Measuring the Tax Drag of Trend Following

The goal of this post is to put concrete numbers on the tax impact of trend following strategies in taxable accounts. I tested 12-month and 6-month trend strategies from 1998 to 2019 on three stock index funds: U.S. stocks with Vanguard’s VTSMX (ETF equivalent is VTI) International stocks with Vanguard’s VGTSX (ETF equivalent is VXUS)…