jwangkun china-tax-loss-harvesting
Purpose
Implement A股税务亏损抵扣 — systematic tax-loss harvesting for Chinese investment portfolios.
Data Sources
Primary: iFind MCP (Tier-1 付费) / AkShare MCP (Tier-2 免费备选)
get_quote(ticker) → Current prices for holdings
get_historical_data(ticker) → Cost basis / purchase history
Secondary Sources
- Broker records — cost basis, trade history
- Tax filings — prior year losses
- 交易所 — tax treatment rules
Workflow
Step 1: Identify Tax-Loss Positions
Loss identification:
| Position | Ticker | Cost Basis | Current Value | Unrealized Loss | Loss % |
|---|---|---|---|---|---|
| ¥XX | ¥XX | ¥XX | X% |
Loss screening criteria:
- Unrealized loss > 10% of cost basis
- Loss amount significant relative to portfolio
- Holding period appropriate for tax treatment
Step 2: Understand A-share Tax Rules
China tax treatment for securities:
| Item | Tax Rate | Notes |
|---|---|---|
| 证券买卖价差 | 暂免 (temporarily exempt) | Capital gains on stocks |
| 股息红利 | 20% (持股>1年减半至10%, >1年免征) | Dividend tax |
| 基金分红 | 暂免 (some funds) | Fund distributions |
| 买卖印花税 | 0.05% (seller only) | Stamp duty |
| 证券交易佣金 | 0.02-0.03% | Commission |
Current status of capital gains tax:
- Individuals: Capital gains on stocks are currently temporarily exempt (暂免征收)
- However, losses can be used to offset gains within the same year
- Loss carryforward rules may apply
Step 3: Calculate Tax Benefit
Tax benefit calculation:
| Scenario | Gain | Loss | Taxable Gain | Tax Saved |
|---|---|---|---|---|
| Without TLH | ¥XX | — | ¥XX | — |
| With TLH | ¥XX | ¥XX | ¥XX | ¥XX |
| Benefit | ¥XX |
Note: In the current A-share environment where capital gains are largely exempt, tax-loss harvesting benefits may be limited. However:
- Harvesting losses can be valuable if tax rules change
- Offsetting gains within the same year
- Potential future tax benefit if capital gains tax is introduced
Step 4: Identify Replacement Securities
Replacement criteria:
| Criterion | Requirement |
|---|---|
| Same sector | Similar industry exposure |
| Similar characteristics | Market cap, growth, quality |
| Not substantially identical | Avoid wash sale rules |
| Tax-efficient | Consider dividend treatment |
Wash sale considerations (China):
- No explicit wash sale rule currently
- However, substantially identical securities may be disallowed
- Best practice: 30-day waiting period
Step 5: Execution Strategy
Execution options:
| Strategy | Description | Pros | Cons |
|---|---|---|---|
| Full exit | Sell and replace | Clean loss realization | Market risk |
| Partial exit | Reduce position | Partial benefit | Partial benefit only |
| Swap | Sell loss, buy similar | Maintain exposure | Timing risk |
| Delay | Wait for recovery | No transaction costs | Missed opportunity |
Step 6: Implementation Plan
Step-by-step plan:
| Step | Action | Timing |
|---|---|---|
| 1 | Identify loss positions | Pre-year-end |
| 2 | Evaluate replacement options | Pre-year-end |
| 3 | Check wash sale rules | Pre-year-end |
| 4 | Execute sales | Before year-end |
| 5 | Execute purchases | After sale (or simultaneously) |
| 6 | Document transactions | Immediately |
| 7 | File tax forms | Tax filing deadline |
Step 7: Document for Tax Filing
Required documentation:
| Document | Content |
|---|---|
| Trade confirmations | Sale and purchase tickets |
| Cost basis records | Purchase prices, dates |
| Loss calculations | Realized loss amounts |
| Replacement securities | Identified alternatives |
| Market rationale | Investment thesis |
Step 8: Year-End Checklist
Year-end TLH checklist:
| Date | Action |
|---|---|
| Nov | Review portfolio for loss positions |
| Dec 1-15 | Identify replacement securities |
| Dec 15-20 | Execute loss sales |
| Dec 20-31 | Execute replacements |
| Dec 31 | Final portfolio review |
| Jan | File tax documentation |
China-Specific TLH Considerations
Current Tax Environment
| Factor | Status | Implication |
|---|---|---|
| 资本利得税 | 暂免 (temporarily exempt) | Limited current benefit |
| 印花税 | 0.05% | Cost on sale |
| 股息红利税 | 20% (10% for >1yr) | Consider in replacement |
| 交易佣金 | 0.02-0.03% | Trading cost |
When TLH Makes Sense in China
| Scenario | Benefit |
|---|---|
| Offset short-term gains | Use losses against gains |
| Reset cost basis | Lower future gains if taxed |
| Prepare for tax changes | If capital gains taxed in future |
| Portfolio rebalancing | Combine with rebalancing |
A-share Market Timing
| Consideration | Guidance |
|---|---|
| 年末效应 | Year-end selling pressure |
| 涨跌停限制 | May prevent execution |
| 流动性 | Ensure liquidity for exit |
| 政策窗口 | Tax policy change risk |
TLH for Different Client Types
Individual Investors
| Consideration | Guidance |
|---|---|
| 持股期限 | >1 year for dividend tax benefit |
| 高频交易 | May trigger scrutiny |
| 金额门槛 | Focus on significant positions |
Institutional Investors
| Consideration | Guidance |
|---|---|
| 交易成本 | Factor in commission impact |
| 市场冲击 | Large position impact |
| 会计处理 | NAV impact timing |
| 合规审查 | Documentation requirements |
Quality Checks
Before executing:
- Loss positions identified
- Tax benefit calculated
- Replacement securities identified
- Wash sale rules considered
- Execution plan clear
- Documentation prepared
- Timing appropriate
Data Source Mode Switch: Set env var
IFIND_DATA_SOURCE_MODEto control data source preference.ifind-only(strict): Use iFind only, error if unavailableifind-fallback(default): iFind preferred, fallback to AkShareakshare-only, wind-only (Wind only), wind-fallback (Wind first, fallback to iFind → AkShare): Skip iFind, use AkShare only