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_MODE to control data source preference.

• ifind-only (strict): Use iFind only, error if unavailable
• ifind-fallback (default): iFind preferred, fallback to AkShare
• akshare-only, wind-only (Wind only), wind-fallback (Wind first, fallback to iFind → AkShare): Skip iFind, use AkShare only