对纳税的普遍规避催生了美国当前最受追捧的投资策略——税务意识投资，即所谓的“税务阿尔法”（tax alpha）。该策略通过利用错综复杂的税法规则，故意在投资组合中制造账面亏损来抵消资本利得，从而最大限度减少应缴纳给美国国税局（IRS）的税款。其中，第351条转换策略使持有高度集中头寸的富裕投资者能够设立定制化交易所交易基金（ETF），在无需即时纳税的情况下调仓分散风险；新设立的第351条ETF所持有的资产规模已从2022年的8亿美元激增至去年的79亿美元。

更为精妙且迅速普及的玩法是主动制造亏损，包括“直接指数化”以及新兴的“税务感知多空投资”策略。在多空策略中，投资经理可将投资者投入的100美元本金，通过融资融券构建为130美元的多头与30美元的空头，在保持净敞口为100美元的同时紧密跟踪基准指数；在牛市中，管理人持续平仓亏损的空头仓位以确认账面损失，并将资金再投资以推迟纳税义务。随着该策略从亿万富豪扩展至普通百万富翁群体，多空税务账户资产规模已从2023年的67亿美元爆炸式增长至2026年第三季度的至少1870亿美元，并在2026年第二季度为嘉信理财（Charles Schwab）贡献了1%的营业收入。

然而，监管机构的严厉打击正在迅速降临。出于对监管审查的担忧，嘉信理财与富达投资在过去一年中开始大规模劝退寻求开设多空账户的客户。9月28日，美国财政部与国税局联合宣布将对最具侵略性的第351条转换交易征税，财政部长斯科特·贝森特（Scott Bessent）公开谴责此类“滥用性金融工程”与钻税法空子的产品。尽管监管部门正展开专项审查，但只要税法本身的复杂冗余未被根除，且财富管理顾问渴望借助高费率定制服务摆脱低成本被动基金的费率挤压，追求税务阿尔法的避税创新就将长期存在。

Deep-seated tax aversion has propelled one of Wall Street's fastest-growing wealth management strategies: tax-aware investing, commonly known as "tax alpha." Rather than generating traditional market outperformance, this practice exploits complex provisions within the tax code to deliberately manufacture capital losses that offset gains, thereby lowering obligations to the Internal Revenue Service (IRS). A prominent cornerstone involves Section 351 conversions, which allow clients with highly concentrated equity positions to seed custom exchange-traded funds (ETFs) and rebalance holdings without immediate tax realization; assets held in newly formed Section 351 ETFs surged from $800m in 2022 to $7.9bn last year.

Sophisticated mechanisms achieve tax alpha through tax-loss harvesting mechanisms like direct indexing and newer tax-aware long-short investing strategies. By allocating $100 of principal into a long-short vehicle, managers can use leverage to establish $130 in long positions against $30 in short positions, maintaining a net $100 market exposure while systematically liquidating losing short legs during bull markets to harvest tax-deductible losses. Expanding rapidly from billionaires to mass-affluent millionaires, assets deployed across tax-aware long-short accounts expanded from $6.7bn in 2023 to at least $187bn by the third quarter of 2026, generating 1% of Charles Schwab’s total revenues by the second quarter of 2026.

This exponential expansion has triggered aggressive regulatory countermeasures from Washington. Over the past year, major brokerages including Charles Schwab and Fidelity began turning away prospective long-short account clients amid scrutiny. On September 28th, the Treasury Department and the IRS announced targeted enforcement against aggressive Section 351 conversions, with Treasury Secretary Scott Bessent condemning "abusive financial engineering" designed to exploit federal statutes. Nevertheless, because structural complexities in the tax code persist and financial advisers increasingly rely on bespoke high-fee strategies to offset margin compression from cheap passive index funds, tax alpha strategies are positioned to remain permanently entrenched.

Source: In search of tax alpha

Subtitle: The taxman is losing patience with Americans’ shrewd use of tax losses

Dateline: Oct 8th 2026\n