Using high-frequency household-level data—including more than 700 billionaires—I study heterogeneous responses to capital gains taxation. Wealthier households realize more losses and fewer gains, consistent with more effective tax management. A regression kink design shows that this pattern reflects active tax optimization at the top, driven largely by sophisticated financial advisors. Annual tax expenses decline from 1.1% at the bottom to 40 basis points at the top, generating a 70-basis-point tax alpha that is comparable in magnitude to the pre-tax return gap on risky assets estimated in prior work. These differences have sizable effects on the long-run wealth distribution.