加拿大系统性税务管理的案例

Key findings Tax-loss harvesting has long been a feature of wealth management in Canada, but the systematic, portfolio-levelapproach pioneered by U.S. direct indexers is only beginning to take hold.Hypothetical strategies tracking the MSCI Canada Index generated up to 5.5% of the initial portfolio in taxablelosses over a three-year period, with a tracking error of just 1.5%.Using MSCI's Quantitative Investment Solutions, we illustrate how wealth managers might implement systematictax-loss harvesting at scale to achieve measurable after-tax benefits. Mentioned in this blog post:MSCI Canada Index|MSCI Quantitative Investment Solutions Canadian wealth managers may find many U.S. tax-loss harvesting strategies applicable for their Canadian-domiciled, high-net-worth clients, given the structural similarities between the two countries’ treatment of capitalgains. Tax-loss harvesting is well established among U.S. wealth managers, with technology enabling systematic,year-round application at scale. Direct-indexing strategies in the U.S. held USD 864 billion AUM at year-end 2024.To illustrate the potential impact of using tax-loss harvesting in Canada, we ran several long-only, tax-loss-harvesting direct-indexing strategies tracking the MSCI Canada Index, benchmarked against a tax-agnosticreference strategy.We used MSCI’s Quantitative Investment Solutions platform to evaluate three-year strategiesto maximize the number of complete periods within our study window. Strategies sharing identical positions, butdifferent start dates, can behave differently under the same tax-aware optimization profile: A sale that realizes a lossin one portfolio may incur a gain in another, depending on cost basis. We captured this by comparing strategiesacross vintage years and examining losses harvested, risk and portfolio turnover.12 Canada’s rules differ but the opportunity remains The similarities between the U.S. and Canadian tax codes mean that the setup of loss-harvesting strategies mirrorsour previous analysis for the U.S. market. The main differences between the two are summarized below: The most notable difference is that in Canada, cost basis is averaged across all lots, so managers cannot select whichlot to sell to influence realized gains or losses. This generally reduces realized gains compared to the U.S. but alsomakes losses harder to realize — minimizing taxes may be easier but maximizing harvestable losses is morechallenging. Beyond cost basis, under the Canadian tax code, losses from long positions can only offset capital gains, while short-sale losses can be netted against income. Canada also allows losses to be carried back up to three years. Wealthmanagers may want to consider these nuances so that they can leverage them for their clients if appropriate. Taking care of business (taxes) Over our study period, the loss-harvesting strategy generated a potential loss benefit of between 0.75% and 5.5%.A manager starting with a CAD 10 million cash portfolio in the 2013 vintage year, for example, would havegenerated just under CAD 550,000 in taxable losses in three years that could be applied to gains generatedelsewhere.5 Higher losses don’t always mean higher tracking error… The active tax management that generates this loss also results in an average annual tracking error of 1.4% over thelife of the strategy. Note that the level of tracking error incurred doesn’t completely align with the loss benefitamount — a drawdown will generate more loss opportunities than a market rally, though both may have a similareffect on portfolio volatility. …but turnover should be monitored Loss-harvesting strategies can potentially increase portfolio turnover as managers trade more often in the processof realizing losses; the 2014 and 2018 strategies have annualized turnover exceeding 100%. This may not be an issueif the primary goal of the strategy is to generate realized losses, but wealth managers may want to monitor portfolioturnover and ensure that clients are comfortable with it. Implications for Canadian wealth managers While some Canadian tax code elements appear to limit the scope for loss harvesting, our simulations show thatsystematic tax-loss harvesting may still deliver material benefits — simulated tax savings of up to 5.5% of the initialportfolio value in our hypothetical strategies. These results highlight the importance of having the right analyticalinfrastructure and tools to evaluate the benefits and trade-offs of systematic tax management for client portfolios.MSCI’s Quantitative Investment Solutions platform enables wealth managers to implement and monitor thesestrategies at scale, balancing after-tax return potential against tracking error and turnover constraints. Dominik ZvaraSenior Associate, MSCI Research &Development Joseph WickremasingheExecutive Director, MSCI Research &Development Subscribe todayto have insights delivered to your inbox. Enter your email address Quantitative Investment Solu