Tax-loss harvesting using correlated positions

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.67	0.79	0.82	-0.16	0.68	0.57	0.79	0.58	0.71	META
MSFT	0.67		0.53	0.72	0.09	0.68	0.64	0.74	0.38	0.62	MSFT
UBER	0.79	0.53		0.63	-0.08	0.65	0.78	0.67	0.44	0.34	UBER
F	0.82	0.72	0.63		0.09	0.64	0.55	0.84	0.7	0.73	F
T	-0.16	0.09	-0.08	0.09		0.21	0.26	0.13	0.08	-0.11	T
A	0.68	0.68	0.65	0.64	0.21		0.74	0.85	0.14	0.6	A
CRM	0.57	0.64	0.78	0.55	0.26	0.74		0.65	0.22	0.2	CRM
JPM	0.79	0.74	0.67	0.84	0.13	0.85	0.65		0.49	0.81	JPM
MRK	0.58	0.38	0.44	0.7	0.08	0.14	0.22	0.49		0.47	MRK
XOM	0.71	0.62	0.34	0.73	-0.11	0.6	0.2	0.81	0.47		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

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

JPM	+ 0.85	A
JPM	+ 0.84	F
F	+ 0.82	META
XOM	+ 0.81	JPM
UBER	+ 0.79	META
JPM	+ 0.79	META

High negative correlations

T	- 0.16	META
XOM	- 0.11	T
T	- 0.08	UBER

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	1.76	0.31	0.20	0.32	1.44	(2.16)	3.27	(2.48)	24.74
MSFT	0.95	(0.05)	(0.05)	0.03	1.08	(1.16)	2.11	(2.07)	5.31
UBER	1.63	(0.02)	0.04	0.08	1.59	(2.01)	2.83	(2.76)	18.39
F	1.61	0.08	0.09	0.12	1.67	(1.78)	4.88	(3.30)	9.61
T	0.94	(0.03)	(0.07)	0.02	1.18	(0.96)	2.18	(1.85)	5.92
A	1.22	(0.04)	0.01	0.06	1.36	(1.28)	2.29	(2.44)	6.31
CRM	1.22	(0.14)	0.00	(0.01)	0.00	0.00	2.83	(2.96)	10.84
JPM	0.82	0.08	0.07	0.15	1.26	(0.86)	1.94	(1.14)	8.65
MRK	0.65	0.03	0.02	0.12	0.65	(0.72)	1.18	(0.98)	6.92
XOM	0.79	0.31	0.30	0.75	0.45	(1.00)	1.96	(1.17)	4.66

Did you try this?

Run Premium Stories Now

Premium Stories

Follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope

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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.

Other Complementary Tools

	Investing Opportunities Build portfolios using our predefined set of ideas and optimize them against your investing preferences
	Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios
	Global Markets Map Get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes
	Fundamentals Comparison Compare fundamentals across multiple equities to find investing opportunities
	Money Managers Screen money managers from public funds and ETFs managed around the world
	Global Correlations Find global opportunities by holding instruments from different markets

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