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Rendements moyens Ecart type Kurto Beta Citigroup 0,24 % 0,20% 0,8 0,5 Bank of america 0,30% 0,60% -0,8 1,2 S&P 0,01% 0,03% Libor 3 mois
| Rendements moyens | Ecart type | Kurto | Beta |
Citigroup | 0,24 % | 0,20% | 0,8 | 0,5 |
Bank of america | 0,30% | 0,60% | -0,8 | 1,2 |
S&P | 0,01% | 0,03% |
|
|
Libor 3 mois | -0,18% |
|
|
|
Euribor 1 mois | -0,12% |
|
|
|
FTSE100 | 0,35% | 0,05% |
|
|
le portefeuille est compos de 40% de l'actif du march amricain et le reste de Citigroup, la performance moyenne est:
- 0,0032
- 0,00284
- 0,00148
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