Designed to Enhance After-Tax Returns
The ZEGA 130 | 30 Tax Aware Long/Short strategy (ZTAX) is designed to pursue tax-efficient, market-participating growth by combining hedged equity exposure with an active long/short overlay. The strategy seeks to maintain 100% hedged equity exposure, while adding an additional 30% long and -30% short allocation to enhance return potential and improve after-tax outcomes.
ZTAX uses a synthetic financing approach—known as a short box trade—as an alternative to traditional margin borrowing. This allows the strategy to fund the additional exposure efficiently while aiming to keep borrowing costs lower than standard margin rates. The strategy is implemented in a Separately Managed Account (SMA) and utilizes ETFs and options.
Key Strategy Objectives
- Target 130% net long market exposure with -30% short exposure
- Seek to generate after-tax alpha by allowing long positions to compound as unrealized gains
- Actively pursue tax loss harvesting through short positions
- Maintain flexibility to benefit from short exposure during market downturns, though not designed as a hedge
Portfolio Construction Approach
The strategy seeks to generate net portfolio gains by balancing unrealized long-term appreciation with realized losses on short positions. While leverage is employed to support the long/short overlay, the structure is designed with tax efficiency and risk awareness in mind.
Performance
ZEGA's 130 | 30 Tax Aware long Short (ZTAX)
| as of 1/31/2026 | MTD | YTD | 1 Year | 3 Year | 5 Year | 10 Year | ITD |
| ZTAX Net* | -0.40% | -0.40% |
12.79% | ||||
| Bench (S&P 500) | 1.45% | 1.45% |
*Note: Returns are expressed in US Dollars and calculated net of actual fees. Performance includes reinvestment of dividends and other earnings. ZEGA Investments is a registered investment adviser and investment manager that specializes in derivatives. ZEGA is a separate accounts manager and all returns expressed herein are solely from the separate accounts business within ZEGA.
This strategy involves leverage, which can increase volatility, create tracking error, and may generate short- or long-term capital gains;
There is no guarantee that the extra long 30% and the short -30% portions will create a net gain and may produce additional losses. Portfolio returns may not exceed the borrow cost of the short box spread. Strategy utilizes leverage in the portfolio. Short positions may create short term gains during market downturns contrary to the aim of the strategy
Manager does not consider an individual’s tax status and should consult with a tax professional. ZEGA Investments does not make a determination of an individual’s tax status and should consult their own tax professional to determine tax treatment of securities purchased, sold, or held. ZEGA Investments does not render tax advice. ZEGA Investments also does not have insight into holdings in outside accounts and individuals should rely on their tax professional to determine whether realized gains or losses may offset one another.
All investments involve the risk of potential investment losses as well as the potential for investment gains. Prior performance is no guarantee of future results and there can be no assurance, and clients should not assume, that future performance of any of the model portfolios will be comparable to past performance.
These results should not be viewed as indicative of the advisor’s skill. The prior performance figures indicated herein represent portfolio performance for only a short time period and may not be indicative of the returns or volatility each portfolio will generate over a long time period. The performance presented should also be viewed in the context of the broad market and general economic conditions prevailing during the periods covered by the performance information. The actual results for the comparable periods would also have varied from the presented results based upon the timing of contributions and withdrawals from individual client accounts. The performance figures contained herein should be viewed in the context of the various risk/return profiles and asset allocation methodologies utilized by the asset allocation strategists in developing their model portfolios and should be accompanied or preceded by the model. Standard deviation is a measure of the dispersion of a set of data from its mean. The more spread apart the data, the higher the deviation. In finance, standard deviation is applied to the annual rate of return of an investment to measure the investment's volatility.
On July 1, 2024, ZEGA Financial spun off its wealth management-focused advisory business into a new firm ZEGA Investments. Consequently, ZEGA Investments acquired the Dividend Max strategy from ZEGA Financial. Prior to spin off, performance results for the period May 2023 through June 2024 were achieved at ZEGA Financial. ZEGA Financial no longer reports historical performance for this strategy. The lead manager primarily responsible for achieving prior performance began managing this strategy at ZEGA Financial and has continued in the same capacity at ZEGA Investments. Additionally, the accounts managed and the investment process employed for this strategy at the prior firm remain substantially similar. Therefore, ZEGA Investments uses May 2023 as the inception date for the Dividend Max Strategy.