Tax-loss harvesting using correlated positions


Related Correlations

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Correlation Matchups

The Correlation Coefficient is a useful tool to identify correlated or non-correlated securities, which is essential in developing a diversified portfolio. It tells us the relationship between two positions you have in your portfolio or considering acquiring. Over a given time period, the two securities movetogether 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   
CRMMSFT
CRMA
UBERMSFT
AMSFT
CRMUBER
JPMF
  
High negative correlations   
XOMUBER
XOMCRM
XOMMSFT
XOMF
XOMA
XOMJPM

Risk-Adjusted Indicators

Nowadays, there is a big difference between company stock performing well and the company as a business doing well compared to the competition. There are way too many exceptions to the normal that no investors can tell for sure what's good or bad unless they analyze multiple risk-adjusted performance indicators across the competition. 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
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
TWTR 2.58  0.07  0.00 (0.03)  0.00  0.0202  0.00  5.66 (5.38)  36.79 
MSFT 1.76 (0.01)  0.00 (0.11)  0.00 (0.0231)  0.00  2.97 (3.94)  9.66 
UBER 3.34 (0.10)  0.00 (0.15)  0.00 (0.0483)  0.00  6.98 (7.08)  21.01 
F 2.48 (0.16)  0.00 (0.19)  0.00 (0.07)  0.00  3.92 (5.26)  21.38 
T 1.26  0.27  0.17  0.35  1.59  0.17 (1.41)  3.21 (2.45)  15.40 
A 1.82 (0.04)  0.00 (0.13)  0.00 (0.0289)  0.00  3.19 (3.45)  10.94 
CRM 2.39 (0.04)  0.00 (0.13)  0.00 (0.0375)  0.00  4.81 (5.16)  16.84 
JPM 1.51 (0.09)  0.00 (0.18)  0.00 (0.05)  0.00  2.98 (3.23)  10.78 
MRK 0.89  0.21  0.25  0.43  0.91  0.22 (0.98)  2.16 (1.44)  7.44 
XOM 1.72  0.35  0.16  0.53  2.22  0.17 (1.73)  3.84 (3.69)  14.29 

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Thematic Opportunities

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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.
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