Tax-loss harvesting using correlated positions

Related Correlations Analysis

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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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum 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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