-
Accueil
-
detailed backtest
-
Backtest Eurostoxx ESG 50
Backtest Eurostoxx ESG 50
Evolution des pondérations du portefeuille
|
ASML.AS |
SU.PA |
DSM.AS |
ENEL.MI |
IBE.MC |
MUV2.DE |
NESTE.HE |
VNA.DE |
EOAN.DE |
KER.PA |
OR.PA |
SAN.PA |
RMS.PA |
CLNX.MC |
AD.AS |
RWE.DE |
ADS.DE |
RI.PA |
KNEBV.HE |
AI.PA |
DB1.DE |
PF STDEV |
VaR 95 20 days |
| 15/01/2019 |
|
|
14% |
15% |
|
|
7% |
15% |
7% |
1% |
|
|
|
10% |
|
1% |
|
15% |
|
|
15% |
0,7038% |
6,17% |
| 15/02/2019 |
|
|
7% |
15% |
|
|
6% |
15% |
|
1% |
|
|
15% |
10% |
|
1% |
|
15% |
|
|
15% |
0,6744% |
5,91% |
| 15/03/2019 |
|
|
9% |
14% |
|
|
6% |
15% |
5% |
1% |
12% |
|
|
8% |
|
|
|
15% |
|
|
15% |
0,6992% |
6,13% |
| 15/04/2019 |
|
|
8% |
15% |
|
|
6% |
15% |
5% |
1% |
12% |
|
|
8% |
|
|
|
15% |
|
|
15% |
0,7006% |
6,14% |
| 15/05/2019 |
|
|
1% |
|
15% |
15% |
4% |
15% |
|
1% |
|
|
15% |
5% |
|
|
|
15% |
|
|
14% |
0,6428% |
5,63% |
| 17/06/2019 |
|
|
4% |
|
15% |
15% |
6% |
|
|
1% |
6% |
|
15% |
8% |
|
|
|
15% |
|
|
15% |
0,6828% |
5,99% |
| 15/07/2019 |
|
|
4% |
14% |
15% |
|
6% |
|
|
1% |
8% |
|
15% |
7% |
|
|
|
15% |
|
|
15% |
0,6846% |
6,00% |
| 15/08/2019 |
|
|
1% |
11% |
15% |
15% |
5% |
|
|
|
3% |
|
15% |
5% |
|
|
|
15% |
|
|
15% |
0,6735% |
5,90% |
| 16/09/2019 |
|
|
1% |
|
15% |
15% |
4% |
|
|
|
1% |
|
15% |
5% |
15% |
|
|
15% |
|
|
14% |
0,6564% |
5,75% |
| 15/10/2019 |
|
|
1% |
6% |
15% |
15% |
4% |
|
|
|
|
|
13% |
4% |
15% |
|
|
14% |
|
|
13% |
0,6671% |
5,85% |
| 15/11/2019 |
|
|
1% |
9% |
15% |
15% |
6% |
|
|
|
3% |
|
15% |
6% |
15% |
|
|
|
|
|
15% |
0,6777% |
5,94% |
| 16/12/2019 |
1% |
|
|
15% |
15% |
15% |
|
|
|
|
13% |
|
15% |
9% |
|
1% |
1% |
|
|
|
15% |
0,7428% |
6,51% |
| 15/01/2020 |
1% |
|
|
15% |
15% |
15% |
9% |
|
|
|
|
|
15% |
10% |
|
3% |
2% |
|
|
|
15% |
0,7360% |
6,45% |
| 17/02/2020 |
|
|
|
11% |
15% |
15% |
6% |
|
|
|
1% |
15% |
15% |
8% |
|
1% |
|
|
|
13% |
|
0,6994% |
6,13% |
| 16/03/2020 |
1% |
|
|
|
15% |
|
4% |
15% |
|
|
12% |
15% |
15% |
7% |
|
1% |
|
|
15% |
|
|
0,8947% |
7,84% |
| 15/04/2020 |
1% |
|
|
1% |
15% |
|
5% |
|
|
|
15% |
15% |
15% |
6% |
|
|
|
|
15% |
12% |
|
1,0464% |
9,17% |
| 15/05/2020 |
1% |
|
15% |
|
15% |
|
5% |
15% |
|
|
|
15% |
|
5% |
|
1% |
|
|
15% |
|
13% |
1,0618% |
9,31% |
| 15/06/2020 |
2% |
|
15% |
5% |
15% |
|
8% |
15% |
|
|
|
15% |
|
9% |
|
1% |
|
|
15% |
|
|
1,0907% |
9,56% |
| 15/07/2020 |
3% |
|
15% |
4% |
15% |
|
6% |
15% |
|
|
|
|
|
11% |
|
1% |
|
|
15% |
15% |
|
1,1554% |
10,13% |
| 17/08/2020 |
6% |
1% |
15% |
6% |
15% |
|
|
15% |
|
|
|
|
|
11% |
|
1% |
|
|
15% |
15% |
|
1,1675% |
10,23% |
| 15/09/2020 |
3% |
1% |
15% |
4% |
15% |
|
6% |
15% |
|
|
|
|
|
11% |
|
|
|
|
15% |
15% |
|
1,1762% |
10,31% |
| 15/10/2020 |
7% |
1% |
15% |
11% |
15% |
|
7% |
15% |
|
|
|
|
|
13% |
|
1% |
|
|
15% |
|
|
1,1927% |
10,45% |
| 16/11/2020 |
5% |
1% |
15% |
10% |
15% |
|
8% |
|
|
|
|
|
15% |
15% |
|
1% |
|
|
15% |
|
|
1,2162% |
10,66% |
| 15/12/2020 |
6% |
1% |
15% |
10% |
15% |
|
8% |
|
|
|
|
|
15% |
14% |
|
1% |
|
|
15% |
|
|
1,2087% |
10,59% |
Matrice de covariances pour la dernière période du backtest
|
ASML.AS |
DSM.AS |
CLNX.MC |
KNEBV.HE |
NESTE.HE |
RMS.PA |
SU.PA |
IBE.MC |
RWE.DE |
ENEL.MI |
| ASML.AS |
0,04487% |
0,01595% |
0,00975% |
0,01085% |
0,02304% |
0,01997% |
0,02697% |
0,01195% |
0,01781% |
0,01651% |
| DSM.AS |
0,01595% |
0,02503% |
0,01456% |
0,00862% |
0,01211% |
0,01195% |
0,01753% |
0,01214% |
0,01524% |
0,01493% |
| CLNX.MC |
0,00975% |
0,01456% |
0,04696% |
0,00661% |
0,00891% |
0,01076% |
0,01354% |
0,01534% |
0,01926% |
0,01444% |
| KNEBV.HE |
0,01085% |
0,00862% |
0,00661% |
0,01806% |
0,01076% |
0,00710% |
0,01182% |
0,00838% |
0,00952% |
0,00911% |
| NESTE.HE |
0,02304% |
0,01211% |
0,00891% |
0,01076% |
0,05652% |
0,01593% |
0,02193% |
0,01332% |
0,01928% |
0,01468% |
| RMS.PA |
0,01997% |
0,01195% |
0,01076% |
0,00710% |
0,01593% |
0,02343% |
0,01885% |
0,01071% |
0,01429% |
0,01300% |
| SU.PA |
0,02697% |
0,01753% |
0,01354% |
0,01182% |
0,02193% |
0,01885% |
0,03799% |
0,01763% |
0,02093% |
0,02132% |
| IBE.MC |
0,01195% |
0,01214% |
0,01534% |
0,00838% |
0,01332% |
0,01071% |
0,01763% |
0,02401% |
0,02105% |
0,02070% |
| RWE.DE |
0,01781% |
0,01524% |
0,01926% |
0,00952% |
0,01928% |
0,01429% |
0,02093% |
0,02105% |
0,03939% |
0,02428% |
| ENEL.MI |
0,01651% |
0,01493% |
0,01444% |
0,00911% |
0,01468% |
0,01300% |
0,02132% |
0,02070% |
0,02428% |
0,03392% |
