Tax-loss harvesting using correlated positions


Related Correlations

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Correlation Matchups

The Correlation Coefficient is a useful tool to identify correlated or non-correlated securities, which is essential in developing a diversified portfolio. It tells us the relationship between two positions you have in your portfolio or considering acquiring. Over a given time period, the two securities movetogether when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.
High positive correlations   
JPMT
JPMA
CRMUBER
MRKA
AT
XOMUBER
  
High negative correlations   
MRKCRM
MRKF
MRKUBER
MSFTTWTR
FTWTR
CRMA

Risk-Adjusted Indicators

Nowadays, there is a big difference between company stock performing well and the company as a business doing well compared to the competition. There are way too many exceptions to the normal that no investors can tell for sure what's good or bad unless they analyze multiple risk-adjusted performance indicators across the competition. 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
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
TWTR 1.73  0.54  0.14 (1.73)  1.73  0.1 (1.84)  3.56 (2.97)  27.10 
MSFT 1.70 (0.23) (0.06)  0.02  2.30 (0.06) (1.74)  3.57 (3.19)  12.60 
UBER 2.16 (0.10)  0.00  0.11  2.21  0.0017 (2.56)  4.97 (3.86)  16.81 
F 1.77 (0.14) (0.02)  0.08  2.60 (0.0189) (1.59)  2.96 (3.55)  13.51 
T 1.08  0.11  0.04  0.35  1.00  0.0336 (1.17)  2.48 (1.60)  8.63 
A 1.49  0.04  0.06  0.20  1.38  0.0434 (1.70)  2.67 (2.55)  11.05 
CRM 2.22 (0.24) (0.03)  0.04  2.94 (0.0328) (2.30)  4.69 (4.48)  18.29 
JPM 0.91  0.07  0.03  0.25  1.05  0.0367 (0.94)  1.91 (1.75)  7.12 
MRK 0.85  0.09 (0.03)  0.57  1.37 (0.0365) (0.77)  1.78 (1.72)  6.32 
XOM 1.30 (0.02) (0.02)  0.15  1.65 (0.0191) (1.30)  2.89 (2.78)  7.41 

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