Tax-loss harvesting using correlated positions
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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 | 1.71 | 0.42 | 0.28 | 0.36 | 1.24 | 3.27 | 24.74 | |||
MSFT | 0.94 | (0.01) | 0.00 | 0.05 | 1.03 | 2.11 | 5.31 | |||
UBER | 1.60 | 0.07 | 0.08 | 0.10 | 1.53 | 2.83 | 18.39 | |||
F | 1.59 | 0.00 | 0.03 | 0.06 | 1.86 | 4.07 | 9.61 | |||
T | 0.92 | (0.01) | (0.04) | 0.03 | 1.15 | 2.18 | 5.92 | |||
A | 1.20 | (0.06) | (0.02) | 0.02 | 1.44 | 2.26 | 6.31 | |||
CRM | 1.24 | (0.06) | (0.02) | 0.02 | 1.98 | 2.83 | 10.84 | |||
JPM | 0.78 | 0.05 | 0.04 | 0.10 | 1.31 | 1.72 | 8.65 | |||
MRK | 0.64 | 0.04 | 0.04 | 0.10 | 0.66 | 1.18 | 6.92 | |||
XOM | 0.80 | 0.27 | 0.29 | 0.64 | 0.48 | 1.96 | 4.66 |
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