Sélection des titres
| ASML HLDG | ASML.AS |
| KONINKLIJKE DSM | DSM.AS |
| SCHNEIDER ELECTRIC | SU.PA |
| HERMES INTERNATIONAL | RMS.PA |
| IBERDROLA | IBE.MC |
| NESTE | NESTE.HE |
| RWE | RWE.DE |
| CELLNEX TELECOM | CLNX.MC |
| DEUTSCHE POST | DPW.DE |
| KONE B | KNEBV.HE |
| 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% |
| DSM.AS | 67,65% | 0,1296% | 1,5750% | 35,95% | 1,88 | 2,60% | 3,09% | 4,06% |
| SU.PA | 82,37% | 0,1578% | 1,9466% | 44,43% | 1,85 | 3,21% | 3,82% | 5,02% |
| RMS.PA | 61,11% | 0,1171% | 1,5073% | 34,40% | 1,78 | 2,49% | 2,95% | 3,89% |
| IBE.MC | 62,69% | 0,1201% | 1,5588% | 35,58% | 1,76 | 2,57% | 3,06% | 4,02% |
| NESTE.HE | 93,60% | 0,1793% | 2,3710% | 54,12% | 1,73 | 3,91% | 4,65% | 6,12% |
| RWE.DE | 76,74% | 0,1470% | 2,0134% | 45,96% | 1,67 | 3,32% | 3,95% | 5,19% |
| CLNX.MC | 82,93% | 0,1589% | 2,1833% | 49,83% | 1,66 | 3,60% | 4,28% | 5,63% |
| DPW.DE | 69,73% | 0,1336% | 1,8759% | 42,82% | 1,63 | 3,10% | 3,68% | 4,84% |
| KNEBV.HE | 48,50% | 0,0929% | 1,3435% | 30,67% | 1,58 | 2,22% | 2,63% | 3,47% |
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 | DSM.AS | SU.PA | RMS.PA | IBE.MC | NESTE.HE | RWE.DE | CLNX.MC | DPW.DE | KNEBV.HE | |
| ASML.AS | 0,04432% | 0,01558% | 0,02627% | 0,01948% | 0,01194% | 0,02261% | 0,01828% | 0,00947% | 0,02546% | 0,01069% |
| DSM.AS | 0,01558% | 0,02481% | 0,01730% | 0,01156% | 0,01213% | 0,01095% | 0,01552% | 0,01482% | 0,01568% | 0,00873% |
| SU.PA | 0,02627% | 0,01730% | 0,03789% | 0,01850% | 0,01812% | 0,02133% | 0,02153% | 0,01335% | 0,02448% | 0,01196% |
| RMS.PA | 0,01948% | 0,01156% | 0,01850% | 0,02272% | 0,01082% | 0,01542% | 0,01462% | 0,01095% | 0,01619% | 0,00698% |
| IBE.MC | 0,01194% | 0,01213% | 0,01812% | 0,01082% | 0,02430% | 0,01277% | 0,02166% | 0,01485% | 0,01465% | 0,00871% |
| NESTE.HE | 0,02261% | 0,01095% | 0,02133% | 0,01542% | 0,01277% | 0,05621% | 0,01825% | 0,00814% | 0,01940% | 0,01028% |
| RWE.DE | 0,01828% | 0,01552% | 0,02153% | 0,01462% | 0,02166% | 0,01825% | 0,04054% | 0,01905% | 0,01859% | 0,00991% |
| CLNX.MC | 0,00947% | 0,01482% | 0,01335% | 0,01095% | 0,01485% | 0,00814% | 0,01905% | 0,04767% | 0,01049% | 0,00685% |
| DPW.DE | 0,02546% | 0,01568% | 0,02448% | 0,01619% | 0,01465% | 0,01940% | 0,01859% | 0,01049% | 0,03519% | 0,01028% |
| KNEBV.HE | 0,01069% | 0,00873% | 0,01196% | 0,00698% | 0,00871% | 0,01028% | 0,00991% | 0,00685% | 0,01028% | 0,01805% |
Les 10 titres à éviter
| ENGI.PA | ENGIE |
| EOAN.DE | E.ON |
| BMW.DE | BMW |
| INGA.AS | ING GRP |
| FP.PA | TOTAL |
| BN.PA | DANONE |
| UCG.MI | UNICREDIT |
| ORA.PA | ORANGE |
| ENI.MI | ENI |
| NOKIA.HE | NOKIA |
| ENGI.PA | 13,43% | 0,0257% | 2,0567% | 46,95% | 0,29 | 3,39% | 4,03% | 5,31% |
| EOAN.DE | 7,08% | 0,0136% | 1,4726% | 33,61% | 0,21 | 2,43% | 2,89% | 3,80% |
| BMW.DE | 8,00% | 0,0153% | 2,1816% | 49,80% | 0,16 | 3,60% | 4,28% | 5,63% |
| 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% |
| UCG.MI | -13,13% | -0,0252% | 2,8558% | 65,18% | -0,20 | 4,71% | 5,60% | 7,37% |
| ORA.PA | -19,57% | -0,0375% | 1,5689% | 35,81% | -0,55 | 2,59% | 3,08% | 4,05% |
| 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% |