Tax-loss harvesting using correlated positions

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.17	0.07	-0.07	0.65	-0.37	-0.46	-0.07	-0.41	-0.21	META
MSFT	0.17		-0.14	-0.16	-0.48	0.01	-0.27	-0.02	-0.12	-0.27	MSFT
UBER	0.07	-0.14		0.79	0.11	0.53	-0.45	0.73	0.36	0.64	UBER
F	-0.07	-0.16	0.79		0.02	0.71	-0.46	0.64	0.61	0.61	F
T	0.65	-0.48	0.11	0.02		-0.43	-0.07	-0.05	-0.27	0.02	T
A	-0.37	0.01	0.53	0.71	-0.43		-0.35	0.62	0.72	0.57	A
CRM	-0.46	-0.27	-0.45	-0.46	-0.07	-0.35		-0.26	-0.17	-0.06	CRM
JPM	-0.07	-0.02	0.73	0.64	-0.05	0.62	-0.26		0.21	0.84	JPM
MRK	-0.41	-0.12	0.36	0.61	-0.27	0.72	-0.17	0.21		0.27	MRK
XOM	-0.21	-0.27	0.64	0.61	0.02	0.57	-0.06	0.84	0.27		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

XOM	+ 0.84	JPM
F	+ 0.79	UBER
JPM	+ 0.73	UBER
MRK	+ 0.72	A
A	+ 0.71	F
T	+ 0.65	META

High negative correlations

T	- 0.48	MSFT
CRM	- 0.46	F
CRM	- 0.46	META
CRM	- 0.45	UBER
A	- 0.43	T
MRK	- 0.41	META

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	1.30	0.01	0.00	0.06	1.49	(1.44)	2.18	(2.32)	15.10
MSFT	0.75	(0.02)	(0.05)	0.01	0.97	(0.74)	1.86	(1.64)	6.50
UBER	1.40	0.00	(0.01)	0.05	1.95	(1.33)	3.62	(3.30)	8.86
F	1.13	0.06	0.04	0.10	1.51	(1.20)	2.98	(1.83)	9.82
T	0.84	(0.02)	0.00	0.66	0.00	0.00	1.82	(2.30)	6.47
A	1.44	0.23	0.18	0.19	1.14	(1.64)	3.82	(2.15)	10.46
CRM	1.47	(0.13)	0.00	(0.11)	0.00	0.00	2.76	(3.33)	8.74
JPM	0.81	(0.01)	(0.01)	0.04	1.13	(0.80)	1.69	(1.91)	4.93
MRK	1.27	0.04	0.02	0.09	1.31	(1.44)	2.91	(2.36)	9.11
XOM	0.92	(0.01)	(0.02)	0.03	1.38	(0.83)	1.72	(2.42)	4.70

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