Tax-loss harvesting using correlated positions

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.77	0.85	0.85	0.06	0.72	0.71	0.82	0.66	0.77	META
MSFT	0.77		0.6	0.81	0.21	0.7	0.69	0.82	0.53	0.78	MSFT
UBER	0.85	0.6		0.72	0.04	0.68	0.82	0.75	0.57	0.51	UBER
F	0.85	0.81	0.72		0.26	0.69	0.69	0.86	0.74	0.77	F
T	0.06	0.21	0.04	0.26		0.28	0.31	0.28	0.26	0.09	T
A	0.72	0.7	0.68	0.69	0.28		0.78	0.88	0.25	0.7	A
CRM	0.71	0.69	0.82	0.69	0.31	0.78		0.79	0.4	0.44	CRM
JPM	0.82	0.82	0.75	0.86	0.28	0.88	0.79		0.56	0.84	JPM
MRK	0.66	0.53	0.57	0.74	0.26	0.25	0.4	0.56		0.53	MRK
XOM	0.77	0.78	0.51	0.77	0.09	0.7	0.44	0.84	0.53		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

Risk-Adjusted Indicators

There is a big difference between a company's stock performing well and the company itself doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
META	1.71	0.42	0.28	0.36	1.24	(2.13)	3.27	(2.28)	24.74
MSFT	0.94	(0.01)	0.00	0.05	1.03	(1.17)	2.11	(2.07)	5.31
UBER	1.60	0.07	0.08	0.10	1.53	(1.96)	2.83	(2.72)	18.39
F	1.59	0.00	0.03	0.06	1.86	(1.73)	4.07	(3.30)	9.61
T	0.92	(0.01)	(0.04)	0.03	1.15	(0.97)	2.18	(1.85)	5.92
A	1.20	(0.06)	(0.02)	0.02	1.44	(1.24)	2.26	(2.44)	6.31
CRM	1.24	(0.06)	(0.02)	0.02	1.98	(1.27)	2.83	(2.96)	10.84
JPM	0.78	0.05	0.04	0.10	1.31	(0.78)	1.72	(1.14)	8.65
MRK	0.64	0.04	0.04	0.10	0.66	(0.70)	1.18	(0.98)	6.92
XOM	0.80	0.27	0.29	0.64	0.48	(1.01)	1.96	(1.17)	4.66

Did you try this?

Run Equity Forecasting Now

Equity Forecasting

Use basic forecasting models to generate price predictions and determine price momentum

All Next

Launch Module

Thematic Opportunities

Explore Investment Opportunities

Build portfolios using Macroaxis predefined set of investing ideas. Many of Macroaxis investing ideas can easily outperform a given market. Ideas can also be optimized per your risk profile before portfolio origination is invoked. Macroaxis thematic optimization helps investors identify companies most likely to benefit from changes or shifts in various micro-economic or local macro-level trends. Originating optimal thematic portfolios involves aligning investors' personal views, ideas, and beliefs with their actual investments.

Explore Investing Ideas

Check out your portfolio center.

Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Stocks Directory module to find actively traded stocks across global markets.

Other Complementary Tools

	Commodity Channel Use Commodity Channel Index to analyze current equity momentum
	Price Exposure Probability Analyze equity upside and downside potential for a given time horizon across multiple markets
	Top Crypto Exchanges Search and analyze digital assets across top global cryptocurrency exchanges
	Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum
	Portfolio Suggestion Get suggestions outside of your existing asset allocation including your own model portfolios
	Portfolio Manager State of the art Portfolio Manager to monitor and improve performance of your invested capital
	Investing Opportunities Build portfolios using our predefined set of ideas and optimize them against your investing preferences
	AI Portfolio Architect Use AI to generate optimal portfolios and find profitable investment opportunities
	Insider Screener Find insiders across different sectors to evaluate their impact on performance

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC