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Risk management
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Over 735 common sessions (25 September 2023 to 18 September 2026), today's composition lost more than 882 EUR (1.5 %) one session in twenty, for an annualised volatility of 15.4 %.
Historical simulation: today's composition is applied to past returns, and the stated loss is the empirical quantile of the observed windows. No normal law, no extrapolation.
| Horizon | Worst in 2095 % | Worst in 10099 % | Windows observed |
|---|---|---|---|
| 1 session1 session | 882 EUR1.5 % | 1,541 EUR2.5 % | 735 |
| 1 week5 sessions | 2,171 EUR3.6 % | 3,436 EUR5.7 % | 731 |
| 1 month21 sessions | 3,633 EUR6 % | 5,143 EUR8.5 % | 715 |
When the bad session happens, it costs on average 1,385 EUR beyond the 95 % threshold, and 2,305 EUR beyond the 99 % threshold.
Today's composition, replayed over 3 years, would have fallen 15.1 % (9,162 EUR) between 28 March 2024 and 17 December 2024, that is 180 falling sessions. The previous level was recovered on 13 February 2025, after 35 sessions.
Measured on closing prices: a low touched intraday and closed back before the bell does not appear. This drawdown is that of today's composition projected backwards, not the portfolio's actual path, which follows its real entry and exit dates and is shown by the portfolio module's curve.
Average pairwise correlation is 0.13. By weight, this portfolio is equivalent to 4.8 equally sized lines, against 5 actually held.
| Company | CVS | ALV.DE | MCK | ELV | VOW3.DE |
|---|---|---|---|---|---|
| CVS HEALTH CORPORATION | 1 | 0.1 | 0.09 | 0.44 | 0.06 |
| ALLIANZ SE | 0.1 | 1 | 0.03 | 0.13 | 0.31 |
| MCKESSON CORPORATION | 0.09 | 0.03 | 1 | 0.13 | -0.08 |
| ELEVANCE HEALTH, INC. | 0.44 | 0.13 | 0.13 | 1 | 0.06 |
| VOLKSWAGEN AG | 0.06 | 0.31 | -0.08 | 0.06 | 1 |
move togetherunrelatedmove in opposite directions
The largest country accounts for 63.9 % of the held value, the largest sector 23.6 %. Expressed as equal shares, that is 1.9 equivalent countries and 4.8 equivalent sectors.
Method. Arithmetic daily returns of closing prices, over the sessions common to all retained lines only. Today's composition is applied to the whole history, a short position carrying a negative weight; lines without common history are left out and the weights renormalised over the others. Losses are the empirical quantiles of rolling windows, with no distributional assumption. A measure is shown only where the sample supports it: at least five tail observations (one hundred windows at 95 %, five hundred at 99 %) and at least twenty equivalent non overlapping windows. A correlation requires at least sixty sessions common to the pair. Depth read: 3 years (756 theoretical sessions), 735 sessions actually used. Volatility annualised over 252 sessions. Amounts converted to euros at today's rate (taken on 21 September 2026). Not shown, for lack of data to compute them honestly: replayed stress scenarios (2008, 2020, 2022), which would assume every line had been quoted through those periods, and option hedging, which would require an option chain and a pricing model.