This VPF + tax-aware long/short paper is quite interesting, but I'd argue that the assumptions embedded in exhibit 1 (the chart from the paper which is included here) are too rosy. They assume positive alpha (net of fees & costs) for the long/short strategy. So it is no surprise that leads to results which look quite good.
For looking specifically at the usefulness of the tax strategy being discussed here, exhibit 6 is a much better data point as it assumes zero alpha net of costs & fees. I wish they'd continued that line of analysis further as the numbers I'd like to see is for each of the listed strategies, what amount of fees & costs would offset the benefit vs. the sell-upfront strategy. That would be valuable to assess how that amount compares with typical costs for a 150/50 tax-aware long/short strategy.
This VPF + tax-aware long/short paper is quite interesting, but I'd argue that the assumptions embedded in exhibit 1 (the chart from the paper which is included here) are too rosy. They assume positive alpha (net of fees & costs) for the long/short strategy. So it is no surprise that leads to results which look quite good.
For looking specifically at the usefulness of the tax strategy being discussed here, exhibit 6 is a much better data point as it assumes zero alpha net of costs & fees. I wish they'd continued that line of analysis further as the numbers I'd like to see is for each of the listed strategies, what amount of fees & costs would offset the benefit vs. the sell-upfront strategy. That would be valuable to assess how that amount compares with typical costs for a 150/50 tax-aware long/short strategy.
Contact me regarding IRC 351 and LCOR that's launching next month. mark@frplan.com