Tax-loss harvesting using correlated positions
Related Correlations Analysis
META | MSFT | UBER | F | T | A | CRM | JPM | MRK | XOM | ||
META | 0.86 | 0.95 | 0.73 | 0.36 | 0.6 | 0.92 | 0.87 | 0.77 | 0.76 | META | |
MSFT | 0.86 | 0.83 | 0.53 | 0.45 | 0.44 | 0.91 | 0.77 | 0.78 | 0.68 | MSFT | |
UBER | 0.95 | 0.83 | 0.71 | 0.27 | 0.59 | 0.94 | 0.86 | 0.74 | 0.72 | UBER | |
F | 0.73 | 0.53 | 0.71 | 0.16 | 0.67 | 0.63 | 0.73 | 0.41 | 0.73 | F | |
T | 0.36 | 0.45 | 0.27 | 0.16 | 0.19 | 0.36 | 0.39 | 0.54 | 0.39 | T | |
A | 0.6 | 0.44 | 0.59 | 0.67 | 0.19 | 0.61 | 0.78 | 0.08 | 0.83 | A | |
CRM | 0.92 | 0.91 | 0.94 | 0.63 | 0.36 | 0.61 | 0.85 | 0.71 | 0.72 | CRM | |
JPM | 0.87 | 0.77 | 0.86 | 0.73 | 0.39 | 0.78 | 0.85 | 0.6 | 0.94 | JPM | |
MRK | 0.77 | 0.78 | 0.74 | 0.41 | 0.54 | 0.08 | 0.71 | 0.6 | 0.43 | MRK | |
XOM | 0.76 | 0.68 | 0.72 | 0.73 | 0.39 | 0.83 | 0.72 | 0.94 | 0.43 | XOM | |
META | MSFT | UBER | F | T | A | CRM | JPM | MRK | XOM |
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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 | 1.68 | 0.66 | 0.28 | (0.73) | 1.13 | 3.34 | 24.74 | |||
MSFT | 0.88 | 0.06 | 0.05 | 0.18 | 0.90 | 2.11 | 5.31 | |||
UBER | 1.60 | 0.13 | 0.15 | 0.19 | 1.41 | 2.83 | 18.39 | |||
F | 1.48 | (0.12) | 0.01 | 0.07 | 1.61 | 4.07 | 9.61 | |||
T | 0.98 | 0.07 | (0.01) | 0.31 | 1.16 | 2.20 | 6.58 | |||
A | 1.10 | (0.10) | (0.02) | 0.06 | 1.43 | 2.27 | 5.92 | |||
CRM | 1.16 | 0.02 | 0.04 | 0.14 | 1.29 | 2.85 | 8.93 | |||
JPM | 0.66 | 0.17 | 0.20 | 0.33 | 0.30 | 1.73 | 3.96 | |||
MRK | 0.70 | 0.24 | 0.29 | 0.46 | 0.00 | 1.95 | 6.92 | |||
XOM | 0.87 | 0.13 | 0.07 | 0.35 | 0.79 | 2.04 | 4.66 |
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