Disclosures and Assumptions
Hypothetical projections
The tax savings, net capital loss and percentile figures on this page are hypothetical. They do not reflect actual trading, actual client experience, or actual investment performance. They are the output of a model applying stated assumptions to historical market data. Hypothetical results have inherent limitations, including that they are prepared with the benefit of hindsight, do not reflect the impact financial risk may have had on actual decision-making, and may not account for all transaction costs, fees, or market conditions an actual account would experience. No representation is made that any account will or is likely to achieve results similar to those shown. Quorus does not provide tax advice.
This illustration was prepared for an advisory firm based on information provided about a $20.0M Stock A position and its holder’s tax situation, and is not intended for general distribution.
Methodology and assumptions
Portfolio analytics. Holdings, sector weights and the short screen come from the portfolio construction workbook. Risk metrics, beta, value at risk and style factor exposures are estimated using the Axioma Worldwide 4 Equity Risk Model (medium horizon), prices as of September 30, 2026, measured against the Russell 1000. They are forecasts from that model, not realized results, and will differ from what an account experiences.
Tax savings source. Liberman, Krasner, Sosner, and Freitas (2023), “Beyond Direct Indexing: Dynamic Direct Long-Short Investing,” The Journal of Beta Investment Strategies, 14(3): 10–41. The projections apply that published methodology to the inputs on this page ($20.0M contributed in kind at the start of the period, a 130/30 leverage level, a 5-year horizon); they do not reproduce the study’s own historical results, and outcomes for any account will differ from those reported in the research. The 130/30 level is not directly examined in the source research; its projected losses are estimated on the assumption that cumulative loss changes in a straight line with leverage, interpolated between the two tested levels that bracket it. Assumption set 2026-09, source figures as of September 2023. Tax savings figures are from a report prepared on October 9, 2026.
Tax rate. Tax savings = projected cumulative net capital losses × 37.0%: the 37% federal short-term rate, treating 100% of offset gains as short-term, plus 0.0% state tax. Every dollar harvested is assumed to offset a client capital gain immediately. The figures do not account for wash-sale rules, annual capital-loss deduction limits against ordinary income, loss-carryforward timing, or changes in the client’s tax situation or tax law.
Fees and expenses. Figures are shown gross of all fees and expenses. The overlay’s estimated costs are an annual management fee (0.80%), margin and short-sale financing (0.40%) and stock-borrow fee (0.07%), 1.28% in total, as a share of total capital, from Quorus’s benchmark rate and fee schedule when the report was prepared. They do not reflect a negotiated fee schedule, custodian pricing, trading commissions or other account-level expenses, and will change if those inputs change.
Short screen. Before optimization, stocks are excluded from the short universe when short interest is at or above a limit or days to cover is above one, when borrow availability or the rebate rate is below a minimum, or when the data needed to test them is missing or could not be reconciled. 142 stocks were excluded on this basis.
Criteria and assumptions. These projections depend on the assumptions stated above. Changes to any of them, including the client’s actual future capital gains, tax rates, or tax law, would produce different results. This illustration is not a guarantee, projection, or prediction of future performance and should not be relied upon as such.
Important Quorus disclosures
Quorus (“Quorus,” “we,” or “our”) is an investment adviser registered with the Securities and Exchange Commission (“SEC”). Registration does not imply a certain level of skill or training.
This material is provided for informational purposes only and does not constitute (i) investment, legal, or tax advice, (ii) an offer to sell or the solicitation of an offer to buy any security, or (iii) a recommendation regarding any investment strategy. Investors should consult their professional advisers before acting on any information herein.
Past performance is not indicative of future results. All investments involve risk, including the possible loss of principal. Certain statements contained herein constitute “forward-looking” or other subjective views and are based on current expectations, estimates, and assumptions that are subject to change without notice. No assurance can be given that any forecast or goal will be achieved.
Any discussion of “tax-alpha,” “after-tax gains,” or similar terms is for illustrative purposes only. Tax outcomes depend on individual circumstances and may change with future tax-law revisions; results are not guaranteed. Clients remain responsible for all decisions related to their personal tax situation, and Quorus does not provide individualized tax advice.
Services described may be offered through third-party service providers or custodians. Quorus does not custody client assets. References to third-party trademarks and logos are for identification only and do not imply endorsement, sponsorship, or affiliation.
“Quorus” is the trademark of Quorus. All other trademarks are the property of their respective owners.
A copy of Quorus’s current Form ADV Parts 2A & 2B which contain important information about our advisory services, fees, and disciplinary history is available upon request.
Definitions
130/30 overlay. Long positions worth about 30% of the account added, and short positions worth about 30% sold, around the retained Stock A position. Net exposure stays at about 100%.
Net capital loss. Realized capital losses minus realized capital gains from the overlay’s trading, before any tax rate is applied.
10th percentile, mean, 90th percentile. The low, middle and high loss outcomes reported in the source research for this leverage level. They describe the spread of the research’s results, not the probability of any result for this account.
Active risk. The predicted standard deviation of the active holdings (portfolio minus benchmark), also called tracking error: √((w−b)ᵀQ(w−b)). The benchmark is the Russell 1000. It is a forecast, not a realized figure.
Active weight. Portfolio net weight minus Russell 1000 weight in a sector, industry or factor.
Style factor exposure. The holdings-weighted sum of each stock’s exposure to a risk-model style factor, measured in standard deviations.
Concentrated Stock Proposal
Stock A, $20.0M, with a 130/30 long/short overlay
Risk metrics are estimated using the Axioma Worldwide 4 Equity Risk Model, prices as of September 30, 2026, against the Russell 1000.
We add a 130/30 long-short extension to the core Stock A portfolio
How this is calculated
Market value of each part, from the holdings. Net value is $20,001,030 in both portfolios. Shorts run left of zero. Cash of $20,011 is part of the long side, too small to see. Long minus short is the net exposure. As shares of net value: long 130.0%, short 30.0%, net 100%.
Active risk, active factor risk and total risk are estimated using the Axioma Worldwide 4 Equity Risk Model, prices as of September 30, 2026.
How this is calculated
Active risk. The predicted standard deviation of the active holdings (portfolio minus benchmark), also called tracking error: √((w−b)ᵀQ(w−b)). The benchmark is the Russell 1000.
Active factor risk. Active risk computed using only the common factors of the risk model: √((w−b)ᵀBΩBᵀ(w−b)).
Active specific risk (not charted). The specific risk of the active holdings: √((w−b)ᵀΔ²(w−b)). Active factor and active specific variance add to active variance. For the 130/30: √(6.4%² + 15.9%²) = 17.1%.
Total risk. The predicted standard deviation of the portfolio’s performance over a year, from the risk model: √(wᵀQw). Factor and specific variance add, so total² = factor² + specific². For the 130/30: √(14.0%² + 15.9%²) = 21.2%.
In these formulas w is the portfolio’s holdings and b the benchmark’s, as weights; Q is the risk model’s covariance matrix, B its factor exposures, Ω its factor covariance and Δ its specific risk. All figures are forecasts, not realized figures. Definitions follow the Axioma Portfolio Optimizer 2025.1 Users Guide (Table 5.1, Summary table field definitions) and the APO Analytics Glossary.
The new long and short positions provide fresh cost basis
The new long and short positions provide a fresh cost basis that can be loss harvested in the future. Losses are hypothetical and depend on strategy and market environment.
Disclaimer: This scenario is hypothetical and for illustrative purposes only. Actual results may vary and are not guaranteed. Please review the important disclosures, assumptions, and limitations provided at the bottom of this page.
How this is calculated
The cumulative line in the chart below at year 5, for each outcome: $20.0M × the sum of that outcome’s loss rates through year 5.
Disclaimer: This scenario is hypothetical and for illustrative purposes only. Actual results may vary and are not guaranteed. Please review the important disclosures, assumptions, and limitations provided at the bottom of this page.
How this is calculated
Each year’s loss. $20,000,000 × that year’s loss rate. The rate is a share of the $20.0M contributed at the start, not of the account’s value that year, and it differs by year because the source research reports a separate rate for each year an investment has been held. Rates are for securities contributed in kind.
Cumulative loss. The sum of every year’s loss so far. Each point on the chart is the running total at the end of that year.
Methodology. Source: Liberman, Krasner, Sosner, and Freitas (2023), “Beyond Direct Indexing: Dynamic Direct Long-Short Investing,” The Journal of Beta Investment Strategies, 14(3): 10–41. This proposal applies that published methodology to the client-specific inputs shown above (account size, tax rates, gains schedule); it does not reproduce the study’s own historical results, and outcomes for this client will differ from those reported in the source research. The 130/30, 145/45, 350/250, and 400/300 leverage levels are not directly examined in the source research; their projected capital losses are instead estimated on the assumption that cumulative loss changes in a straight line with leverage, interpolated between the two tested levels that bracket them, or extrapolated along the slope running from 200/100 to 250/150. Levels above 250/150 fall outside the range the source research tested and should be read as sensitivities. Assumption set 2026-09, source figures as of September 2023.
Sector Exposures
How the account’s weight is spread across sectors: Stock A alone, and with the overlay’s longs and shorts.
How this is calculated
Net weight = long weight + short weight (shorts are negative), so a sector the overlay shorts more than it buys shows below zero. The Stock A figures are the account before the overlay; the Quorus 130/30 figures are the whole proposed portfolio. Sectors are as the source workbook classifies them. Cash, 0.1%, is left off.
Factor Exposures
Style factor exposure is estimated using the Axioma Worldwide 4 Equity Risk Model, prices as of September 30, 2026.
How this is calculated
Exposure. The Axioma Worldwide 4 Equity Risk Model gives every stock an exposure to each style factor, measured in standard deviations. A portfolio’s exposure is the holdings-weighted sum of its stocks’ exposures, Σ wᵢ × Bᵢ, with shorts as negative weights. The Stock A figures are the account before the overlay; the Quorus 130/30 figures are for the whole proposed portfolio: Stock A plus the long and short positions.
The change is the gap between the two bars: for dividend yield, 0.73 − 1.25 = −0.52. These figures do not sum to an allocation. Definitions follow the Axioma Portfolio Optimizer 2025.1 Users Guide (risk decomposition table) and the APO Analytics Glossary.
What the portfolio holds
How this is calculated
Counts are names held, from the optimizer’s Long Count and Short Count; cash is not counted. The long count includes Stock A.
| Ticker | Name | Position | Price | Shares | Net value | Weight ↓ |
|---|---|---|---|---|---|---|
| STOCK A | STOCK A | Retained | – | – | $20,001,030 | 100.00% |
| NVDA | NVIDIA CORPORATION | Long | $228.38 | 5,505 | $1,257,232 | 6.29% |
| AAPL | APPLE INC | Long | $333.02 | 2,259 | $752,292 | 3.76% |
| MU | MICRON TECHNOLOGY INC | Long | $1,065.11 | 442 | $470,779 | 2.35% |
| MSFT | MICROSOFT CORP | Long | $512.90 | 583 | $299,021 | 1.50% |
| AMD | ADVANCED MICRO DEVICES INC | Long | $611.76 | 461 | $282,021 | 1.41% |
| AVGO | BROADCOM LTD | Long | $351.19 | 504 | $177,000 | 0.88% |
| DELL | DELL TECHNOLOGIES INC | Long | $537.95 | 234 | $125,880 | 0.63% |
| SNDK | SANDISK CORP | Long | $1,739.89 | 70 | $121,792 | 0.61% |
| PLTR | PALANTIR TECHNOLOGIES INC | Long | $187.05 | 590 | $110,360 | 0.55% |
| MRVL | MARVELL TECHNOLOGY INC | Long | $264.21 | 413 | $109,119 | 0.55% |
| CRWD | CROWDSTRIKE HLDGS INC | Long | $264.75 | 389 | $102,988 | 0.51% |
| INTC | INTEL CORP | Long | $120.23 | 774 | $93,058 | 0.47% |
| WDC | WESTERN DIGITAL CORP | Long | $454.46 | 167 | $75,895 | 0.38% |
| CRDO | CREDO TECHNOLOGY GROUP HOLDI | Long | $194.79 | 337 | $65,644 | 0.33% |
| ALAB | ASTERA LABS INC | Long | $355.97 | 184 | $65,498 | 0.33% |
| SMTC | SEMTECH CORP | Long | $178.35 | 311 | $55,467 | 0.28% |
| IREN | IREN LTD | Long | $40.88 | 1,289 | $52,694 | 0.26% |
| TEAM | ATLASSIAN CORPORATION | Long | $179.29 | 291 | $52,173 | 0.26% |
| LITE | LUMENTUM HLDGS INC | Long | $971.26 | 49 | $47,592 | 0.24% |
| AAOI | APPLIED OPTOELECTRONICS INC | Long | $99.26 | 443 | $43,972 | 0.22% |
| SMCI | SUPER MICRO COMPUTER INC | Long | $41.07 | 926 | $38,031 | 0.19% |
| HPE | HEWLETT PACKARD ENTERPRISE C | Long | $63.89 | 498 | $31,817 | 0.16% |
| APLD | APPLIED DIGITAL CORP | Long | $24.37 | 1,222 | $29,780 | 0.15% |
| META | META PLATFORMS INC | Long | $725.18 | 28 | $20,305 | 0.10% |
| SITM | SITIME CORP | Long | $652.03 | 31 | $20,213 | 0.10% |
| MPWR | MONOLITHIC PWR SYS INC | Long | $1,347.22 | 15 | $20,208 | 0.10% |
| COHR | COHERENT CORP | Long | $287.81 | 70 | $20,147 | 0.10% |
| NET | CLOUDFLARE INC | Long | $347.28 | 58 | $20,142 | 0.10% |
| INTU | INTUIT | Long | $275.71 | 73 | $20,127 | 0.10% |
| GOOG | ALPHABET INC | Long | $340.74 | 59 | $20,104 | 0.10% |
| HUBS | HUBSPOT INC | Long | $204.98 | 98 | $20,088 | 0.10% |
| RDDT | REDDIT INC | Long | $142.44 | 141 | $20,084 | 0.10% |
| KLAC | KLA CORP | Long | $194.93 | 103 | $20,078 | 0.10% |
| OKTA | OKTA INC | Long | $209.11 | 96 | $20,075 | 0.10% |
| QCOM | QUALCOMM INC | Long | $184.04 | 109 | $20,060 | 0.10% |
| CIEN | CIENA CORP | Long | $351.82 | 57 | $20,054 | 0.10% |
| CRCL | CIRCLE INTERNET GROUP INC | Long | $82.17 | 244 | $20,049 | 0.10% |
| ORCL | ORACLE CORP | Long | $137.30 | 146 | $20,046 | 0.10% |
| TER | TERADYNE INC | Long | $400.91 | 50 | $20,046 | 0.10% |
| LRCX | LAM RESEARCH CORP | Long | $328.51 | 61 | $20,039 | 0.10% |
| CRWV | COREWEAVE INC | Long | $87.12 | 230 | $20,038 | 0.10% |
| FTI | TECHNIPFMC PLC | Long | $67.92 | 295 | $20,036 | 0.10% |
| DT | DYNATRACE INC | Long | $57.74 | 347 | $20,036 | 0.10% |
| SNOW | SNOWFLAKE INC | Long | $339.56 | 59 | $20,034 | 0.10% |
| RBRK | RUBRIK INC. | Long | $114.47 | 175 | $20,032 | 0.10% |
| VRT | VERTIV HOLDINGS CO | Long | $241.31 | 83 | $20,029 | 0.10% |
| TTMI | TTM TECHNOLOGIES INC | Long | $122.84 | 163 | $20,023 | 0.10% |
| FTNT | FORTINET INC | Long | $178.76 | 112 | $20,021 | 0.10% |
| HPQ | HP INC | Long | $31.28 | 640 | $20,019 | 0.10% |
| IOT | SAMSARA INC | Long | $38.13 | 525 | $20,018 | 0.10% |
| FLEX | FLEX LTD | Long | $109.99 | 182 | $20,018 | 0.10% |
| U | UNITY SOFTWARE INC | Long | $40.93 | 489 | $20,015 | 0.10% |
| GLXY | GALAXY DIGITAL INC. | Long | $22.74 | 880 | $20,011 | 0.10% |
| FIG | FIGMA INC | Long | $21.02 | 952 | $20,011 | 0.10% |
| CSH_USD | Cash Asset for U.S. Dollar | Cash | – | – | $20,011 | 0.10% |
| DOCU | DOCUSIGN INC | Long | $67.15 | 298 | $20,011 | 0.10% |
| WULF | TERAWULF INC | Long | $14.80 | 1,352 | $20,010 | 0.10% |
| P | EVERPURE INC | Long | $130.78 | 153 | $20,009 | 0.10% |
| AMKR | AMKOR TECHNOLOGY INC | Long | $52.38 | 382 | $20,009 | 0.10% |
| KVYO | KLAVIYO INC | Long | $15.73 | 1,272 | $20,009 | 0.10% |
| DOCN | DIGITALOCEAN HLDGS INC | Long | $133.39 | 150 | $20,008 | 0.10% |
| ONTO | ONTO INNOVATION INC | Long | $307.82 | 65 | $20,008 | 0.10% |
| FORM | FORMFACTOR INC | Long | $149.31 | 134 | $20,008 | 0.10% |
| BMNR | BITMINE IMMERSION TECHS INC | Long | $26.43 | 757 | $20,008 | 0.10% |
| S | SENTINELONE INC | Long | $23.76 | 842 | $20,006 | 0.10% |
| PATH | UIPATH INC | Long | $12.84 | 1,558 | $20,005 | 0.10% |
| ALM | ALMONTY INDS INC | Long | $13.16 | 1,520 | $20,003 | 0.10% |
| PEGA | PEGASYSTEMS INC | Long | $33.28 | 601 | $20,001 | 0.10% |
| CCC | CCC INTELLIGENT SOLUTIONS HLDG | Long | $6.66 | 3,003 | $20,000 | 0.10% |
| AUR | AURORA INNOVATION INC | Long | $5.54 | 3,610 | $19,999 | 0.10% |
| WDAY | WORKDAY INC | Long | $190.46 | 105 | $19,998 | 0.10% |
| NTNX | NUTANIX INC | Long | $70.41 | 284 | $19,996 | 0.10% |
| BILL | BILL HOLDINGS INC | Long | $42.54 | 470 | $19,994 | 0.10% |
| SAIL | SAILPOINT INC | Long | $20.36 | 982 | $19,994 | 0.10% |
| QNT | QUANTINUUM INC | Long | $48.06 | 416 | $19,993 | 0.10% |
| DDOG | DATADOG INC | Long | $273.85 | 73 | $19,991 | 0.10% |
| ESTC | ELASTIC N V | Long | $91.70 | 218 | $19,991 | 0.10% |
| GLW | CORNING INC | Long | $153.76 | 130 | $19,989 | 0.10% |
| GTLB | GITLAB INC | Long | $47.25 | 423 | $19,987 | 0.10% |
| ON | ON SEMICONDUCTOR CORP | Long | $76.87 | 260 | $19,986 | 0.10% |
| CHRD | CHORD ENERGY CORP | Long | $134.07 | 149 | $19,976 | 0.10% |
| LSCC | LATTICE SEMICONDUCTOR CORP | Long | $125.62 | 159 | $19,974 | 0.10% |
| CRM | SALESFORCE INC | Long | $229.57 | 87 | $19,973 | 0.10% |
| ZM | ZOOM COMMUNICATIONS INC | Long | $90.77 | 220 | $19,969 | 0.10% |
| NOW | SERVICENOW INC | Long | $134.01 | 149 | $19,967 | 0.10% |
| RMBS | RAMBUS INC DEL | Long | $106.76 | 187 | $19,964 | 0.10% |
| GWRE | GUIDEWIRE SOFTWARE INC | Long | $142.58 | 140 | $19,961 | 0.10% |
| GEV | GE VERNOVA INC | Long | $950.49 | 21 | $19,960 | 0.10% |
| NTAP | NETAPP INC | Long | $210.08 | 95 | $19,958 | 0.10% |
| GOOGL | ALPHABET INC | Long | $344.08 | 58 | $19,957 | 0.10% |
| ANET | ARISTA NETWORKS INC | Long | $203.59 | 98 | $19,952 | 0.10% |
| AMAT | APPLIED MATLS INC | Long | $511.38 | 39 | $19,944 | 0.10% |
| BE | BLOOM ENERGY CORP | Long | $276.98 | 72 | $19,943 | 0.10% |
| ZS | ZSCALER INC | Long | $199.42 | 100 | $19,942 | 0.10% |
| MTSI | MACOM TECH SOLUTIONS HLDGS INC | Long | $284.82 | 70 | $19,937 | 0.10% |
| VICR | VICOR CORP | Long | $288.94 | 69 | $19,937 | 0.10% |
| MKSI | MKS INC | Long | $265.36 | 75 | $19,902 | 0.10% |
| TWLO | TWILIO INC | Long | $292.46 | 68 | $19,887 | 0.10% |
| MDB | MONGODB INC | Long | $348.61 | 57 | $19,871 | 0.10% |
| PANW | PALO ALTO NETWORKS INC | Long | $397.31 | 50 | $19,865 | 0.10% |
| EQIX | EQUINIX INC | Short | $1,011.58 | −59 | −$59,683 | −0.30% |
| AMT | AMERICAN TOWER CORP | Short | $163.69 | −366 | −$59,911 | −0.30% |
| ATO | ATMOS ENERGY CORP | Short | $156.44 | −383 | −$59,917 | −0.30% |
| PEP | PEPSICO INC | Short | $126.72 | −473 | −$59,939 | −0.30% |
| AWK | AMERICAN WTR WKS CO INC NEW | Short | $129.47 | −463 | −$59,945 | −0.30% |
| LAMR | LAMAR ADVERTISING CO | Short | $144.11 | −416 | −$59,950 | −0.30% |
| ETR | ENTERGY CORP NEW | Short | $99.26 | −604 | −$59,953 | −0.30% |
| WEC | WEC ENERGY GROUP INC | Short | $100.78 | −595 | −$59,964 | −0.30% |
| EXR | EXTRA SPACE STORAGE INC | Short | $131.51 | −456 | −$59,969 | −0.30% |
| DUK | DUKE ENERGY CORP NEW | Short | $114.01 | −526 | −$59,969 | −0.30% |
| VMRK | VIVMARK RESIDENTIAL | Short | $60.76 | −987 | −$59,970 | −0.30% |
| CPT | CAMDEN PPTY TR | Short | $96.73 | −620 | −$59,973 | −0.30% |
| AHR | AMERICAN HEALTHCARE REIT INC | Short | $51.26 | −1,170 | −$59,974 | −0.30% |
| ATR | APTARGROUP INC | Short | $121.16 | −495 | −$59,974 | −0.30% |
| D | DOMINION RESOURCES INC VA | Short | $60.52 | −991 | −$59,975 | −0.30% |
| WPC | WP CAREY INC | Short | $64.63 | −928 | −$59,977 | −0.30% |
| XEL | XCEL ENERGY INC | Short | $70.48 | −851 | −$59,978 | −0.30% |
| CL | COLGATE PALMOLIVE CO | Short | $85.32 | −703 | −$59,980 | −0.30% |
| STAG | STAG INDUSTRIAL INC | Short | $35.81 | −1,675 | −$59,982 | −0.30% |
| NI | NISOURCE INC | Short | $39.00 | −1,538 | −$59,982 | −0.30% |
| LINE | LINEAGE INC | Short | $34.12 | −1,758 | −$59,983 | −0.30% |
| CNP | CENTERPOINT ENERGY INC | Short | $36.80 | −1,630 | −$59,984 | −0.30% |
| BJ | BJS WHSL CLUB HLDGS INC | Short | $92.00 | −652 | −$59,984 | −0.30% |
| CCI | CROWN CASTLE INC | Short | $66.65 | −900 | −$59,985 | −0.30% |
| KRC | KILROY REALTY CORP | Short | $33.27 | −1,803 | −$59,986 | −0.30% |
| NEE | NEXTERA ENERGY INC | Short | $75.74 | −792 | −$59,986 | −0.30% |
| PLD | PROLOGIS INC. | Short | $129.84 | −462 | −$59,986 | −0.30% |
| UDR | UDR INC | Short | $33.55 | −1,788 | −$59,987 | −0.30% |
| VLTO | VERALTO CORP | Short | $94.32 | −636 | −$59,988 | −0.30% |
| CMS | CMS ENERGY CORP | Short | $63.08 | −951 | −$59,989 | −0.30% |
| ARE | ALEXANDRIA REAL ESTATE EQ INC | Short | $47.46 | −1,264 | −$59,989 | −0.30% |
| ES | EVERSOURCE ENERGY | Short | $64.16 | −935 | −$59,990 | −0.30% |
| AMH | AMERICAN HOMES 4 RENT | Short | $30.39 | −1,974 | −$59,990 | −0.30% |
| REXR | REXFORD INDL RLTY INC | Short | $36.27 | −1,654 | −$59,991 | −0.30% |
| MRP | MILLROSE PPTYS INC | Short | $25.97 | −2,310 | −$59,991 | −0.30% |
| PPL | PPL CORP | Short | $32.89 | −1,824 | −$59,991 | −0.30% |
| NNN | NNN REIT INC | Short | $41.09 | −1,460 | −$59,991 | −0.30% |
| GLPI | GAMING & LEISURE P | Short | $37.97 | −1,580 | −$59,993 | −0.30% |
| FRT | FEDERAL RLTY INVT TR NEW | Short | $108.29 | −554 | −$59,993 | −0.30% |
| EXC | EXELON CORP | Short | $40.40 | −1,485 | −$59,994 | −0.30% |
| NLY | ANNALY CAPITAL MANAGEMENT IN | Short | $18.89 | −3,176 | −$59,995 | −0.30% |
| ADC | AGREE RLTY CORP | Short | $66.81 | −898 | −$59,995 | −0.30% |
| REYN | REYNOLDS CONSUMER PRODS INC | Short | $21.62 | −2,775 | −$59,996 | −0.30% |
| CAG | CONAGRA BRANDS INC | Short | $13.44 | −4,464 | −$59,996 | −0.30% |
| HR | HEALTHCARE REALTY TR INC | Short | $17.74 | −3,382 | −$59,997 | −0.30% |
| ED | CONSOLIDATED EDISON INC | Short | $102.21 | −587 | −$59,997 | −0.30% |
| VICI | VICI PPTYS INC | Short | $22.97 | −2,612 | −$59,998 | −0.30% |
| KO | COCA COLA CO | Short | $86.08 | −697 | −$59,998 | −0.30% |
| AGNC | AGNC INVT CORP | Short | $9.07 | −6,615 | −$59,998 | −0.30% |
| OGE | OGE ENERGY CORP | Short | $45.42 | −1,321 | −$60,000 | −0.30% |
| WTRG | ESSENTIAL UTILS INC | Short | $39.19 | −1,531 | −$60,000 | −0.30% |
| PEG | PUBLIC SVC ENTERPRISE GROUP | Short | $67.34 | −891 | −$60,000 | −0.30% |
| PG | PROCTER & GAMBLE CO | Short | $145.28 | −413 | −$60,001 | −0.30% |
| RITM | RITHMN CAPITAL CORP | Short | $8.93 | −6,719 | −$60,001 | −0.30% |
| JAN | JANUS LIVING INC | Short | $29.63 | −2,025 | −$60,001 | −0.30% |
| VNO | VORNADO RLTY TR | Short | $33.88 | −1,771 | −$60,001 | −0.30% |
| O | REALTY INCOME CORP | Short | $54.30 | −1,105 | −$60,001 | −0.30% |
| COLD | AMERICOLD REALTY TRUST INC | Short | $13.98 | −4,292 | −$60,002 | −0.30% |
| AES | AES CORP | Short | $14.90 | −4,027 | −$60,002 | −0.30% |
| BRX | BRIXMOR PPTY GROUP INC | Short | $27.60 | −2,174 | −$60,002 | −0.30% |
| EPR | EPR PROPERTIES | Short | $56.13 | −1,069 | −$60,003 | −0.30% |
| IDA | IDACORP INC | Short | $130.73 | −459 | −$60,005 | −0.30% |
| HST | HOST HOTELS & RESORTS INC | Short | $22.39 | −2,680 | −$60,005 | −0.30% |
| CSGP | COSTAR GROUP INC | Short | $27.40 | −2,190 | −$60,006 | −0.30% |
| OGN | ORGANON & CO | Short | $13.70 | −4,380 | −$60,006 | −0.30% |
| INVH | INVITATION HOMES INC | Short | $26.33 | −2,279 | −$60,006 | −0.30% |
| CUZ | COUSINS PPTYS INC | Short | $27.64 | −2,171 | −$60,006 | −0.30% |
| EVRG | EVERGY INC | Short | $78.44 | −765 | −$60,007 | −0.30% |
| WY | WEYERHAEUSER CO | Short | $19.05 | −3,150 | −$60,007 | −0.30% |
| STWD | STARWOOD PPTY TR INC | Short | $13.50 | −4,445 | −$60,008 | −0.30% |
| DOC | HEALTHPEAK PROPERTIES INC | Short | $19.97 | −3,005 | −$60,010 | −0.30% |
| GIS | GENERAL MILLS INC | Short | $32.16 | −1,866 | −$60,011 | −0.30% |
| KIM | KIMCO REALTY CORP | Short | $22.21 | −2,702 | −$60,011 | −0.30% |
| FE | FIRSTENERGY CORP | Short | $43.33 | −1,385 | −$60,012 | −0.30% |
| SO | SOUTHERN CO | Short | $82.89 | −724 | −$60,012 | −0.30% |
| KDP | KEURIG DR PEPPER INC | Short | $30.34 | −1,978 | −$60,013 | −0.30% |
| CUBE | CUBESMART | Short | $37.58 | −1,597 | −$60,015 | −0.30% |
| FR | FIRST INDL RLTY TR INC | Short | $59.54 | −1,008 | −$60,016 | −0.30% |
| OHI | OMEGA HEALTHCARE INVS INC | Short | $46.31 | −1,296 | −$60,018 | −0.30% |
| CHD | CHURCH & DWIGHT CO INC | Short | $94.22 | −637 | −$60,018 | −0.30% |
| REG | REGENCY CTRS CORP | Short | $71.88 | −835 | −$60,020 | −0.30% |
| ELS | EQUITY LIFESTYLE PROPERTIES | Short | $58.33 | −1,029 | −$60,022 | −0.30% |
| IRM | IRON MTN INC DEL | Short | $110.95 | −541 | −$60,024 | −0.30% |
| VTR | VENTAS INC | Short | $85.02 | −706 | −$60,024 | −0.30% |
| EGP | EASTGROUP PPTYS INC | Short | $197.45 | −304 | −$60,025 | −0.30% |
| AEE | AMEREN CORP | Short | $99.38 | −604 | −$60,026 | −0.30% |
| SPG | SIMON PPTY GROUP INC NEW | Short | $200.76 | −299 | −$60,027 | −0.30% |
| SRE | SEMPRA | Short | $77.96 | −770 | −$60,029 | −0.30% |
| SYY | SYSCO CORP | Short | $77.96 | −770 | −$60,029 | −0.30% |
| DLR | DIGITAL RLTY TR INC | Short | $175.53 | −342 | −$60,031 | −0.30% |
| AEP | AMERICAN ELEC PWR CO INC | Short | $118.64 | −506 | −$60,032 | −0.30% |
| AFG | AMERICAN FINANCIAL GROUP INC | Short | $136.76 | −439 | −$60,038 | −0.30% |
| SUI | SUN CMNTYS INC | Short | $110.78 | −542 | −$60,043 | −0.30% |
| MCD | MCDONALDS CORP | Short | $230.94 | −260 | −$60,044 | −0.30% |
| SBAC | SBA COMMUNICATIONS CORP | Short | $160.12 | −375 | −$60,045 | −0.30% |
| MAA | MID-AMER APT CMNTYS INC | Short | $117.74 | −510 | −$60,047 | −0.30% |
| DTE | DTE ENERGY CO | Short | $121.80 | −493 | −$60,047 | −0.30% |
| ESS | ESSEX PPTY TR INC | Short | $269.39 | −223 | −$60,074 | −0.30% |
| WELL | WELLTOWER INC | Short | $230.24 | −261 | −$60,093 | −0.30% |
| NVR | NVR INC | Short | $6,154.39 | −10 | −$61,544 | −0.31% |
Stocks kept out of the short book
Before the optimizer picks the shorts, a screen removes stocks that would be costly, crowded or hard to borrow.
How this is calculated
Short interest is shares sold short ÷ shares outstanding; days to cover is shares short ÷ average daily volume. High values of either mean a crowded short. Borrow availability and the rebate rate come from Schwab’s borrow list. Short interest and days to cover come from FINRA’s reports.
The full comparison
For reference: the optimizer’s full output for the account as it stands and for the proposed 130/30 portfolio, against the Russell 1000. Change is proposed minus today; for rates it is in percentage points. A dash marks a figure the workbook leaves blank. Risk figures are model forecasts, not realized figures.
| Statistic | Stock A only | Quorus 130/30 | Change |
|---|---|---|---|
| Risk | |||
| Total Risk | 19.93% | 21.17% | +1.24% |
| Total Factor Risk | 12.36% | 13.97% | +1.61% |
| Total Specific Risk | 15.63% | 15.91% | +0.28% |
| Beta (Selected Above) | 0.40 | 0.86 | +0.46 |
| Historical Beta (from risk model) | 0.48 | 0.90 | +0.42 |
| Predicted Beta (from model/benchmark) | 0.40 | 0.86 | +0.46 |
| Total Value at Risk ($) (5.0%) | $6,555,773 | $6,964,482 | +$408,708 |
| Coefficient of Determination | 0.09 | 0.36 | +0.27 |
| Benchmark Risk | 14.75% | 14.75% | 0.00% |
| Active Risk | 21.00% | 17.11% | −3.89% |
| Active Factor Risk | 13.36% | 6.42% | −6.94% |
| Active Specific Risk | 16.20% | 15.86% | −0.34% |
| Active Predicted Beta | −0.60 | −0.14 | +0.46 |
| Active Value at Risk ($) (5.0%) | $6,908,331 | $5,630,026 | −$1,278,305 |
| Active Coefficient of Determination | 0.18 | 0.02 | −0.16 |
| Active Share | 99.93% | 107.79% | +7.86% |
| Portfolio | |||
| Long Count | 1 | 100 | +99 |
| Short Count | 0 | 100 | +100 |
| Long Value ($) | $20,001,030 | $25,982,193 | +$5,981,162 |
| Long Value (%) | 100.00% | 129.90% | +29.90% |
| Short Value ($) | $0 | $6,001,173 | +$6,001,173 |
| Short Value (%) | 0.00% | 30.00% | +30.00% |
| Cash Value ($) | $0 | $20,011 | +$20,011 |
| Cash Value (%) | 0.00% | 0.10% | +0.10% |
| Net Value | $20,001,030 | $20,001,030 | $0 |
| Reference Value | $20,001,030 | $20,001,030 | $0 |
| L/S Ratio | – | 4.33 | – |
| Tax | |||
| Tax Liability | $0 | $0 | $0 |
| Total Lot Penalty | $0 | $0 | $0 |
| Unrealized Short-term Gains | $0 | $0 | $0 |
| Unrealized Short-term Losses | $0 | $0 | $0 |
| Unrealized Long-term Gains | $19,930,315 | $19,930,315 | $0 |
| Unrealized Long-term Losses | $0 | $0 | $0 |
| Realized Short-term Gains | $0 | $0 | $0 |
| Realized Short-term Losses | $0 | $0 | $0 |
| Net Realized Short-term G/L | $0 | $0 | $0 |
| Realized Long-term Gains | $0 | $0 | $0 |
| Realized Long-term Losses | $0 | $0 | $0 |
| Net Realized Long-term G/L | $0 | $0 | $0 |
| Net Total Realized G/L | $0 | $0 | $0 |
| Trades | |||
| Buy Turnover ($) | $0 | $6,001,173 | +$6,001,173 |
| Buy Turnover (%) | 0.00% | 30.00% | +30.00% |
| Sell Turnover ($) | $0 | $6,001,173 | +$6,001,173 |
| Sell Turnover (%) | 0.00% | 30.00% | +30.00% |
| Turnover ($) | $0 | $12,002,347 | +$12,002,347 |
| Turnover (%) | 0.00% | 60.01% | +60.01% |
| Transaction Cost (TCostModel) | $0 | $12,002 | +$12,002 |
| Trade Count | 0 | 200 | +200 |
Each risk statistic is estimated using the Axioma Worldwide 4 Equity Risk Model, prices as of September 30, 2026.
How this is calculated
Definitions follow the Axioma Portfolio Optimizer 2025.1 Users Guide (Table 5.1, Summary table field definitions) and the APO Analytics Glossary.
Risk
Total Risk. The predicted standard deviation of the portfolio’s performance over a year, from the risk model: √(wᵀQw). Factor and specific variance add, so total² = factor² + specific².
Total Factor Risk. The part of total risk explained by the risk model’s common factors (market, industries, countries, styles): √(wᵀBΩBᵀw).
Total Specific Risk. The part of total risk not explained by the common factors, unique to each stock: √(wᵀΔ²w).
Beta (Selected Above). The portfolio’s weighted average of the beta attribute chosen in the optimizer’s analysis settings. Here that is the predicted beta, so the two rows match.
Historical Beta (from risk model). The portfolio’s weighted average of the risk model’s Historical Beta attribute for each stock.
Predicted Beta (from model/benchmark). Each stock’s beta is predicted by the risk model, with the benchmark defining the market. Portfolio predicted beta = Σ(holding value × stock predicted beta) ÷ reference value.
Total Value at Risk ($) (5.0%). The one-year loss exceeded with 5% probability, assuming normally distributed (Gaussian) results: 1.645 × total risk × reference value.
Coefficient of Determination. The square of the correlation, under the risk model, between the portfolio and the benchmark: (wᵀQb)² ÷ [(wᵀQw)(bᵀQb)].
Benchmark Risk. The total risk of the benchmark itself, as a standard deviation.
Active Risk. The predicted standard deviation of the active holdings (portfolio minus benchmark), also called tracking error: √((w−b)ᵀQ(w−b)).
Active Factor Risk. Active risk computed using only the common factors of the risk model: √((w−b)ᵀBΩBᵀ(w−b)).
Active Specific Risk. The specific risk of the active holdings: √((w−b)ᵀΔ²(w−b)). Active factor and active specific variance add to active variance.
Active Predicted Beta. Σ(active holding value × stock predicted beta) ÷ reference value. Because the benchmark’s own beta is 1, it equals predicted beta − 1.
Active Value at Risk ($) (5.0%). The one-year shortfall against the benchmark exceeded with 5% probability, assuming normally distributed results: 1.645 × active risk × reference value.
Active Coefficient of Determination. The square of the correlation, under the risk model, between the active holdings and the benchmark.
Active Share. The share of the portfolio that differs from the benchmark: ½ × Σ|w − b| across all stocks. Short positions count in full, so it can exceed 100%.
Portfolio
Long Count. The number of stocks held long, not counting cash.
Short Count. The number of stocks held short.
Long Value ($). The total value of all long holdings except cash.
Long Value (%). Long value as a percentage of the reference value.
Short Value ($). The total value of all short holdings.
Short Value (%). Short value as a percentage of the reference value.
Cash Value ($). The cash held in the portfolio’s cash asset.
Cash Value (%). Cash as a percentage of the reference value.
Net Value. The market value of every holding at the workbook’s prices, shorts counted as negative: long value − short value + cash.
Reference Value. The base for every percentage figure on this page. It defaults to the portfolio’s net value.
L/S Ratio. Long value ÷ short value, both in dollars.
Tax
Tax Liability. The total tax owed on gains the rebalancing realizes, using the optimizer’s tax calculation.
Total Lot Penalty. Reported by the optimizer but not defined in the summary-table section of the Users Guide. It is zero in both portfolios here.
Unrealized Short-term Gains. Gains on lots bought less than 12 months ago that are worth more than their purchase price and not yet sold.
Unrealized Short-term Losses. Losses on lots bought less than 12 months ago that are worth less than their purchase price and not yet sold.
Unrealized Long-term Gains. Gains on lots bought more than 12 months ago that are worth more than their purchase price and not yet sold.
Unrealized Long-term Losses. Losses on lots bought more than 12 months ago that are worth less than their purchase price and not yet sold.
Realized Short-term Gains. Gains on lots bought less than 12 months ago that the rebalancing sells.
Realized Short-term Losses. Losses on lots bought less than 12 months ago that the rebalancing sells.
Net Realized Short-term G/L. Realized short-term gains minus realized short-term losses.
Realized Long-term Gains. Gains on lots bought more than 12 months ago that the rebalancing sells.
Realized Long-term Losses. Losses on lots bought more than 12 months ago that the rebalancing sells.
Net Realized Long-term G/L. Realized long-term gains minus realized long-term losses.
Net Total Realized G/L. Net realized short-term G/L plus net realized long-term G/L.
Trades
Buy Turnover ($). The total value of all buy trades: Σ(w − h)⁺, where h is the holdings before the trade.
Buy Turnover (%). Buy turnover as a percentage of the reference value.
Sell Turnover ($). The total value of all sell trades, including short sales: Σ(w − h)⁻.
Sell Turnover (%). Sell turnover as a percentage of the reference value.
Turnover ($). The total value of all trades, buys plus sells: Σ|w − h|.
Turnover (%). Total turnover as a percentage of the reference value.
Transaction Cost (TCostModel). The sum of each traded stock’s estimated cost under the workspace’s transaction cost model, named TCostModel.
Trade Count. The number of recommended buys and sells (names).
No Stock A shares are sold in the proposed trades, so nothing is realized at the outset; the turnover is the 130/30 overlay being built.
Disclosures and Assumptions
Hypothetical projections
The tax savings, net capital loss and percentile figures on this page are hypothetical. They do not reflect actual trading, actual client experience, or actual investment performance. They are the output of a model applying stated assumptions to historical market data. Hypothetical results have inherent limitations, including that they are prepared with the benefit of hindsight, do not reflect the impact financial risk may have had on actual decision-making, and may not account for all transaction costs, fees, or market conditions an actual account would experience. No representation is made that any account will or is likely to achieve results similar to those shown. Quorus does not provide tax advice.
This illustration was prepared for an advisory firm based on information provided about a $20.0M Stock A position and its holder’s tax situation, and is not intended for general distribution.
Methodology and assumptions
Portfolio analytics. Holdings, sector weights and the short screen come from the portfolio construction workbook. Risk metrics, beta, value at risk and style factor exposures are estimated using the Axioma Worldwide 4 Equity Risk Model (medium horizon), prices as of September 30, 2026, measured against the Russell 1000. They are forecasts from that model, not realized results, and will differ from what an account experiences.
Tax savings source. Liberman, Krasner, Sosner, and Freitas (2023), “Beyond Direct Indexing: Dynamic Direct Long-Short Investing,” The Journal of Beta Investment Strategies, 14(3): 10–41. The projections apply that published methodology to the inputs on this page ($20.0M contributed in kind at the start of the period, a 130/30 leverage level, a 5-year horizon); they do not reproduce the study’s own historical results, and outcomes for any account will differ from those reported in the research. The 130/30 level is not directly examined in the source research; its projected losses are estimated on the assumption that cumulative loss changes in a straight line with leverage, interpolated between the two tested levels that bracket it. Assumption set 2026-09, source figures as of September 2023. Tax savings figures are from a report prepared on October 9, 2026.
Tax rate. Tax savings = projected cumulative net capital losses × 37.0%: the 37% federal short-term rate, treating 100% of offset gains as short-term, plus 0.0% state tax. Every dollar harvested is assumed to offset a client capital gain immediately. The figures do not account for wash-sale rules, annual capital-loss deduction limits against ordinary income, loss-carryforward timing, or changes in the client’s tax situation or tax law.
Fees and expenses. Figures are shown gross of all fees and expenses. The overlay’s estimated costs are an annual management fee (0.80%), margin and short-sale financing (0.40%) and stock-borrow fee (0.07%), 1.28% in total, as a share of total capital, from Quorus’s benchmark rate and fee schedule when the report was prepared. They do not reflect a negotiated fee schedule, custodian pricing, trading commissions or other account-level expenses, and will change if those inputs change.
Short screen. Before optimization, stocks are excluded from the short universe when short interest is at or above a limit or days to cover is above one, when borrow availability or the rebate rate is below a minimum, or when the data needed to test them is missing or could not be reconciled. 142 stocks were excluded on this basis.
Criteria and assumptions. These projections depend on the assumptions stated above. Changes to any of them, including the client’s actual future capital gains, tax rates, or tax law, would produce different results. This illustration is not a guarantee, projection, or prediction of future performance and should not be relied upon as such.
Important Quorus disclosures
Quorus (“Quorus,” “we,” or “our”) is an investment adviser registered with the Securities and Exchange Commission (“SEC”). Registration does not imply a certain level of skill or training.
This material is provided for informational purposes only and does not constitute (i) investment, legal, or tax advice, (ii) an offer to sell or the solicitation of an offer to buy any security, or (iii) a recommendation regarding any investment strategy. Investors should consult their professional advisers before acting on any information herein.
Past performance is not indicative of future results. All investments involve risk, including the possible loss of principal. Certain statements contained herein constitute “forward-looking” or other subjective views and are based on current expectations, estimates, and assumptions that are subject to change without notice. No assurance can be given that any forecast or goal will be achieved.
Any discussion of “tax-alpha,” “after-tax gains,” or similar terms is for illustrative purposes only. Tax outcomes depend on individual circumstances and may change with future tax-law revisions; results are not guaranteed. Clients remain responsible for all decisions related to their personal tax situation, and Quorus does not provide individualized tax advice.
Services described may be offered through third-party service providers or custodians. Quorus does not custody client assets. References to third-party trademarks and logos are for identification only and do not imply endorsement, sponsorship, or affiliation.
“Quorus” is the trademark of Quorus. All other trademarks are the property of their respective owners.
A copy of Quorus’s current Form ADV Parts 2A & 2B which contain important information about our advisory services, fees, and disciplinary history is available upon request.
Definitions
130/30 overlay. Long positions worth about 30% of the account added, and short positions worth about 30% sold, around the retained Stock A position. Net exposure stays at about 100%.
Net capital loss. Realized capital losses minus realized capital gains from the overlay’s trading, before any tax rate is applied.
10th percentile, mean, 90th percentile. The low, middle and high loss outcomes reported in the source research for this leverage level. They describe the spread of the research’s results, not the probability of any result for this account.
Active risk. The predicted standard deviation of the active holdings (portfolio minus benchmark), also called tracking error: √((w−b)ᵀQ(w−b)). The benchmark is the Russell 1000. It is a forecast, not a realized figure.
Active weight. Portfolio net weight minus Russell 1000 weight in a sector, industry or factor.
Style factor exposure. The holdings-weighted sum of each stock’s exposure to a risk-model style factor, measured in standard deviations.