Tax-loss harvesting using correlated positions

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.7	0.81	0.84	-0.07	0.69	0.61	0.8	0.61	0.73	META
MSFT	0.7		0.55	0.75	0.14	0.69	0.66	0.76	0.43	0.66	MSFT
UBER	0.81	0.55		0.67	-0.04	0.67	0.79	0.7	0.48	0.39	UBER
F	0.84	0.75	0.67		0.17	0.65	0.61	0.85	0.72	0.74	F
T	-0.07	0.14	-0.04	0.17		0.24	0.28	0.19	0.15	-0.04	T
A	0.69	0.69	0.67	0.65	0.24		0.76	0.86	0.17	0.62	A
CRM	0.61	0.66	0.79	0.61	0.28	0.76		0.7	0.28	0.27	CRM
JPM	0.8	0.76	0.7	0.85	0.19	0.86	0.7		0.51	0.82	JPM
MRK	0.61	0.43	0.48	0.72	0.15	0.17	0.28	0.51		0.49	MRK
XOM	0.73	0.66	0.39	0.74	-0.04	0.62	0.27	0.82	0.49		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	+ 0.86	A
JPM	+ 0.85	F
F	+ 0.84	META
XOM	+ 0.82	JPM
UBER	+ 0.81	META
JPM	+ 0.8	META

High negative correlations

T	- 0.07	META
XOM	- 0.04	T
T	- 0.04	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	1.74	0.31	0.19	0.32	1.45	(2.12)	3.27	(2.48)	24.74
MSFT	0.94	(0.05)	(0.05)	0.03	1.08	(1.14)	2.11	(2.07)	5.31
UBER	1.59	(0.04)	0.02	0.06	1.62	(1.94)	2.83	(2.76)	18.39
F	1.64	0.11	0.11	0.12	1.66	(1.82)	4.88	(3.30)	9.61
T	0.95	(0.02)	(0.05)	0.03	1.18	(0.97)	2.18	(1.85)	5.92
A	1.16	(0.07)	(0.02)	0.03	1.42	(1.18)	2.26	(2.44)	6.31
CRM	1.24	(0.12)	(0.04)	0.00	1.95	(1.29)	2.83	(2.96)	10.84
JPM	0.82	0.09	0.08	0.15	1.25	(0.87)	1.94	(1.14)	8.65
MRK	0.65	0.04	0.04	0.13	0.64	(0.71)	1.18	(0.98)	6.92
XOM	0.79	0.30	0.30	0.73	0.45	(1.00)	1.96	(1.17)	4.66

Did you try this?

Run Idea Breakdown Now

Idea Breakdown

Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes

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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.

Other Complementary Tools

	Technical Analysis Check basic technical indicators and analysis based on most latest market data
	Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals
	Cryptocurrency Center Build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency
	Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets
	Performance Analysis Check effects of mean-variance optimization against your current asset allocation
	Price Exposure Probability Analyze equity upside and downside potential for a given time horizon across multiple markets
	Latest Portfolios Quick portfolio dashboard that showcases your latest portfolios
	ETF Categories List of ETF categories grouped based on various criteria, such as the investment strategy or type of investments
	FinTech Suite Use AI to screen and filter profitable investment opportunities
	Crypto Correlations Use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins
	Idea Optimizer Use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio
	Bonds Directory Find actively traded corporate debentures issued by US companies
	AI Investment Finder Use AI to screen and filter profitable investment opportunities

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