Sélection des titres
| ADYEN.AS | ADYEN |
| ASML.AS | ASML HLDG |
| SU.PA | SCHNEIDER ELECTRIC |
| IBE.MC | IBERDROLA |
| MC.PA | LVMH MOET HENNESSY |
| FLTR.IR | FLUTTER ENTERTAINMENT |
| KNEBV.HE | KONE B |
| DPW.DE | DEUTSCHE POST |
| ENEL.MI | ENEL |
| OR.PA | L'OREAL |
| Total return | Daily return | Daily Stdev | Total Stdev | Sharpe ratio | Daily VaR 90% | Daily VaR 95% | Daily VaR 99% | |
| ASML.AS | 118,98% | 0,2279% | 2,1053% | 48,06% | 2,48 | 3,47% | 4,13% | 5,43% |
| ADYEN.AS | 114,90% | 0,2201% | 2,1100% | 48,16% | 2,39 | 3,48% | 4,14% | 5,44% |
| SU.PA | 82,37% | 0,1578% | 1,9466% | 44,43% | 1,85 | 3,21% | 3,82% | 5,02% |
| IBE.MC | 62,69% | 0,1201% | 1,5588% | 35,58% | 1,76 | 2,57% | 3,06% | 4,02% |
| MC.PA | 74,63% | 0,1430% | 1,8938% | 43,23% | 1,73 | 3,12% | 3,71% | 4,89% |
| DPW.DE | 69,73% | 0,1336% | 1,8759% | 42,82% | 1,63 | 3,10% | 3,68% | 4,84% |
| FLTR.IR | 93,28% | 0,1787% | 2,5477% | 58,15% | 1,60 | 4,20% | 4,99% | 6,57% |
| KNEBV.HE | 48,50% | 0,0929% | 1,3435% | 30,67% | 1,58 | 2,22% | 2,63% | 3,47% |
| ENEL.MI | 61,63% | 0,1181% | 1,8729% | 42,75% | 1,44 | 3,09% | 3,67% | 4,83% |
| OR.PA | 46,08% | 0,0883% | 1,5704% | 35,85% | 1,29 | 2,59% | 3,08% | 4,05% |
L'indice Euro Stoxx 50
| Total return | Daily return | Daily Stdev | Total Stdev | Sharpe ratio | Daily VaR 90% | Daily VaR 95% | Daily VaR 99% | |
| ^STOXX50E | 17,13% | 0,0328% | 1,5006% | 34,25% | 0,50 | 2,48% | 2,94% | 3,87% |
Matrice Variance - Covariance
| ASML.AS | ADYEN.AS | SU.PA | IBE.MC | MC.PA | DPW.DE | FLTR.IR | KNEBV.HE | ENEL.MI | OR.PA | |
| ASML.AS | 0,04432% | 0,01709% | 0,02627% | 0,01194% | 0,02508% | 0,02546% | 0,02053% | 0,01069% | 0,01685% | 0,01546% |
| ADYEN.AS | 0,01709% | 0,04452% | 0,01336% | 0,00661% | 0,01275% | 0,01046% | 0,00989% | 0,00800% | 0,01132% | 0,01001% |
| SU.PA | 0,02627% | 0,01336% | 0,03789% | 0,01812% | 0,02552% | 0,02448% | 0,01931% | 0,01196% | 0,02186% | 0,01792% |
| IBE.MC | 0,01194% | 0,00661% | 0,01812% | 0,02430% | 0,01437% | 0,01465% | 0,01304% | 0,00871% | 0,02137% | 0,01375% |
| MC.PA | 0,02508% | 0,01275% | 0,02552% | 0,01437% | 0,03586% | 0,02260% | 0,01947% | 0,00983% | 0,01862% | 0,01919% |
| DPW.DE | 0,02546% | 0,01046% | 0,02448% | 0,01465% | 0,02260% | 0,03519% | 0,02104% | 0,01028% | 0,01817% | 0,01485% |
| FLTR.IR | 0,02053% | 0,00989% | 0,01931% | 0,01304% | 0,01947% | 0,02104% | 0,06491% | 0,00669% | 0,01339% | 0,01244% |
| KNEBV.HE | 0,01069% | 0,00800% | 0,01196% | 0,00871% | 0,00983% | 0,01028% | 0,00669% | 0,01805% | 0,00920% | 0,00852% |
| ENEL.MI | 0,01685% | 0,01132% | 0,02186% | 0,02137% | 0,01862% | 0,01817% | 0,01339% | 0,00920% | 0,03508% | 0,01749% |
| OR.PA | 0,01546% | 0,01001% | 0,01792% | 0,01375% | 0,01919% | 0,01485% | 0,01244% | 0,00852% | 0,01749% | 0,02466% |
Les 10 titres à éviter
| AIR.PA | AIRBUS |
| ABI.BR | ANHEUSER-BUSCH INBEV |
| AMS.MC | AMADEUS IT GROUP |
| INGA.AS | ING GRP |
| FP.PA | TOTAL |
| BN.PA | DANONE |
| BAYN.DE | BAYER |
| SAN.MC | BCO SANTANDER |
| ENI.MI | ENI |
| NOKIA.HE | NOKIA |
| Total return | Daily return | Daily Stdev | Total Stdev | Sharpe ratio | Daily VaR 90% | Daily VaR 95% | Daily VaR 99% | |
| AIR.PA | 5,63% | 0,0108% | 3,3933% | 77,45% | 0,07 | 5,60% | 6,65% | 8,75% |
| ABI.BR | -2,29% | -0,0044% | 2,6144% | 59,67% | -0,04 | 4,31% | 5,12% | 6,75% |
| AMS.MC | -5,92% | -0,0113% | 2,6888% | 61,37% | -0,10 | 4,44% | 5,27% | 6,94% |
| INGA.AS | -8,26% | -0,0158% | 2,9633% | 67,64% | -0,12 | 4,89% | 5,81% | 7,65% |
| FP.PA | -8,19% | -0,0157% | 2,4259% | 55,37% | -0,15 | 4,00% | 4,75% | 6,26% |
| BN.PA | -6,73% | -0,0129% | 1,4906% | 34,02% | -0,20 | 2,46% | 2,92% | 3,85% |
| BAYN.DE | -11,83% | -0,0227% | 2,2626% | 51,65% | -0,23 | 3,73% | 4,43% | 5,84% |
| SAN.MC | -27,03% | -0,0518% | 2,7611% | 63,02% | -0,43 | 4,56% | 5,41% | 7,12% |
| ENI.MI | -34,92% | -0,0669% | 2,4630% | 56,22% | -0,62 | 4,06% | 4,83% | 6,35% |
| NOKIA.HE | -38,98% | -0,0747% | 2,6767% | 61,10% | -0,64 | 4,42% | 5,25% | 6,91% |