调整空间，但实际操作较为复杂。不同资产的特性差异，例如股票在税收方面可能具有优势，使得简单的比例调整并非最佳方案。投资者在调整投资策略时，需要进行更深入的研究。

Published on May 15, 2025 6:53 PM GMT

When you're subject to capital gains taxation, the government shares in some of the upside, but when you have capital losses, the government shares in the downside too^[1]. Because of this, the actual risk (and reward) of any given portfolio is lower than it seems. To counteract this, you should consider shifting your allocation toward riskier assets.

This was new to me, but you can find articles on this subject going all the way back to "Proportional Income Taxation and Risk-Taking" by Evsey D. Domar and Richard A. Musgrave in 1944.

The Mathematical Framework

Take a tax rate, like the 20% long term capital gains rate in the United States. For any investment subject to this tax, the gains are 20% lower than they would be without the tax, but the losses are 20% lower as well (so 80% of what you would naively expect). To increase that back to 100% of the desired risk/return, we just need to increase both risk and reward by 25% (1 / 0.8 = 1.25).

For short-term gains taxed at ordinary income rates (potentially 37%+), the effect is even stronger. The optimal risk increase would be approximately 59% (1/(1-0.37) = 1.59).

Practical Implications

This is unfortunately complicated. The straightforward takeaway is that if your 60/40 stock/bond portfolio is subject to the 20% long-term capital gains tax, you should increase the stock by 25% and shift to 75/25. This isn't exactly right though, since the two assets differ in more ways than their risk profile. My best guess is that stock's tax-advantaged treatment in other ways make the 60->75 optimal shift an underestimate^[2], but maybe don't change how you invest your life savings without more research.

Conclusion

The tax code's treatment of capital gains and losses means that it's rational for investors to take increased risk than they would without taxes, since the government will share in both the gains and the losses.

1. ^{^}

   If you have capital losses, you can use those to offset capital gains, which reduces their "badness" by the capital gains tax rate. For example, if you have $100 of capital losses, at some point you will be able to apply those to cancel $100 of gains and avoid $20 in taxes, so in some sense you've only really lost $80. But yes, this oversimplies somewhat.

2. ^{^}

   Stocks are subject to the 20% long-term capital gains tax, but bond income is subject to ordinary income tax. The latter is much higher, so even without the risk discussion above, you should have a higher allocation to stocks than you might expect.

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