Don’t compare this to an index fund. The relevant comparison is ongoing costs versus avoided taxes.
If you sell a highly appreciated position outright, you may owe 30%+ in combined taxes immediately. That’s a permanent reduction in invested capital. Cache Long/Short at 130/30 has annual management fees of approximately .8% plus trading costs and other fees. That’s real, but it’s recurring, not a one-time hit.
The strategy may make sense if the tax savings materially exceed the costs. For investors with large taxable gains, the math may work in their favor. For investors without that exposure, the costs may not be justified. Results depend on individual circumstances, market conditions, and tax rates, which may change.