Don’t taxes and variations in taxation make the GFAP impossible.
In many domains, the impact of taxation makes the locally applicable GFAP different from the non-tax weighted GFAP. Asset allocation critically depends on an individuals tax situation, so that individual optimization to achieve a global GFAP return minus taxes and fees varies widely both around the world and among individuals/families in all countries. A good financial advisor or wealth manager is optimizing net returns for a client, adjusted for their tax situation and their perceived risk tolerance. In many cases the tax situation dominates the analysis. So isn’t the real alpha issue for a wealth manager optimizing net returns for a client by deviating from the GFAP dependent on taxes?
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