13.2
Cross-Border Tax Arbitrage
PYTHON PLUGIN
Tax
Arbitrage
Description
Strategy 13.2: Exploit dividend imputation around ex-div dates for cross-border tax savings
Strategy Logic
Strategy 13.2: Cross-Border Tax Arbitrage.
Exploit dividend imputation systems where domestic shareholders receive
franking credits (tax credits) on dividends that foreign investors
cannot use.
Approach: a foreign investor sells stock cum-dividend and buys it back
ex-dividend (or lends the stock to a domestic investor around the
ex-date and receives a portion of the tax credit value).
Signal: trade around ex-dividend dates when the tax credit value
exceeds transaction costs.
Required columns: close, dividend, ex_div_date, franking_pct
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| tax_rate_domestic | 0.3 | float |
| tax_rate_foreign | 0.15 | float |
| min_profit_pct | 0.002 | float |
| transaction_cost_pct | 0.001 | float |
| days_before_exdiv | 5 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 8.0% |
| Stop Loss Pct | 2.0% |
| Take Profit Pct | 3.0% |
| Max Drawdown Pct | 5.0% |