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This paper aims to analyze both the volatility patterns and performance of the sectorial indexes of Bovespa’s main stocks and to investigate the temporal structure of the conditional correlation between these, from January 04, 2011 to November 19, 2013. The results obtained from the conditional CAPM have showed that the betas significantly vary over time and revealed an existing heterogeneity among portfolios. Regarding to volatility analysis, it perceives that volatility series of both UTIL and IEE indexes presented similar behavior and were more volatile than other indexes in the review period. The conditional correlation analysis showed that IEE and UTIL, INDX and UTIL, ICON and IMAT, IMOB and IFNC have presented a strong correlation; the construction of a portfolio of assets composed by shares of these indexes does not allow the risk diversification.  Keywords: Sectorial analysis. Risk. Conditional Correlation. Analise empirica do desempenho, risco e correlacao condicional de indices setoriais do Brasil Resumo O objetivo deste estudo e analisar o desempenho e os padroes de volatilidade dos indices setoriais das principais acoes da Bovespa e investigar a estrutura temporal da correlacao condicional entre esses, no periodo de 04 de janeiro de 2011 a 19 de novembro de 2013. Os resultados obtidos a partir do CAPM condicional mostraram que os betas variam significativamente ao longo do tempo e revelaram a heterogeneidade existente entre as carteiras . Em relacao a analise de volatilidade, percebe-se as series da volatilidade dos indices UTIL e IEE apresentaram comportamento semelhante e se mostraram mais volateis que os demais indices no periodo analisado. Ja a analise da correlacao condicional mostrou que os indices IEE e UTIL, INDX e UTIL, ICON e IMAT, IMOB e IFNC apresentaram uma forte correlacao e a construcao de uma carteira de ativos composta por acoes desses indices nao permite a diversificacao do risco. Palavras-chave: Analise setorial. Risco. Correlacao condicional.

EMPIRICAL ANALYSIS OF THE PERFORMANCE, RISK AND CONDITIONAL CORRELATION OF THE BRAZILIAN’S SECTORIAL INDEXES