Long-Short Tax Loss Harvesting: There Is No Free Lunch

The Strategy Really Is Deferring Gains: While the coverage emphasized tax-loss harvesting, this is fundamentally a tax-deferral strategy. Functionally, AQR adds leverage to a client portfolio by shorting securities. Shorting means borrowing shares and selling them, with the obligation to buy them back later – profitably if the price falls, at a loss if it rises.