AQR Flex SMA has many variants but here is the gist of the F145:
Fund $1mm cash in a separate account in Fidelity via an RIA and AQR runs a long short book SMA that tracks the Russel 3k with about 1.5% tracking error (annual). The account is levered with 145% longs and 45% shorts - so 1.0x beta. AQR aggressively tax harvests the losers on both the long and short side and so this results in perpetual short term capital losses while your account NAV tracks the underlying index. First year expected tax loss is 32% of basis and over 10 years it’s supposed to be 140% cumulative. This turns into a massive tax shield that can shelter capital gains elsewhere across your portfolio.
Fund $1mm cash in a separate account in Fidelity via an RIA and AQR runs a long short book SMA that tracks the Russel 3k with about 1.5% tracking error (annual). The account is levered with 145% longs and 45% shorts - so 1.0x beta. AQR aggressively tax harvests the losers on both the long and short side and so this results in perpetual short term capital losses while your account NAV tracks the underlying index. First year expected tax loss is 32% of basis and over 10 years it’s supposed to be 140% cumulative. This turns into a massive tax shield that can shelter capital gains elsewhere across your portfolio.
Statistics: Posted by grkmec — Tue Oct 01, 2024 7:31 pm — Replies 2 — Views 242