Five big questions from readers about tax-aware long/short strategies
Plus, I'm building a tax-aware long/short simulator
Tax-aware long/short strategies like the 130/30 and 250/150 aim for pretax alpha with tons of capital losses
These charts from a 2021 AQR blog post show that tax-aware 130/30 and 150/50 generate more capital losses than direct indexing, especially when allowing more tracking error.