"In pursuit of investment alpha, a long-only active manager realizes taxes on both the market appreciation and the alpha it adds on top of market return."
“In other words, value does not look like a factor with too many people chasing it today (as we are often asked), rather it looks like a shunned out-of-favor factor.”
“In the real world, some tracking error to the academic versions is generally accepted in an attempt to minimize transactions costs (and often taxes, too).”