Correlation Between Senvest Capital and Brookfield

Can any of the company-specific risk be diversified away by investing in both Senvest Capital and Brookfield at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Senvest Capital and Brookfield into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Senvest Capital and Brookfield, you can compare the effects of market volatilities on Senvest Capital and Brookfield and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Senvest Capital with a short position of Brookfield. Check out your portfolio center. Please also check ongoing floating volatility patterns of Senvest Capital and Brookfield.

Diversification Opportunities for Senvest Capital and Brookfield

0.6

Correlation Coefficient

Senvest Capital  Brookfield

Poor diversification

The 3 months correlation between Senvest and Brookfield is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Senvest Capital and Brookfield in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brookfield and Senvest Capital is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Senvest Capital are associated (or correlated) with Brookfield. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brookfield has no effect on the direction of Senvest Capital i.e., Senvest Capital and Brookfield go up and down completely randomly.

Pair Corralation between Senvest Capital and Brookfield

Assuming the 90 days trading horizon Senvest Capital is expected to generate 2.6 times less return on investment than Brookfield. But when comparing it to its historical volatility, Senvest Capital is 1.38 times less risky than Brookfield. It trades about 0.04 of its potential returns per unit of risk. Brookfield is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  4,753  in Brookfield on October 7, 2024 and sell it today you would earn a total of  3,596  from holding Brookfield or generate 75.66% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Senvest Capital  vs.  Brookfield

Senvest Capital

Risk-Adjusted Performance

22 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Senvest Capital are ranked lower than 22 (%) of all global equities and portfolios over the last 90 days. In spite of very abnormal fundamental indicators, Senvest Capital displayed solid returns over the last few months and may actually be approaching a breakup point.

Brookfield

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Brookfield are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. In spite of very unfluctuating basic indicators, Brookfield displayed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Senvest Capital and Brookfield

The main advantage of trading using opposite Senvest Capital and Brookfield positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Senvest Capital position performs unexpectedly, Brookfield can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Brookfield will offset losses from the drop in Brookfield's long position.

The idea behind Senvest Capital and Brookfield pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.