Tax-aware long/short interest expense probably isn't deductible

It is limited to net investment income (NII) which short-term capital losses floor

AQR’s latest clarifies (and illustrates) a few points about tax-aware long/short

Get caught up on all tax-aware long/short stuff here.

I’ll have a longer note on their work later, but I wanted to focus on their spread diagram. It’s worth studying.

A non-AQR salesperson recently told me that interest expense isn’t that bad “because it’s deductible.”

tl;dr: …