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he typical active equity investor hopes to garner return from two sources: market exposure and manager alpha. In a traditional long-only portfolio, the two are inextricably tied together. Capturing alpha usually involves turnover, sometimes a lot of turnover, depending upon the strategy. For a taxable investor, incurring turnover means paying taxes. Capturing the market risk pre-mium, on the other hand, requires almost no turnover. Consequently, separating these two sources of return would maximize tax efficiency while retaining the potential to generate a return through active management, as suggested by Brunel [2001] and Stein [2001], who both rec