poids 5% 4% 6% 2% 3% 12%

CAC 40 CREDIT AGRICAir liquide BNP PB CARREFOUR AXA BOUYGUES

Cours Cours Cours Cours Cours Cours Cours
Date ajusté* ajusté* ajusté* ajusté* ajusté* ajusté* ajusté*
nov.-10 3.841,11 11.74 95.4 54.81 38 13.77 33.12
oct.-10 3.833,50 11.77 92.94 52.55 38.78 13.08 31.67
sept.-10 3.715,18 11.47 89.49 52.17 39.42 12.82 31.49
Aug-10 3.490,79 9.94 82.06 49.37 35.83 12.27 32.03
juil.-10 3.643,14 10.51 86.37 52.71 35.33 14.15 32.4
Jun-10 3.442,89 8.64 83.46 44.77 32.74 12.74 31.92
May-10 3.507,56 8.88 79.81 46.29 33.71 13.45 34.85
avr.-10 3.816,99 10.28 85.55 50.54 35.72 14.55 35.88
Mar-10 3.974,01 12.31 86.57 55.13 34.6 15.87 35.64
févr.-10 3.708,80 10.38 85.43 51.51 32.86 14.25 32.36
janv.-10 3.739,46 10.87 74.99 50.56 34.27 14.45 34.25
déc.-09 3.936,33 11.74 80.87 54.2 32.54 15.94 34.88
nov.-09 3.680,15 13.09 75.39 53.33 31.34 15.29 31.73
oct.-09 3.607,69 12.45 71.49 49.88 28.38 16.4 30.78
sept.-09 3.795,41 13.57 75.73 52.94 30.06 17.83 33.27
Aug-09 3.653,54 12.28 72.51 54.46 31.85 15.3 33.14
juil.-09 3.426,27 9.52 71.36 49.59 31.94 14.29 28.62
Jun-09 3.140,44 8.43 63.42 44.84 29.5 12.9 25.66
May-09 3.277,65 9.81 63.86 47.27 30.63 12.63 27.74
avr.-09 3.159,85 10.19 58.17 38.2 28.91 11.92 31.14
Mar-09 2.807,34 7.56 57.6 29.54 27.51 8.46 24.54
févr.-09 2.702,48 7.08 54.69 24.67 25.06 6.86 20.78
janv.-09 2.973,92 8.68 53.64 28.48 25.07 11.42 24.39
déc.-08 3.217,97 7.28 61.55 28.71 25.75 14.81 27.53
nov.-08 3.262,68 7.93 62.87 41.12 27.8 13.98 29.37
oct.-08 3.487,07 10.22 63.3 53.15 30.81 13.88 30.24
sept.-08 4.032,10 12.19 72.8 62.72 30.98 21.4 28.94
Aug-08 4.482,60 13.2 78.06 58.35 33.81 20.44 37.59
juil.-08 4.392,36 12.52 79.25 60.55 30.82 17.75 38.05
Jun-08 4.434,85 11.8 88.85 54.61 33.65 17.63 38.43
May-08 5.014,28 15.47 86.72 62.97 42.18 21.23 47.85
avr.-08 4.996,54 18.42 86.58 62.49 42.33 22.35 43.77
Mar-08 4.707,07 16.67 84.23 57.65 44.66 21.49 35.57
févr.-08 4.790,66 15.35 83.33 53.75 42.66 21.02 40.17
janv.-08 4.869,79 17.43 91.26 59.4 42.96 21.39 45.38
déc.-07 5.614,08 19.62 88.94 66.97 48.7 25.61 50.39
nov.-07 5.670,57 20.43 85.17 69.62 48.36 26.11 54.12
oct.-07 5.847,95 23.21 84.15 68.66 45.41 28.85 58.57
sept.-07 5.715,69 23.01 83.87 69.25 44.9 29.34 53.47
Aug-07 5.662,70 23.56 85.81 69.86 46.95 27.5 51.1
juil.-07 5.751,08 24.11 87.36 73.75 47.84 27.14 52.28
 Jun-07 6.054,93 25.68 39.55 79.73 47.65 29.93 54.98
May-07 6.104,00 26.1 39.13 81.37 49.5 30.37 57.99
avr.-07 5.960,04 24.56 39.08 74.74 50.81 30.71 50.81
Mar-07 5.634,16 23.06 37.1 68.23 49.12 28.73 50.09
févr.-07 5.516,32 23.83 38.27 68.89 45.29 29.11 45.64
janv.-07 5.608,31 25.96 38.52 74.66 39.65 29.27 44.9
déc.-06 5.541,76 25.17 36.6 72.13 41.22 27.76 42.11
nov.-06 5.327,64 25.26 35.72 70.99 42.36 25.88 38.82
oct.-06 5.348,73 26.32 34.45 75.18 42.83 27.02 39.56
sept.-06 5.250,01 27.37 35.27 74.05 44.71 26.32 36.53
Aug-06 5.165,04 25.06 33.83 72.39 43.21 26.25 35.59
juil.-06 5.009,42 24.87 32.61 66.5 43.79 24.44 33.85
Jun-06 4.965,96 23.51 34.73 65.32 41.13 23.22 34.81
May-06 4.930,18 22.99 35.06 63.53 40.6 24.53 36.72
avr.-06 5.188,40 24.45 35.12 63.07 40.34 26.33 36.66
Mar-06 5.220,85 24.58 33.85 64.55 38.52 26.21 37.17
févr.-06 5.000,45 23.47 34.59 65.39 36.55 26.83 37.35
janv.-06 4.947,99 22.24 33.22 61.81 34.1 25.25 38.25
déc.-05 4.715,23 20.37 31.36 57.56 34.73 24.67 35.01
nov.-05 4.567,41 19.66 31.01 56.59 32.38 23.16 34.41
 11% 4% 7% 8% 11% 5% 6% 6%
TOTAL France TELE SOGIETE GEN LVMH L'OREAL RENAULT SAINT GOBAI PEUGEOT
Cours Cours Cours Cours Cours Cours Cours Cours
ajusté* ajusté* ajusté* ajusté* ajusté* ajusté* ajusté* ajusté*
41.12 17.23 44.19 117.7 86.21 43.12 37.12 30.3
39.04 17.26 43.03 112.6 84.36 39.92 33.56 28.6
37.81 15.85 42.25 107.6 82.48 37.74 32.63 24.67
36.87 16.04 40.18 91.77 78.5 32.06 29.04 20.73
38.71 15.49 44.24 93.62 80.52 34.24 32.67 22.77
36.97 13.77 34.3 89.81 80.97 30.78 30.9 21.07
37.73 14.18 34.8 86.22 76.37 29.39 29.37 19.54
39.73 15.05 40.11 85.53 78.31 35.41 35 22.45
41.68 16.21 46.23 85.23 76.4 34.7 33.3 21.8
39.74 15.76 40.11 78.4 74.59 30.2 32.29 19.39
40.77 15.21 41.9 77.88 75.02 34.26 32.6 23.64
43.64 15.95 48.6 77.2 76.54 36.2 35.62 23.67
39.96 15.85 46.56 68.31 70.9 32.2 33.89 23.56
38.36 15.43 45.06 69.24 68.36 30.6 31.16 22.25
38.33 16.66 54.61 67.36 66.68 31.86 33.16 20.83
37.73 16.23 55.81 65.36 67.39 31.4 29.37 20.19
36.73 15.5 44.73 62.03 59.67 29.92 26.62 21.28
36.32 14.31 38.61 53.31 52.28 26.17 22.29 18.72
38.47 14.92 40.71 57.36 54.74 27.06 22.95 21.33
35.21 14.59 37.75 55.09 53.2 24.57 24.7 17.65
34.37 14.84 28.43 45.4 49.41 15.48 19.03 14.24
34.42 15.41 24.05 43.56 48.96 11.52 16.5 13.65
35.97 15.19 31.76 41.09 49.7 15.16 23.94 13.31
35.73 17.27 34.7 45.86 59.43 18.55 30.26 12.15
37.7 17.49 32.17 42.8 60.73 17.22 28.31 14.22
38.21 17.04 40.65 49.39 56.3 23.86 27.05 20.8
38 17.13 59.75 58.8 66.06 44.56 32.56 26.37
43.77 16.88 63.71 69.24 64.78 57.27 37.74 32.52
44.09 17.07 57.67 67.56 64.3 53.71 36.22 31.54
48.37 15.68 53.29 63.4 65.92 52.1 35.8 34.49
50.06 15.24 63.5 71.61 74.62 66 46.7 38.5
47.25 15.76 71.45 67.61 72.7 62.41 46.62 43.3
41.21 16.65 58.96 64.92 75.3 66.24 46.53 47.27
43.79 17.41 67.59 62.83 73.69 67.28 47.04 48.67
42.67 18.46 79.09 63.1 77.19 71.62 46.91 47.37
49.79 19.24 94.05 76.13 91.72 91.67 58.09 49.91
48.38 20.28 100.37 76.05 88.87 93.97 60.58 51.11
47.86 19.9 110.14 81.14 84.85 109.52 66.65 61.58
49.04 18.36 111.87 76.75 86.12 96.02 65.93 55.71
47.52 17.3 112.53 74.85 80.49 93.57 71.94 60.16
50.12 15.52 121.15 75.55 79.02 101.16 73.87 60.01
51.82 15.94 130.74 78.09 82.19 112.64 75.1 57.54
48.16 16.9 137.64 80.08 82.66 100.4 71.92 56.68
45.99 15.98 143.63 77.47 82.49 87.71 69.59 56.23
44.3 14.63 118.74 74.84 76.51 80.22 64.57 49.62
43.09 15.2 116.87 75.46 74.08 82.37 62.13 47.96
43.75 15.69 124.36 72.91 75.92 87 63.89 47.45
46.15 15.51 118.03 72.05 71.05 83.39 56.17 47.21
45.23 14.51 116.1 70.29 71.24 82.93 53.17 44.28
44.11 15.06 119.5 73.3 71.33 83.98 50.96 42.33
43.03 13.4 115.18 72.94 74.98 82.88 50.48 41.82
43.82 12.26 115.64 72.13 76.48 83.29 51.14 41.45
44.28 12.14 107.2 70.61 73.44 78.39 49.33 38.65
42.78 12.44 105.55 69.66 69.13 76.97 49.33 45.76
42.08 12.92 106.18 68.86 65.39 82.19 47.02 46.65
10.64 12.99 106.98 74.02 67.88 82.13 51.15 47.68
10.56 13.02 109.63 71.76 67.14 78.34 49.6 47.59
10.24 12.8 105.03 67.64 68.57 72 48.18 44.78
11.03 13.13 96.02 65.86 61.69 69.37 46.42 44.73
10.3 14.73 91.78 66.57 58 61.51 43.23 44.57
10.31 14.91 89.31 64.36 56.61 59.28 42.29 46.86
 10% 100%
VIVENDI
Cours
ajusté*
20.76
20.5
20.05
18.41
18.44
16.82
17.64
16.94
16.96
15.83
16.13
17.8
16.42
16.19
18.1
17
15.43
14.58
15.89
16.35
15.91
15.15
16.14
18.58
17.77
16.3
17.59
21.12
21.54
19.25
21.58
18.78
17.83
18.89
19.34
22.61
22.61
22.39
21.32
21.62
22.56
22.99
23.33
21.88
21.07
20.68
21.88
20.51
20.12
20.55
19.7
18.6
18.37
18.98
19.39
19.34
18.94
17.01
17.23
17.68
16.47
 stock A stock B
cours à fin RTA cours à fin RTB
Sep-09 36.25 127.2
Oct-09 36.12 -0.00358620689655 137.5 0.080974843
Nov-09 33.37 -0.07613510520487 156.5 0.138181818
Dec-09 37.52 0.124363200479473 166.9 0.066453674
Jan-10 37.37 -0.00399786780384 168.9 0.011983223
Feb-10 35.4 -0.05271608241905 160.6 -0.0491415
Mar-10 39.62 0.119209039548023 159.9 -0.00435866
Apr-10 37.45 -0.0547703180212 167.1 0.045028143
May-10 35.62 -0.04886515353805 165.8 -0.00777977
Jun-10 38.97 0.094048287478945 168.6 0.016887817
Jul-10 39.62 0.016679497049012 164.3 -0.02550415
Aug-10 41.82 0.0555275113579 158.4 -0.03590992
Sep-10 43.65 0.043758967001435 158.5 0.000631313
RMA 1.78% RMB 1.98%
RAA 20.41% RAB 24.61%
VARMA 0.45% VARMB 0.27%
VARAA 5.40% VARAB 3.23%
SDMA 6.71% SDMB 5.18%
SDAA 23.24% SDAB 17.96%
CVA 113.83% CVB 72.99%

ponb A 100% pon B 0%

rent portefeuille 20.41%
COV A,B -0.000636488409085
VARpf 0.053991330868367
Ecart type 23.24%

0%-100% 25%-75% 50%-50% 75%-25% 100%-0%

Sdf 17.96% 14.59% 14.58% 17.93% 23.24%
Rpf 24.61% 23.56% 22.51% 21.46% 20.41%
 Rpf
30.00%

25.00%

20.00%

15.00% Rp
f
10.00%

5.00%

0.00%
14.00% 16.00% 18.00% 20.00% 22.00% 24.00%
economic conPt Rx Ry pt*RX pt*RY
strong 0.15 0.4 0.3 0.06 0.045
weak 0.35 -0.2 -0.1 -0.07 -0.035
normal 0.5 0.1 0.1 0.05 0.05

E (r ) 4.0% 6.0%
Var 4.14% 1.84%
Sd 20.35% 13.56%
Cov 0.0276
Pond 100% 0%
Rpf 4.0% 0.0%
Varpf 4.14% 0.00%
Sdf 20.35% 0.00%

0%-100% 25%-75% 50%-50% 75%-25%

Sdpf 13.56% 15.26% 16.96% 18.65%
Rpf 6.0% 5.50% 5.00% 4.50%
pt*(Rx-E(Rx))^2 pt*(Ry-E(Ry))^2 pt*(Rx-Ex)*(Ry-Ey)
0.01944 0.00864 0.01296
0.02016 0.00896 0.01344
0.0018 0.0008 0.0012

Rpf
7.0%
6.0%
5.0%

100%-0% 4.0%
Rp
20.35% 3.0% f
4%
2.0%
1.0%
0.0%
13.00% 14.00% 15.00% 16.00% 17.00% 18.00% 19.00% 20.00% 21.00%
 Rp
f

21.00%
mois Société Air Total
Général france
e
Jun-09 -5.17% -8.97% -0.06%
Jul-09 15.87% -2.97% 1.12%
Aug-09 24.77% 20.60% 2.72% Société Générale
Sep-09 -2.15% 16.62% 1.58% Air France
Oct-09 -7.49% -15.78% 0.07% Totale
Nov-09 3.33% 0.96% 1.43%
Dec-09 4.39% 4.17% 9.22% VarMpf
Jan-10 -3.77% 7.55% -1.58% Sdpf
Feb-10 15.25% -6.08% -2.54% SdApf
Mar-10 -13.24% 19.27% 4.88%
Apr-10 -13.23% 1.77% -4.68%
May-10 -0.05% -11.06% -1.91%
RM 1.54% 2.17% 0.85%
RA 18.51% 26.08% 10.25%
SDM 11.37% 11.52% 3.51%
SDA 39.39% 39.89% 12.16%
Pond 10% 50% 40%
Covsg,af 0.00145
COVsg,tl 0.00063
Covaf,tl 0.001719
Rpf 18.99%
Varpf 0.044581
SDpf 21.11%
 Société Générale Air France Totale
0.012931491875 0.001450454166667 0.000629892291667
0.001450454166667 0.013260523888889 0.001719459444444
0.000629892291667 0.001719459444444 0.001231405763889

0.452%
0.067265826
0.233015657610528
PROB RK RL RO PT*RK PT*RL PT*RO pt*(rk-E(rk)^2
0.02 -0.04 -0.26 -0.03 -0.0008 -0.0052 -0.0006 3.2E-05
0.05 -0.03 0.02 -0.01 -0.0015 0.001 -0.0005 4.5E-05
0.05 -0.01 -0.06 0.02 -0.0005 -0.003 0.001 5E-06
0.1 0.03 0 0.04 0.003 0 0.004 9E-05
0.12 0.06 0.06 0.09 0.0072 0.0072 0.0108 0.000432
0.15 0.1 0.1 0.18 0.015 0.015 0.027 0.0015
0.18 0.12 0.15 0.15 0.0216 0.027 0.027 0.002592
0.15 0.18 0.22 0.13 0.027 0.033 0.0195 0.00486
0.1 0.25 0.27 0.07 0.025 0.027 0.007 0.00625
0.08 0.3 0.35 0.06 0.024 0.028 0.0048 0.0072
ER 12% 13% 10%
Var (E ) 2.30% 3.19% 1.34%
SD 15.17% 17.86% 11.57%
CV 126.40% 137.35% 115.75%
Classement 2eme 3eme 1er
Cov(k,l) 0.02647 Coef d corr(k,l0.977342947
Cov(k,o) 0.013437 Coef d corr(k, 0.765352972
Cov(l,o) 0.015344 Coef d corr(l,o0.742390153

pond 35% 15% 50%

Rpf 11.15%
Varpf 1.67%
SDpf 12.91%
pt*(rk-E(rl)^2 pt*(rk-E(ro)^2pt*rk-E(rk)*(rlpt*rk-E(rk)*(r pt*rl-E(rl)*(ro-E(ro))
0.001352 1.8E-05 0.000208 2.4E-05 0.000156
2E-05 5E-06 -3E-05 1.5E-05 -1E-05
0.00018 2E-05 3E-05 -1E-05 -6E-05
0 0.00016 0 0.00012 0
0.000432 0.000972 0.000432 0.000648 0.000648
0.0015 0.00486 0.0015 0.0027 0.0027
0.00405 0.00405 0.00324 0.00324 0.00405
0.00726 0.002535 0.00594 0.00351 0.00429
0.00729 0.00049 0.00675 0.00175 0.00189
0.0098 0.000288 0.0084 0.00144 0.00168
obs titre 1 titre 2 titre 3
1 -0.15 0.29 0.38
2 0.05 0.18 0.63
3 -0.43 0.24 0.46 titre1
4 0.79 0.25 0.36 titre2
5 0.32 0.17 -0.57 titre3

RA 11.60% 22.60% 25.20%

SDA 41.69% 4.50% 42.19%
POND -0.138359677 1.185266 -0.046906

RPF 24.00%
Varpf 0.60%
Sdpf 7.77%
SdApf 0.269086728

Somme Pondération 1
Rentabilité Attendu 24.0%

Sdpf 9.82% 8.11% 6.52% 5.17% 4.29% 4.20%

Rpf 20% 20.50% 21% 21.50% 22% 22.50%
Coef de variation 49.10% 39.56% 31.05% 24.05% 19.50% 18.67%

Pond 60% 40%

Rpf 22.50% 13%
Sdpf 4.20% 0%

R nouveau pf 18.70%
Sdnpf 2.52%
coef de variation 742.06%
 titre 1 titre2 titre3
0.173824 -0.003376 -0.053492
-0.003376 0.002024 0.008468
-0.053492 0.008468 0.177976

Rpf
25%

24%

23%

22%

21%

20%

19%
4.94% 6.21% 7.77% 18%
23% 23.50% 24% 3.00% 4.00% 5.00% 6.00% 7.00% 8.00% 9.00% 10.00% 11.00%
21.48% 26.43% 32.38%
f

Rp
f

8.00% 9.00% 10.00% 11.00%

cas 3-2
months mkt Rmkt z Rz 0.2
0 50 30
1 55.84 0.1168 33.87 0.129 0.15
f(x) = 1.22294357584576 x + 0.01363
2 52.87 -0.053188 33.65 -0.006495
3 58.19 0.100624 39.19 0.164636 0.1
4 60.33 0.036776 41.3 0.05384
0.05
5 56.97 -0.055694 38.93 -0.057385
6 51.52 -0.095664 34.2 -0.1215
0
7 52.8 0.024845 35.88 0.049123 -0.15 -0.1 -0.05 0 0.05 0.
8 55.04 0.042424 38.24 0.065775
-0.05
9 55.76 0.013081 40.64 0.062762
10 62.2 0.115495 46.26 0.138287
-0.1
11 56.84 -0.086174 41.01 -0.113489
12 55.3 -0.027094 39.4 -0.039259 -0.15

Return 1.10% 2.71%

volatility 7.24% 9.14%
cov(mkt,z) 0.006403
var 0.005236
Beta 1.222944
conclusion: les variations du titre z suramplifient les variations du marché, ie si le marché varie de 1% , les titres v
 0.2

0.15
(x) = 1.22294357584576 x + 0.013631790870734

0.1

0.05 Column F
Linear (Column
F)
0
-0.05 0 0.05 0.1 0.15
-0.05

-0.1

-0.15

e marché varie de 1% , les titres varient de 1,22%

CAS 3-1
1 2
return 15% 10%
volatility 20% 25%
correlation 0.2
ponderation 100% 0%
rpf 15.00%
varpf 4.00%
sdpf 20.00%
0%-100% 25%-75% 50%-50% 75%-24% 100%-0%
sdpf 25% 20.35% 17.50% 17.37% 20%
Rpf 10% 11.25% 12.50% 13.75% 15%

0.2
0.15 Rpf
0.1
0.05 Rp
f
0
0.160.170.180.19 0.2 0.210.220.230.240.250.26

Return 5% 13.75%
Volatility 0% 17.37%
Ponderatoion 40% 60%
Rnfp 10.25%
Sdpf 10.42%
CV 101.68%
cas 3-3
Rasr 4%
Prime de risque 7%

actions Rentabilité observée risque systématique Rentabilité à l'équilibre

A 10% 1 11.0%

B 8% 0.4 6.8%

C 6% 0.9 10.3%

D 30% 2 18.0%

E 14% 1.7 15.9%

 20.0%
Recommandation 18.0%
16.0%
buy
14.0%
sell 12.0%
Colum
10.0% nE
buy 18.0%
8.0% 15.9%
sell 6.0%

buy 4.0%
2.0%
0.0%
0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2 2.2
Colum
nE
18.0%
15.9%