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Ivolga Capital company blog | Assessment of the volatility of returns of the PRObonds portfolio with indices of the Russian stock market


The past year, rich in market stress, is good for reflection. Including, in order to understand how the market instruments behave in relation to each other under current conditions. To do this, we decided to compare how volatile the daily returns of our PRObonds # 1 portfolio are in relation to the general indicators of the Russian market – the Moscow Exchange index and the RGBI government bond index.

At the time of the spring crisis, the decline in the PRObonds portfolio in terms of direction and duration was comparable to the Moscow Exchange index. In April-May, as the quotes recovered at the level of the beginning of the year, the portfolio won back the fall along a trajectory similar again to the Moscow Exchange index, but with a more modest amplitude. In the second half of the year, the daily returns of the PRObonds portfolio were at a stable level above zero.

It is also curious how government securities traded against the background of the portfolio, reflected through the RGBI index. The direction of movement of the government securities index largely coincides with the PRObonds portfolio and the Moscow Exchange index, the duration of the periods of growth and decline are also similar. However, each drawdown and each moment of growth occurred with a delay in relation to the portfolio and to the Moscow Exchange index, and the depth of the fall was lower.

The degree of volatility of returns reveals the reaction of a pool of investors to certain assets. It turns out that in terms of the securities of our portfolio at the moment of market panic, buyers tend to react quickly and in a similar manner as buyers on the Russian stock market, while on the OFZ market the reaction of investors is relatively slow and less aggressive.

HDI is often compared in terms of the risk profile with the stock market, although this is still not a very correct comparison. However, market risk, at least in the 2020 crisis periods, in these two markets had a common direction.

Author: Ilya Grigoriev



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