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I am not sure if this is an appropriate question, but anyway: to properly backtest long/short strategy one must have data on what the short loan fees were/are. Is there any decent data source for that?

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If you are talking about borrow rates for general collateral, you can probably just assume you are borrowing at LIBOR.

If you are looking at individual names that may have been on special, the most direct way is to have historical equity repo rates. However I am not sure where one can find these historical rates readily. You may be able to access this data if you have a good relationship with a prime broker. Data service providers like Markit may offer this data.

Alternatively, one could use the derivatives markets to back out borrow rates. For example, if one has access to historical options prices on individual stocks, one could back out the borrow and lending rates implied by the reversals and conversions.

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