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Accueil
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detailed backtest
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Backtest Euro Stoxx 50
Backtest Euro Stoxx 50
Evolution des pondérations du portefeuille
|
ASML.AS |
MC.PA |
SAP.DE |
LIN.DE |
FP.PA |
SAN.PA |
SIE.DE |
ALV.DE |
OR.PA |
IBE.MC |
SU.PA |
ENEL.MI |
AI.PA |
BAS.DE |
ADS.DE |
ADYEN.AS |
AIR.PA |
DG.PA |
KER.PA |
SAF.PA |
DPW.DE |
PHIA.AS |
MUV2.DE |
VNA.DE |
RI.PA |
CRG.IR |
KNEBV.HE |
AMS.MC |
DB1.DE |
FLTR.IR |
AD.AS |
ENGI.PA |
VIV.PA |
PF STDEV |
VaR 95 20 days |
| 16-janv.-17 |
|
2% |
17% |
|
|
|
|
|
|
|
|
|
|
|
13% |
|
2% |
20% |
2% |
|
|
13% |
|
10% |
|
2% |
|
19% |
|
|
|
|
|
1,1552% |
10,13% |
| 15-févr.-17 |
2% |
|
20% |
|
|
|
9% |
|
|
|
|
|
|
|
15% |
|
2% |
20% |
2% |
|
|
|
|
|
|
2% |
|
20% |
|
8% |
|
|
|
1,1470% |
10,05% |
| 15-mars-17 |
|
|
19% |
|
|
|
8% |
2% |
|
|
|
|
|
|
13% |
|
|
20% |
2% |
|
|
|
|
10% |
|
2% |
|
17% |
|
7% |
|
|
|
1,1321% |
9,92% |
| 18-avr.-17 |
2% |
2% |
20% |
|
|
|
3% |
|
|
|
|
|
|
|
15% |
|
|
20% |
2% |
|
|
19% |
|
15% |
|
2% |
|
|
|
|
|
|
|
1,1490% |
10,07% |
| 15-mai-17 |
|
2% |
18% |
|
|
|
2% |
2% |
|
|
|
|
|
|
14% |
|
|
15% |
2% |
|
|
16% |
|
13% |
|
|
|
16% |
|
|
|
|
|
1,1154% |
9,78% |
| 15-juin-17 |
|
2% |
13% |
|
|
|
2% |
2% |
|
|
|
|
|
|
14% |
|
|
14% |
2% |
|
|
15% |
|
16% |
|
|
|
20% |
|
|
|
|
|
1,0872% |
9,53% |
| 17-juil.-17 |
|
2% |
17% |
|
|
|
2% |
2% |
|
|
|
|
|
|
13% |
|
|
19% |
2% |
|
|
8% |
|
|
|
|
15% |
20% |
|
|
|
|
|
1,0730% |
9,41% |
| 15-août-17 |
2% |
2% |
18% |
|
|
|
|
2% |
|
|
|
|
|
|
16% |
|
|
19% |
2% |
|
9% |
10% |
|
|
|
|
|
20% |
|
|
|
|
|
1,0748% |
9,42% |
| 15-sept.-17 |
2% |
2% |
20% |
|
|
|
|
4% |
|
|
|
|
|
|
15% |
|
|
19% |
2% |
|
8% |
10% |
|
|
|
|
|
18% |
|
|
|
|
|
1,0235% |
8,97% |
| 16-oct.-17 |
5% |
2% |
20% |
|
|
|
|
4% |
|
|
|
|
|
|
13% |
|
|
20% |
2% |
|
7% |
7% |
|
|
|
|
|
20% |
|
|
|
|
|
0,9814% |
8,60% |
| 15-nov.-17 |
3% |
2% |
20% |
|
|
|
|
|
|
|
|
|
|
|
12% |
|
|
16% |
2% |
|
5% |
7% |
|
20% |
|
|
|
13% |
|
|
|
|
|
0,9428% |
8,26% |
| 15-déc.-17 |
6% |
2% |
|
|
|
|
|
|
|
|
|
|
|
19% |
12% |
|
|
17% |
2% |
|
2% |
5% |
|
20% |
|
|
|
15% |
|
|
|
|
|
0,9027% |
7,91% |
| 15-janv.-18 |
8% |
2% |
|
|
|
|
|
|
|
|
|
|
|
20% |
12% |
|
|
15% |
2% |
|
2% |
5% |
|
20% |
|
|
|
14% |
|
|
|
|
|
0,8661% |
7,59% |
| 15-févr.-18 |
9% |
2% |
|
|
|
|
|
2% |
|
|
|
|
|
8% |
11% |
|
|
|
2% |
11% |
15% |
|
|
|
20% |
|
|
20% |
|
|
|
|
|
0,8347% |
7,32% |
| 15-mars-18 |
12% |
2% |
|
|
|
|
|
2% |
|
|
|
|
|
|
14% |
|
2% |
|
2% |
9% |
20% |
|
|
|
|
|
|
20% |
17% |
|
|
|
|
0,8787% |
7,70% |
| 16-avr.-18 |
5% |
2% |
|
|
|
|
|
|
|
|
|
|
|
|
10% |
|
2% |
|
2% |
7% |
18% |
|
|
|
20% |
|
|
20% |
14% |
|
|
|
|
0,8174% |
7,16% |
| 15-mai-18 |
2% |
5% |
20% |
|
|
|
|
|
|
|
|
|
|
|
10% |
|
2% |
|
2% |
12% |
|
8% |
|
|
20% |
|
|
19% |
|
|
|
|
|
0,8242% |
7,22% |
| 15-juin-18 |
2% |
5% |
20% |
|
|
|
|
|
|
|
|
|
|
|
|
|
2% |
|
2% |
11% |
|
5% |
|
|
20% |
|
|
18% |
15% |
|
|
|
|
0,7997% |
7,01% |
| 16-juil.-18 |
2% |
2% |
|
|
|
|
|
20% |
|
|
|
|
|
|
|
|
2% |
|
2% |
8% |
|
7% |
|
|
20% |
|
|
19% |
18% |
|
|
|
|
0,7048% |
6,18% |
| 15-août-18 |
2% |
2% |
|
|
|
|
|
18% |
|
|
|
|
|
|
|
|
4% |
|
2% |
10% |
|
5% |
|
|
20% |
|
|
20% |
17% |
|
|
|
|
0,6926% |
6,07% |
| 17-sept.-18 |
2% |
2% |
|
|
20% |
|
|
19% |
|
|
|
|
|
|
|
|
2% |
|
2% |
8% |
|
5% |
|
|
|
|
|
20% |
20% |
|
|
|
|
0,7274% |
6,38% |
| 15-oct.-18 |
2% |
2% |
|
|
20% |
|
|
20% |
|
|
|
|
|
|
|
|
2% |
|
2% |
9% |
|
4% |
|
|
|
|
|
19% |
20% |
|
|
|
|
0,7373% |
6,46% |
| 15-nov.-18 |
2% |
2% |
|
|
|
|
|
20% |
|
|
|
|
|
|
|
|
2% |
|
2% |
5% |
|
|
|
20% |
20% |
|
|
10% |
17% |
|
|
|
|
0,6735% |
5,90% |
| 17-déc.-18 |
2% |
2% |
|
|
|
|
|
|
|
|
|
17% |
|
|
|
|
2% |
|
2% |
4% |
|
|
|
20% |
20% |
|
|
11% |
20% |
|
|
|
|
0,6866% |
6,02% |
| 15-janv.-19 |
|
2% |
|
|
|
|
|
|
|
20% |
|
7% |
|
|
|
|
2% |
|
2% |
2% |
|
|
|
20% |
20% |
|
|
7% |
18% |
|
|
|
|
0,6844% |
6,00% |
| 15-févr.-19 |
|
2% |
|
|
|
|
|
|
|
|
|
17% |
|
|
|
|
2% |
|
2% |
2% |
|
|
|
20% |
20% |
|
|
7% |
20% |
|
|
8% |
|
0,7069% |
6,20% |
| 15-mars-19 |
|
2% |
|
|
|
|
|
|
|
|
|
19% |
|
|
|
|
2% |
|
2% |
3% |
|
|
|
20% |
20% |
|
|
6% |
19% |
|
|
|
7% |
0,7097% |
6,22% |
| 15-avr.-19 |
|
2% |
|
|
|
|
|
|
12% |
|
|
20% |
|
|
|
|
2% |
|
2% |
3% |
|
|
|
20% |
20% |
|
|
9% |
|
|
|
|
10% |
0,7339% |
6,43% |
| 15-mai-19 |
|
2% |
|
|
|
|
|
|
|
14% |
|
6% |
|
|
|
|
2% |
|
2% |
2% |
|
|
20% |
20% |
20% |
|
|
|
12% |
|
|
|
|
0,6667% |
5,84% |
| 17-juin-19 |
|
2% |
|
|
|
|
|
|
2% |
18% |
|
|
|
|
|
|
2% |
|
2% |
2% |
|
|
19% |
20% |
20% |
|
|
|
13% |
|
|
|
|
0,6767% |
5,93% |
| 15-juil.-19 |
|
2% |
|
|
|
|
|
|
8% |
18% |
|
11% |
|
|
|
|
2% |
|
2% |
2% |
|
|
17% |
|
20% |
|
|
|
18% |
|
|
|
|
0,7063% |
6,19% |
| 15-août-19 |
2% |
2% |
|
|
|
|
|
|
10% |
20% |
|
|
|
|
|
|
2% |
|
2% |
2% |
|
|
20% |
|
20% |
|
|
|
20% |
|
|
|
|
0,7167% |
6,28% |
| 16-sept.-19 |
|
2% |
|
|
|
|
|
|
2% |
18% |
|
5% |
|
|
|
|
2% |
|
|
2% |
|
|
17% |
|
18% |
|
|
|
14% |
|
20% |
|
|
0,6753% |
5,92% |
| 15-oct.-19 |
2% |
2% |
|
|
|
|
|
|
|
20% |
|
4% |
|
|
|
|
2% |
|
|
2% |
|
|
15% |
|
18% |
|
|
|
15% |
|
20% |
|
|
0,6887% |
6,04% |
| 15-nov.-19 |
|
2% |
|
|
|
|
|
|
2% |
20% |
|
4% |
|
|
|
|
2% |
|
|
2% |
|
|
18% |
|
16% |
|
|
|
14% |
|
20% |
|
|
0,6841% |
6,00% |
| 16-déc.-19 |
2% |
2% |
|
|
|
|
|
|
8% |
20% |
|
10% |
|
|
2% |
|
|
|
|
2% |
|
|
20% |
|
|
|
17% |
|
17% |
|
|
|
|
0,7337% |
6,43% |
| 15-janv.-20 |
2% |
2% |
|
|
|
|
|
|
8% |
20% |
|
12% |
14% |
|
2% |
|
|
|
|
2% |
|
|
20% |
|
|
|
|
|
18% |
|
|
|
|
0,7475% |
6,55% |
| 17-févr.-20 |
2% |
2% |
|
|
|
14% |
|
|
2% |
20% |
|
6% |
12% |
|
|
|
|
|
|
2% |
|
|
20% |
20% |
|
|
|
|
|
|
|
|
|
0,6832% |
5,99% |
| 16-mars-20 |
2% |
2% |
|
|
|
20% |
|
|
10% |
12% |
|
2% |
10% |
|
|
2% |
|
|
|
|
|
|
|
20% |
|
|
20% |
|
|
|
|
|
|
0,9105% |
7,98% |
| 15-avr.-20 |
2% |
|
3% |
|
|
20% |
|
|
12% |
11% |
|
2% |
8% |
|
|
2% |
|
|
|
|
|
|
|
|
|
|
20% |
|
|
|
20% |
|
|
0,9703% |
8,50% |
| 15-mai-20 |
2% |
|
|
|
|
20% |
|
|
5% |
4% |
|
|
2% |
|
|
3% |
|
|
|
|
|
|
|
20% |
|
|
20% |
|
4% |
|
20% |
|
|
0,9422% |
8,26% |
| 15-juin-20 |
2% |
|
|
|
|
20% |
|
|
9% |
14% |
|
2% |
2% |
|
|
5% |
|
|
|
|
|
|
|
20% |
|
|
20% |
|
6% |
|
|
|
|
1,0345% |
9,07% |
| 15-juil.-20 |
2% |
|
|
|
|
20% |
|
|
10% |
14% |
|
2% |
2% |
|
|
6% |
|
|
|
|
|
|
|
20% |
|
|
20% |
|
4% |
|
|
|
|
1,0441% |
9,15% |
| 17-août-20 |
2% |
|
|
|
|
|
|
|
16% |
20% |
2% |
2% |
9% |
|
|
7% |
|
|
|
|
|
|
|
20% |
|
|
20% |
|
|
2% |
|
|
|
1,1192% |
9,81% |
| 15-sept.-20 |
2% |
|
|
|
|
|
|
|
12% |
13% |
2% |
2% |
3% |
|
|
6% |
|
|
|
|
|
|
|
20% |
|
|
20% |
|
|
|
20% |
|
|
1,0429% |
9,14% |
| 15-oct.-20 |
2% |
2% |
|
|
|
|
|
|
20% |
20% |
2% |
2% |
|
|
|
10% |
|
|
|
|
|
|
|
20% |
|
|
20% |
|
|
2% |
|
|
|
1,1312% |
9,92% |
| 16-nov.-20 |
2% |
2% |
|
4% |
|
|
|
|
20% |
20% |
2% |
7% |
|
|
|
15% |
|
|
|
|
|
|
|
|
|
|
20% |
|
|
8% |
|
|
|
1,2133% |
10,64% |
Matrice de covariances pour la dernière période du backtest
|
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% |
