Tax-loss harvesting using correlated positions
Related Correlations Analysis
META | MSFT | UBER | F | T | A | CRM | JPM | MRK | XOM | ||
META | 0.88 | 0.96 | 0.74 | 0.38 | 0.6 | 0.93 | 0.85 | 0.79 | 0.74 | META | |
MSFT | 0.88 | 0.83 | 0.56 | 0.44 | 0.47 | 0.91 | 0.77 | 0.78 | 0.68 | MSFT | |
UBER | 0.96 | 0.83 | 0.72 | 0.26 | 0.61 | 0.93 | 0.84 | 0.74 | 0.72 | UBER | |
F | 0.74 | 0.56 | 0.72 | 0.21 | 0.68 | 0.64 | 0.76 | 0.47 | 0.76 | F | |
T | 0.38 | 0.44 | 0.26 | 0.21 | 0.23 | 0.35 | 0.4 | 0.52 | 0.41 | T | |
A | 0.6 | 0.47 | 0.61 | 0.68 | 0.23 | 0.63 | 0.8 | 0.12 | 0.83 | A | |
CRM | 0.93 | 0.91 | 0.93 | 0.64 | 0.35 | 0.63 | 0.84 | 0.71 | 0.72 | CRM | |
JPM | 0.85 | 0.77 | 0.84 | 0.76 | 0.4 | 0.8 | 0.84 | 0.62 | 0.95 | JPM | |
MRK | 0.79 | 0.78 | 0.74 | 0.47 | 0.52 | 0.12 | 0.71 | 0.62 | 0.47 | MRK | |
XOM | 0.74 | 0.68 | 0.72 | 0.76 | 0.41 | 0.83 | 0.72 | 0.95 | 0.47 | 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 | 1.69 | 0.30 | 0.25 | 0.31 | 1.16 | 3.34 | 24.74 | |||
MSFT | 0.89 | 0.05 | 0.05 | 0.18 | 0.89 | 2.11 | 5.31 | |||
UBER | 1.62 | 0.10 | 0.14 | 0.17 | 1.42 | 2.83 | 18.39 | |||
F | 1.51 | (0.10) | 0.02 | 0.08 | 1.58 | 4.07 | 9.61 | |||
T | 0.98 | 0.07 | (0.01) | 0.31 | 1.16 | 2.20 | 6.58 | |||
A | 1.11 | (0.12) | (0.04) | 0.04 | 1.46 | 2.27 | 5.64 | |||
CRM | 1.16 | 0.02 | 0.04 | 0.14 | 1.29 | 2.85 | 8.93 | |||
JPM | 0.66 | 0.17 | 0.20 | 0.34 | 0.31 | 1.73 | 3.96 | |||
MRK | 0.68 | 0.23 | 0.27 | 0.44 | 0.00 | 1.95 | 6.92 | |||
XOM | 0.88 | 0.14 | 0.08 | 0.37 | 0.80 | 2.04 | 4.66 |
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