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 | 1.72 | 0.39 | 0.25 | 0.32 | 1.28 | 3.27 | 24.74 | |||
MSFT | 0.92 | 0.04 | 0.04 | 0.09 | 0.99 | 2.11 | 5.31 | |||
UBER | 1.60 | 0.13 | 0.10 | 0.11 | 1.49 | 2.83 | 18.39 | |||
F | 1.59 | 0.03 | 0.04 | 0.06 | 1.83 | 4.07 | 9.61 | |||
T | 0.90 | (0.03) | 0.00 | (0.03) | 0.00 | 2.18 | 5.92 | |||
A | 1.18 | (0.01) | 0.00 | 0.03 | 1.41 | 2.26 | 6.31 | |||
CRM | 1.23 | (0.03) | (0.01) | 0.02 | 1.93 | 2.83 | 10.84 | |||
JPM | 0.78 | 0.05 | 0.04 | 0.09 | 1.32 | 1.72 | 8.65 | |||
MRK | 0.64 | 0.05 | 0.06 | 0.11 | 0.66 | 1.18 | 6.92 | |||
XOM | 0.83 | 0.24 | 0.23 | 0.49 | 0.65 | 1.96 | 4.66 |
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