New Delhi, Oct. 7 -- Few things irk the rich-and, for that matter, the not so rich-more than paying taxes. Many people would rather lose money backing a lame horse than hand it to the government. The pain of such payments once moved Americans to revolution. It still moves New Yorkers to head for Florida, or middle-ranking bankers to decamp to Milan.

Recently this tax-aversion has given rise to America's hottest investment strategy: tax-aware investing, or "tax alpha". Whereas "alpha" usually refers to extra returns over some benchmark, tax alpha refers to clever use of America's labyrinthine tax code. It often means creating losses to set against gains elsewhere, in order to reduce what is due to the Internal Revenue Service (IRS). It ha...