30 March 2026 | 365 securities | 189 longs, 176 shorts | 261 weeks history
Network density = % of all security pairs with |correlation| > 0.6 over a rolling 26-week window. When density rises, more securities move together -- diversification fails and systemic risk increases.
Regimes: GREEN (LOW <2.5%) = good diversification. YELLOW (CAUTIOUS 2.5-4%) = correlations clustering. ORANGE (ELEVATED 4-5.5%) = hedges may fail. RED (CRISIS >5.5%) = extreme herding.
26-week rolling average correlations: Long-Long (LL), Short-Short (SS), Long-Short Net (LS). Rising LL = longs moving together (diversification loss). Rising LS Net = hedges becoming less effective.
Summary of pairwise correlations within each geographic region. High Mean Corr = stocks in that region move together (concentration risk). % Pairs > 0.6 is the density metric per region.
| Region | N | Mean Corr | Median Corr | % Pairs > 0.6 |
|---|---|---|---|---|
| LATAM | 158 | 0.3515 | 0.3316 | 10.6023 |
| EMEA | 177 | 0.1638 | 0.1458 | 1.4902 |
| Cross Over | 30 | 0.3087 | 0.2758 | 9.8851 |
Average pairwise correlation between securities in different regions. Diagonal = intra-region. Off-diagonal values approaching the diagonal indicate geographic diversification is breaking down.
Pairwise correlation stats within each sector. High Mean Corr = concentrated sector risk. Sectors with high % Pairs > 0.6 need extra attention -- hedges within that sector may not work.
| Sector | N | Mean Corr | Median Corr | % Pairs > 0.6 |
|---|---|---|---|---|
| Communication Services | 22 | 0.1753 | 0.1658 | 1.2987 |
| Consumer Discretionary | 40 | 0.2040 | 0.1882 | 3.8462 |
| Consumer Staples | 42 | 0.1704 | 0.1585 | 0.5807 |
| Energy | 21 | 0.2377 | 0.2151 | 2.8571 |
| Financials | 76 | 0.2456 | 0.2186 | 5.4035 |
| Health Care | 10 | 0.1383 | 0.0967 | 2.2222 |
| Hedges | 7 | 0.4690 | 0.4914 | 19.0476 |
| Industrials | 38 | 0.2119 | 0.1890 | 3.8407 |
| Information Technology | 11 | 0.2079 | 0.1908 | 1.8182 |
| Materials | 57 | 0.3130 | 0.3145 | 9.0852 |
| Real Estate | 20 | 0.2210 | 0.1985 | 5.2632 |
| Utilities | 21 | 0.3868 | 0.3469 | 31.4286 |
Average correlation between sectors. Identifies hidden sector bets -- if two sectors are highly correlated, holding both does not give the diversification you expect.
Highest pairwise correlations within each region (structural, ~2.5y window). High correlation between two positions = they move together. Use to identify concentration risk and hedge candidates.
| Name A | Name B | Corr |
|---|---|---|
| RENT3 BZ Equity | RENT4 BZ Equity | 0.9907 |
| AXIA3 BZ Equity | AXIA7 BZ Equity | 0.9849 |
| IRS US Equity | PICS US Equity | 0.9795 |
| PETR4 BZ Equity | PICS US Equity | 0.9746 |
| BAP US Equity | PICS US Equity | 0.9616 |
| CAAP US Equity | RENT4 BZ Equity | 0.9555 |
| CEPU US Equity | PICS US Equity | 0.9454 |
| PICS US Equity | VALE3 BZ Equity | 0.9282 |
| GGBR4 BZ Equity | PICS US Equity | 0.9271 |
| PICS US Equity | XP US Equity | 0.9196 |
| IGTI11 BZ Equity | MULT3 BZ Equity | 0.9183 |
| PICS US Equity | POMO4 BZ Equity | 0.9107 |
| EQTL3 BZ Equity | RENT4 BZ Equity | 0.9010 |
| PICS US Equity | YDUQ3 BZ Equity | 0.8979 |
| CEPU US Equity | PAM US Equity | 0.8950 |
| Name A | Name B | Corr |
|---|---|---|
| IMP SJ Equity | NPH SJ Equity | 0.8941 |
| PEO PW Equity | SPL PW Equity | 0.8551 |
| AKBNK TI Equity | YKBNK TI Equity | 0.8523 |
| ANG SJ Equity | HAR SJ Equity | 0.7867 |
| ABG SJ Equity | FSR SJ Equity | 0.7664 |
| TFG SJ Equity | TRU SJ Equity | 0.7561 |
| CPI SJ Equity | FSR SJ Equity | 0.7493 |
| PEO PW Equity | PZU PW Equity | 0.7447 |
| BVT SJ Equity | TRU SJ Equity | 0.7415 |
| EDV LN Equity | HAR SJ Equity | 0.7406 |
| ANG SJ Equity | EDV LN Equity | 0.7373 |
| PPH SJ Equity | TRU SJ Equity | 0.7339 |
| PPH SJ Equity | TFG SJ Equity | 0.7317 |
| FSR SJ Equity | NED SJ Equity | 0.7316 |
| ALPHA GA Equity | EUROB GA Equity | 0.7272 |
| Name A | Name B | Corr |
|---|---|---|
| CS CN Equity | TECK US Equity | 0.7749 |
| AAL LN Equity | TECK US Equity | 0.7268 |
| GLEN LN Equity | TECK US Equity | 0.7167 |
| FCX US Equity | GLEN LN Equity | 0.7086 |
| FCX US Equity | TECK US Equity | 0.6848 |
| CS CN Equity | FCX US Equity | 0.6841 |
| B US Equity | GLD US Equity | 0.6722 |
| AAL LN Equity | GLEN LN Equity | 0.6687 |
| CS CN Equity | GLEN LN Equity | 0.6643 |
| AAL LN Equity | CS CN Equity | 0.6420 |
| AAL LN Equity | FCX US Equity | 0.6020 |
| CS CN Equity | FM CN Equity | 0.5868 |
| FCX US Equity | FM CN Equity | 0.5848 |
| FM CN Equity | TECK US Equity | 0.5705 |
| FM CN Equity | GLEN LN Equity | 0.5423 |
| Name A | Name B | Corr |
|---|---|---|
| B US Equity | PICS US Equity | 0.9964 |
| FCX US Equity | PICS US Equity | 0.9964 |
| RENT3 BZ Equity | RENT4 BZ Equity | 0.9907 |
| AXIA3 BZ Equity | AXIA7 BZ Equity | 0.9849 |
| AAL LN Equity | PICS US Equity | 0.9806 |
| IRS US Equity | PICS US Equity | 0.9795 |
| FM CN Equity | PICS US Equity | 0.9772 |
| KGH PW Equity | PICS US Equity | 0.9758 |
| PETR4 BZ Equity | PICS US Equity | 0.9746 |
| EDV LN Equity | PICS US Equity | 0.9695 |
| BAP US Equity | PICS US Equity | 0.9616 |
| CAAP US Equity | RENT4 BZ Equity | 0.9555 |
| CEPU US Equity | PICS US Equity | 0.9454 |
| NPN SJ Equity | PICS US Equity | 0.9434 |
| GLEN LN Equity | PICS US Equity | 0.9361 |
| PICS US Equity | TRU SJ Equity | 0.9323 |
| PICS US Equity | VALE3 BZ Equity | 0.9282 |
| GGBR4 BZ Equity | PICS US Equity | 0.9271 |
| PICS US Equity | XP US Equity | 0.9196 |
| IGTI11 BZ Equity | MULT3 BZ Equity | 0.9183 |
| Name A | Name B | Corr |
|---|---|---|
| BOVA11 BZ Equity | EWZ US Equity | 0.9696 |
| QQQ US Equity | SPY US Equity | 0.9568 |
| BOVA11 BZ Equity | ITUB US Equity | 0.8999 |
| EWZ US Equity | ITUB US Equity | 0.8944 |
| MBK PW Equity | MIL PW Equity | 0.8912 |
| AUAU3 BZ Equity | VOD SJ Equity | 0.8904 |
| BHP LN Equity | RIO US Equity | 0.8827 |
| AUAU3 BZ Equity | BHP LN Equity | 0.8806 |
| ALOS3 BZ Equity | BOVA11 BZ Equity | 0.8778 |
| GDX US Equity | NEM US Equity | 0.8659 |
| BOVA11 BZ Equity | ENGI11 BZ Equity | 0.8586 |
| ALOS3 BZ Equity | MOTV3 BZ Equity | 0.8571 |
| AUAU3 BZ Equity | MTM SJ Equity | 0.8556 |
| ALOS3 BZ Equity | EWZ US Equity | 0.8521 |
| TIMS3 BZ Equity | VIVT3 BZ Equity | 0.8521 |
| EWZ US Equity | SANB11 BZ Equity | 0.8466 |
| BOVA11 BZ Equity | SANB11 BZ Equity | 0.8456 |
| EWW US Equity | GFNORTEO MM Equity | 0.8412 |
| BOVA11 BZ Equity | MOTV3 BZ Equity | 0.8392 |
| ENGI11 BZ Equity | MOTV3 BZ Equity | 0.8381 |
Each dot = one security projected onto PC1 vs PC2. Colors = cluster assignments (hierarchical clustering on PC1 residuals). Names close together share similar risk profiles. Click a point or use the dropdown below to explore any cluster.
Average correlation between cluster members. Clusters with high inter-correlation may represent the same underlying risk factor. Labels show auto-generated cluster names.
Brazil names analyzed separately (PC1 explains ~51% of Brazil variance). Internal clustering reveals sub-groups not visible in the global analysis. Click a point or use the dropdown to inspect each Brazil cluster.
How much of the portfolio's total variance is explained by each macro factor group. Residual = idiosyncratic risk not captured by factors -- high residual indicates strong stock-level diversification.
| Group | Factors | Bloomberg Tickers |
|---|---|---|
| Equity | DM Equity + EM Equity | SPX Index, MXEF Index |
| Rates | US Rates | USGG10YR Index |
| FX | USD | DXY Curncy |
| Commodities | Oil + Gold + Copper | CO1 Comdty, XAU Curncy, HGA Comdty |
| Volatility | Volatility | VIX Index |
Net portfolio beta to each factor (weight-adjusted). Positive = long exposure. Negative USD = portfolio benefits from dollar weakness.
52-week rolling R2 decomposition showing which factors drive portfolio returns over time. Black dashed line = total R2. Caveat: assumes static portfolio weights.
Weekly price data for 365 securities over 261 weeks (2021-03-09 to 2026-03-02). Source: Bloomberg via Risk Tool spreadsheet. Returns: log returns for prices, simple diff for yield levels (USGG10YR).
Rolling 26-week window. Count pairs with |corr| > 0.6, divide by total pairs N*(N-1)/2. Regimes: LOW (<2.5%), CAUTIOUS (2.5-4%), ELEVATED (4-5.5%), CRISIS (>5.5%).
Gross = raw returns. Net = short positions sign-flipped (P&L perspective). Rolling: 26w. Structural: full ~2.5y sample. Regions: LATAM, EMEA, Cross Over (DM countries).
PCA on full correlation matrix. PC1 removed before clustering (avoids mega-cluster from market beta). Hierarchical clustering (Ward's method) on PC1 residuals, K selected by silhouette score. Brazil: separate PCA (PC1=51%), 10 internal clusters. Naming: dominant region + sector + style (High Beta if vol>45%, Low Vol if <25%, else Core).
8 reduced factors (VIF all <5): USGG10YR, DXY, CO1, XAU, MXEF, SPX, HGA, VIX. Multivariate OLS per stock. Portfolio exposure = weighted betas. Min 80 obs required.
Risk decomposition: contrib_f = beta_f * cov(X_f, y) / var(y). Grouped: Equity (SPX+MXEF), Rates, FX, Commodities (CO1+XAU+HGA), Vol. Residual = 1 - sum.