I'm interested in doing a version of direct indexing for tax loss harvesting. I plan to do this myself, rather than go through a paid service. I'd like to split an index fund in to multiple components, so there is increased chance of effective tax loss harvesting.
I'm looking for a combination of 20+ individual stocks and/or ETFs that when weighted appropriately has an extremely high correlation with S&P 500 or other major index. Ideally many of these individual stocks would have a relatively low correlation with each other. Is there a tool that can assist with developing this list and assigning weights?
Note that I realize that this will be complicated, and potential tax savings are limited. It's similar to a hobby for me... doing something I enjoy, so time/benefit ratio is not an issue.