Tax-loss harvesting using correlated positions
Related Correlations Analysis
META | MSFT | UBER | F | T | A | CRM | JPM | MRK | XOM | ||
META | 0.22 | 0.6 | -0.05 | -0.43 | 0.3 | 0.59 | 0.7 | -0.77 | 0.06 | META | |
MSFT | 0.22 | 0.26 | 0.65 | 0.22 | 0.02 | 0.73 | 0.07 | 0.04 | -0.45 | MSFT | |
UBER | 0.6 | 0.26 | -0.32 | -0.31 | 0.02 | 0.65 | 0.48 | -0.51 | 0.41 | UBER | |
F | -0.05 | 0.65 | -0.32 | 0.59 | 0.03 | 0.3 | -0.16 | 0.32 | -0.66 | F | |
T | -0.43 | 0.22 | -0.31 | 0.59 | -0.39 | -0.1 | -0.56 | 0.64 | -0.03 | T | |
A | 0.3 | 0.02 | 0.02 | 0.03 | -0.39 | 0.13 | 0.69 | -0.32 | -0.45 | A | |
CRM | 0.59 | 0.73 | 0.65 | 0.3 | -0.1 | 0.13 | 0.39 | -0.43 | -0.15 | CRM | |
JPM | 0.7 | 0.07 | 0.48 | -0.16 | -0.56 | 0.69 | 0.39 | -0.74 | -0.09 | JPM | |
MRK | -0.77 | 0.04 | -0.51 | 0.32 | 0.64 | -0.32 | -0.43 | -0.74 | -0.11 | MRK | |
XOM | 0.06 | -0.45 | 0.41 | -0.66 | -0.03 | -0.45 | -0.15 | -0.09 | -0.11 | XOM | |
META | MSFT | UBER | F | T | A | CRM | JPM | MRK | XOM |
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Correlation Matchups
Over a given time period, the two securities move together 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 | High negative correlations |
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 | Information Ratio | Expected Shortfall | Potential Upside | Value At@Risk | Maximum Drawdown | |
|---|---|---|---|---|---|---|---|---|---|---|
| META | 1.60 | 0.08 | 0.04 | 0.06 | 1.85 | 0.0414 | (1.73) | 3.25 | (3.13) | 8.08 |
| MSFT | 1.10 | (0.07) | 0.00 | (0.10) | 0.00 | (0.0495) | 0.00 | 1.81 | (2.40) | 7.74 |
| UBER | 1.62 | 0.11 | 0.05 | 0.06 | 2.06 | 0.05 | (1.63) | 3.28 | (3.55) | 9.86 |
| F | 1.17 | (0.20) | 0.00 | (0.26) | 0.00 | (0.13) | 0.00 | 1.88 | (2.83) | 8.60 |
| T | 1.14 | 0.00 | 0.00 | (0.01) | 0.00 | 0.0002 | 0.00 | 2.24 | (2.18) | 11.03 |
| A | 1.06 | (0.10) | 0.00 | (0.17) | 0.00 | (0.07) | 0.00 | 2.05 | (2.61) | 7.68 |
| CRM | 1.17 | (0.04) | 0.00 | (0.05) | 0.00 | (0.0306) | 0.00 | 2.76 | (2.24) | 6.63 |
| JPM | 0.76 | 0.07 | 0.07 | 0.05 | 0.91 | 0.07 | (0.77) | 1.94 | (1.34) | 6.04 |
| MRK | 0.97 | (0.03) | 0.00 | (0.07) | 0.00 | (0.0236) | 0.00 | 1.77 | (1.74) | 5.93 |
| XOM | 1.05 | 0.19 | 0.13 | 0.18 | 1.32 | 0.14 | (1.05) | 1.94 | (1.83) | 5.58 |
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