Tax-loss harvesting using correlated positions

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.29	0.13	0.47	-0.17	0.33	0.19	0.41	-0.2	-0.3	META
MSFT	0.29		0.85	0.32	-0.93	0.84	0.96	0.67	-0.9	-0.96	MSFT
UBER	0.13	0.85		0.24	-0.91	0.8	0.84	0.54	-0.8	-0.82	UBER
F	0.47	0.32	0.24		-0.33	0.66	0.21	0.6	-0.01	-0.43	F
T	-0.17	-0.93	-0.91	-0.33		-0.85	-0.87	-0.57	0.87	0.89	T
A	0.33	0.84	0.8	0.66	-0.85		0.79	0.82	-0.65	-0.89	A
CRM	0.19	0.96	0.84	0.21	-0.87	0.79		0.69	-0.89	-0.95	CRM
JPM	0.41	0.67	0.54	0.6	-0.57	0.82	0.69		-0.45	-0.76	JPM
MRK	-0.2	-0.9	-0.8	-0.01	0.87	-0.65	-0.89	-0.45		0.83	MRK
XOM	-0.3	-0.96	-0.82	-0.43	0.89	-0.89	-0.95	-0.76	0.83		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

CRM	+ 0.96	MSFT
XOM	+ 0.89	T
MRK	+ 0.87	T
UBER	+ 0.85	MSFT
A	+ 0.84	MSFT
CRM	+ 0.84	UBER

High negative correlations

XOM	- 0.96	MSFT
XOM	- 0.95	CRM
T	- 0.93	MSFT
T	- 0.91	UBER
MRK	- 0.9	MSFT
MRK	- 0.89	CRM

Risk-Adjusted Indicators

A stock can outperform for short periods even when underlying business quality is not improving. Risk-adjusted indicators help separate headline returns from durable competitive strength. These indicators are quantitative in nature and help investors evaluate volatility and risk-adjusted expected returns across different positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
META	1.49	-0.10	0.00	-0.16	0.00	0.00	2.33	-2.82	14.24
MSFT	1.29	-0.36	0.00	-0.76	0.00	0.00	2.19	-2.87	13.28
UBER	1.55	-0.09	0.00	-0.21	0.00	0.00	3.18	-3.60	11.09
F	1.37	-0.12	0.00	-0.16	0.00	0.00	3.61	-3.07	10.01
T	1.11	0.27	0.23	-1.67	1.13	-1.23	3.87	-1.92	8.53
A	1.23	-0.23	0.00	-0.31	0.00	0.00	2.48	-3.01	7.20
CRM	1.87	-0.47	0.00	-0.80	0.00	0.00	3.41	-6.09	10.53
JPM	1.13	-0.01	0.00	-0.06	0.00	0.00	2.02	-2.63	8.17
MRK	1.12	0.30	0.24	0.53	1.15	-1.29	2.58	-1.94	7.29
XOM	1.28	0.53	0.38	33.64	1.06	-1.49	2.90	-2.12	6.83

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