Table 1 Stocks time–frequency risk characteristics
From: Stock profiling using time–frequency-varying systematic risk measure
2012–2019 | OLS beta | Tstat1 | Sharpe | Treynor | SD | %Beta < 1 | %Beta = 1 | %Beta > 1 | %Beta < 0 | %Beta = 0 |
|---|---|---|---|---|---|---|---|---|---|---|
a) For stocks with an OLS beta equal to 1 | ||||||||||
Airbus | 0.97 | 1.08 | − 54.91 | − 0.97 | 0.17 | 33.01 | 24.34 | 42.64 | 0 | 0 |
Airbus D1 | 0.95 | 2.01 | 0.00 | 0.00 | 0.20 | 44.38 | 19.26 | 36.36 | 0 | 0 |
Airbus D6 | 1.24 | 8.70 | − 0.07 | 0.00 | 0.63 | 38.40 | 2.15 | 55.68 | 2.57 | 1.20 |
LVMH | 1.00 | 0.19 | − 63.14 | − 0.95 | 0.22 | 39.29 | 20.33 | 40.37 | 0 | 0 |
LVMH D1 | 1.03 | 1.43 | 0.04 | 0.00 | 0.20 | 40.01 | 20.33 | 39.65 | 0 | 0 |
LVMH D6 | 1.06 | 2.35 | − 0.06 | 0.00 | 0.35 | 23.09 | 6.58 | 70.16 | 0 | 0.18 |
b) For stocks with an OLS beta lesser than 1 | ||||||||||
Hermès | 0.57 | 18.76 | − 77.20 | − 1.70 | 0.18 | 99.46 | 0.54 | 0 | 0 | 0 |
Hermès D1 | 0.54 | 19.69 | 0.01 | 0.00 | 0.20 | 99.88 | 0.12 | 0 | 0 | 0 |
Hermès D6 | 0.45 | 18.96 | − 0.05 | 0.00 | 0.58 | 58.07 | 7.18 | 17.70 | 10.23 | 6.82 |
Ricard | 0.59 | 20.56 | − 85.14 | − 1.68 | 0.11 | 100 | 0 | 0 | 0 | 0 |
Ricard D1 | 0.60 | 19.95 | − 0.01 | 0.00 | 0.14 | 100 | 0 | 0 | 0 | 0 |
Ricard D6 | 0.67 | 15.67 | − 0.14 | 0.00 | 0.36 | 74.82 | 9.99 | 8.25 | 2.99 | 3.95 |
Dassault | 0.60 | 16.00 | − 70.02 | − 1.57 | 0.26 | 84.81 | 1.91 | 13.28 | 0 | 0 |
Dassault D1 | 0.60 | 16.01 | − 0.01 | 0.00 | 0.30 | 83.85 | 2.51 | 13.64 | 0 | 0 |
Dassault D6 | 0.52 | 19.61 | − 0.01 | 0.00 | 0.66 | 56.16 | 3.95 | 8.67 | 27.03 | 4.19 |
Thales | 0.61 | 16.49 | − 72.43 | − 1.56 | 0.11 | 100 | 0 | 0 | 0 | 0 |
Thales D1 | 0.60 | 17.55 | − 0.01 | 0.00 | 0.13 | 100 | 0 | 0 | 0 | 0 |
Thales D6 | 0.51 | 18.75 | − 0.17 | 0.00 | 0.38 | 72.25 | 6.22 | 13.82 | 5.98 | 1.73 |
Publicis | 0.65 | 13.04 | − 68.46 | − 1.57 | 0.08 | 100 | 0 | 0 | 0 | 0 |
Publicis D1 | 0.59 | 15.01 | 0.00 | 0.00 | 0.07 | 100 | 0 | 0 | 0 | 0 |
Publicis D6 | 0.66 | 14.20 | 0.15 | 0.00 | 0.60 | 56.40 | 2.87 | 26.38 | 11.72 | 2.63 |
Téléperformance | 0.65 | 12.40 | − 58.83 | − 1.37 | 0.18 | 91.69 | 0.84 | 7.48 | 0 | 0 |
Téléperformance D1 | 0.60 | 14.28 | 0.01 | 0.00 | 0.21 | 91.87 | 0.66 | 7.48 | 0 | 0 |
Téléperformance D6 | 0.40 | 22.92 | .0.00 | 0.00 | 0.48 | 67.17 | 2.39 | 12.14 | 15.31 | 2.99 |
Danone | 0.68 | 17.13 | − 86.03 | − 1.48 | 0.10 | 98.50 | 1.50 | 0 | 0 | 0 |
Danone D1 | 0.72 | 15.43 | 0.04 | 0.00 | 0.09 | 99.94 | 0.06 | 0 | 0 | 0 |
Danone D6 | 0.67 | 18.92 | − 0.09 | 0.00 | 0.29 | 84.75 | 6.76 | 4.49 | 1.38 | 2.63 |
Alstom | 0.72 | 9.46 | − 61.62 | − 1.37 | 0.16 | 92.46 | 7.06 | 0.48 | 0 | 0 |
Alstom D1 | 0.71 | 10.53 | 0.03 | 0.00 | 0.14 | 94.38 | 4.31 | 1.32 | 0 | 0 |
Alstom D6 | 0.70 | 7.82 | − 0.09 | 0.00 | 0.63 | 63.10 | 5.80 | 30.50 | 0.36 | 0.24 |
Eurofins | 0.74 | 7.36 | − 50.54 | − 1.26 | 0.25 | 83.97 | 1.20 | 14.83 | 0 | 0 |
Eurofins D1 | 0.69 | 9.05 | − 0.05 | 0.00 | 0.28 | 86.12 | 6.28 | 7.60 | 0 | 0 |
Eurofins D6 | 0.66 | 11.38 | − 0.01 | 0.00 | 0.59 | 50 | 7.30 | 27.69 | 11.78 | 3.23 |
Veolia | 0.75 | 9.51 | − 64.21 | − 1.31 | 0.12 | 98.80 | 1.20 | 0 | 0 | 0 |
Veolia D1 | 0.66 | 12.48 | 0.00 | 0.00 | 0.14 | 100 | 0 | 0 | 0 | 0 |
Veolia D6 | 0.75 | 8.14 | − 0.07 | 0.00 | 0.47 | 60.94 | 8.25 | 27.99 | 2.39 | 0.42 |
L’oreal | 0.78 | 11.69 | − 78.25 | − 1.24 | 0.12 | 98.03 | 1.97 | 0 | 0 | 0 |
L’oreal D1 | 0.82 | 9.58 | 0.06 | 0.00 | 0.12 | 89.17 | 10.77 | 0.06 | 0 | 0 |
L’oreal D6 | 0.71 | 15.97 | − 0.13 | 0.00 | 0.24 | 86.24 | 10.77 | 2.99 | 0 | 0 |
Essilor | 0.78 | 9.75 | − 72.47 | − 1.26 | 0.11 | 96.35 | 3.65 | 0 | 0 | 0 |
Essilor D1 | 0.80 | 9.19 | − 0.02 | 0.00 | 0.13 | 94.80 | 5.20 | 0 | 0 | 0 |
Essilor D6 | 0.62 | 15.97 | 0.17 | 0.00 | 0.46 | 72.91 | 3.65 | 13.10 | 9.39 | 0.96 |
Vivendi | 0.79 | 9.08 | − 70.06 | − 1.25 | 0.14 | 84.27 | 7.95 | 7.78 | 0 | 0 |
Vivendi D1 | 0.79 | 8.76 | 0.02 | 0.00 | 0.16 | 79.19 | 9.99 | 10.83 | 0 | 0 |
Vivendi D6 | 0.68 | 12.57 | − 0.19 | 0.00 | 0.40 | 67.94 | 4.96 | 26.14 | 0.42 | 0.54 |
Legrand | 0.80 | 10.63 | − 76.41 | − 1.21 | 0.09 | 94.98 | 5.02 | 0 | 0 | 0 |
Legrand D1 | 0.76 | 12.47 | 0.01 | 0.00 | 0.10 | 96.23 | 3.77 | 0 | 0 | 0 |
Legrand D6 | 0.92 | 4.27 | − 0.11 | 0.00 | 0.28 | 57.18 | 9.21 | 33.61 | 0 | 0 |
Safran | 0.83 | 7.30 | − 66.14 | − 1.12 | 0.17 | 72.07 | 3.65 | 24.28 | 0 | 0 |
Safran D1 | 0.76 | 10.52 | − 0.01 | 0.00 | 0.17 | 73.03 | 20.33 | 6.64 | 0 | 0 |
Safran D6 | 0.76 | 12.17 | − 0.02 | 0.00 | 0.40 | 48.80 | 9.87 | 39.77 | 0.24 | 1.32 |
Air liquide | 0.85 | 9.56 | − 82.79 | − 1.16 | 0.12 | 77.15 | 18.00 | 4.84 | 0 | 0 |
Air liquide D1 | 0.88 | 7.56 | 0.05 | 0.00 | 0.10 | 69.44 | 30.56 | 0 | 0 | 0 |
Air liquide D6 | 0.96 | 2.47 | − 0.09 | 0.00 | 0.38 | 53.17 | 7.83 | 38.58 | 0 | 0.42 |
Sanofi | 0.85 | 7.04 | − 73.09 | − 1.17 | 0.13 | 77.09 | 22.19 | 0.72 | 0 | 0 |
Sanofi D1 | 0.92 | 4.06 | 0.02 | 0.00 | 0.16 | 68.24 | 18.00 | 13.76 | 0 | 0 |
Sanofi D6 | 0.66 | 13.91 | − 0.13 | 0.00 | 0.42 | 68.60 | 4.72 | 16.69 | 5.92 | 4.07 |
Michelin | 0.86 | 5.81 | − 64.59 | − 1.15 | 0.13 | 81.34 | 5.14 | 13.52 | 0 | 0 |
Michelin D1 | 0.81 | 7.81 | 0.02 | 0.00 | 0.12 | 76.02 | 22.61 | 1.38 | 0 | 0 |
Michelin D6 | 0.88 | 5.45 | − 0.03 | 0.00 | 0.49 | 48.74 | 9.99 | 37.98 | 1.38 | 1.91 |
Engie | 0.89 | 4.93 | − 71.64 | − 1.15 | 0.06 | 80.44 | 19.56 | 0 | 0 | 0 |
Engie D1 | 0.84 | 7.18 | 0.06 | 0.00 | 0.11 | 83.97 | 16.03 | 0 | 0 | 0 |
Engie D6 | 0.90 | 4.22 | 0.14 | 0.00 | 0.40 | 58.85 | 8.01 | 33.13 | 0 | 0 |
Vinci | 0.90 | 5.53 | − 73.45 | − 1.07 | 0.13 | 55.08 | 37.86 | 7.06 | 0 | 0 |
Vinci D1 | 0.89 | 5.92 | 0.07 | 0.00 | 0.14 | 59.15 | 31.16 | 9.69 | 0 | 0 |
Vinci D6 | 0.60 | 22.79 | − 0.13 | 0.00 | 0.33 | 77.99 | 9.09 | 12.86 | 0 | 0.06 |
Bouygues | 0.90 | 3.39 | − 58.32 | − 1.09 | 0.14 | 48.86 | 24.40 | 26.73 | 0 | 0 |
Bouygues D1 | 0.88 | 4.09 | 0.02 | 0.00 | 0.20 | 45.93 | 10.41 | 43.66 | 0 | 0 |
Bouygues D6 | 0.75 | 8.48 | − 0.12 | 0.00 | 0.56 | 55.68 | 8.97 | 35.35 | 0 | 0 |
Orange | 0.92 | 3.50 | − 66.95 | − 1.09 | 0.20 | 54.01 | 24.76 | 21.23 | 0 | 0 |
Orange D1 | 0.94 | 2.77 | 0.00 | 0.00 | 0.21 | 57.24 | 14.83 | 27.93 | 0 | 0 |
Orange D6 | 0.87 | 4.24 | − 0.13 | 0.00 | 0.67 | 64.11 | 3.65 | 24.28 | 5.80 | 2.15 |
Kering | 0.92 | 2.74 | − 55.55 | − 1.01 | 0.27 | 58.79 | 11.60 | 29.61 | 0 | 0 |
Kering D1 | 0.93 | 2.54 | 0.00 | 0.00 | 0.27 | 44.62 | 20.39 | 34.99 | 0 | 0 |
Kering D6 | 1.08 | 2.89 | − 0.06 | 0.00 | 0.54 | 35.29 | 7.24 | 55.80 | 0.72 | 0.96 |
Capgemini | 0.92 | 2.95 | − 59.42 | − 1.03 | 0.16 | 77.27 | 6.52 | 16.21 | 0 | 0 |
Capgemini D1 | 0.89 | 4.26 | − 0.02 | 0.00 | 0.17 | 78.11 | 5.14 | 16.75 | 0 | 0 |
Capgemini D6 | 1.02 | 0.61 | − 0.10 | 0.00 | 0.54 | 40.91 | 5.08 | 53.95 | 0 | 0.06 |
Carrefour | 0.94 | 2.26 | − 61.42 | − 1.08 | 0.27 | 57.06 | 27.09 | 15.85 | 0 | 0 |
Carrefour D1 | 0.91 | 3.31 | 0.02 | 0.00 | 0.31 | 62.68 | 21.65 | 15.67 | 0 | 0 |
Carrefour D6 | 0.86 | 4.77 | 0.13 | 0.00 | 0.59 | 53.05 | 9.99 | 28.83 | 5.74 | 2.39 |
Total | 0.96 | 2.21 | − 73.34 | − 1.04 | 0.10 | 58.49 | 30.56 | 10.94 | 0 | 0 |
Total D1 | 0.96 | 2.21 | − 0.01 | 0.00 | 0.10 | 55.32 | 33.13 | 11.54 | 0 | 0 |
Total D6 | 0.96 | 2.74 | − 0.08 | 0.00 | 0.22 | 53.23 | 20.81 | 25.96 | 0 | 0 |
c) For stocks with an OLS beta greater than 1 | ||||||||||
Saint Gobain | 1.12 | 5.48 | − 62.52 | − 0.90 | 0.09 | 0.12 | 34.45 | 65.43 | 0 | 0 |
Saint Gobain D1 | 1.10 | 4.54 | 0.00 | 0.00 | 0.11 | 20.57 | 34.75 | 44.68 | 0 | 0 |
Saint Gobain D6 | 1.02 | 0.98 | 0.01 | 0.00 | 0.36 | 26.79 | 9.45 | 63.76 | 0 | 0 |
Schneider | 1.15 | 7.38 | − 62.12 | − 0.86 | 0.09 | 0.18 | 17.70 | 82.12 | 0 | 0 |
Schneider D1 | 1.16 | 7.88 | 0.02 | 0.00 | 0.10 | 0.24 | 24.46 | 75.30 | 0 | 0 |
Schneider D1 | 1.19 | 9.05 | − 0.10 | 0.00 | 0.24 | 18.60 | 9.75 | 71.47 | 0.06 | 0.12 |
Renault | 1.16 | 5.05 | − 51.09 | − 0.87 | 0.15 | 11.36 | 17.76 | 70.87 | 0 | 0 |
Renault D1 | 1.03 | 1.12 | 0.03 | 0.00 | 0.16 | 35.47 | 27.03 | 37.50 | 0 | 0 |
Renault D6 | 1.49 | 14.89 | − 0.01 | 0.00 | 0.56 | 23.80 | 7.72 | 66.99 | 0.30 | 1.20 |
AXA | 1.18 | 9.45 | − 60.95 | − 0.82 | 0.24 | 27.87 | 13.04 | 59.09 | 0 | 0 |
AXA D1 | 1.12 | 6.34 | 0.04 | 0.00 | 0.25 | 28.47 | 16.03 | 55.50 | 0 | 0 |
AXA D6 | 1.19 | 8.65 | − 0.09 | 0.00 | 0.43 | 29.25 | 12.98 | 57.60 | 0.06 | 0.12 |
STMI | 1.20 | 5.02 | − 39.98 | − 0.77 | 0.36 | 9.45 | 35.29 | 55.26 | 0 | 0 |
STMI D1 | 1.17 | 4.44 | 0.02 | 0.00 | 0.37 | 13.28 | 37.92 | 48.80 | 0 | 0 |
STMI D6 | 0.99 | 0.19 | 0.08 | 0.00 | 0.74 | 35.47 | 5.26 | 47.43 | 10.59 | 1.26 |
Stellantis | 1.21 | 4.97 | − 40.06 | − 0.79 | 0.15 | 2.63 | 11.66 | 85.71 | 0 | 0 |
Stellantis D1 | 1.07 | 1.85 | 0.02 | 0.00 | 0.19 | 18.00 | 23.56 | 58.43 | 0 | 0 |
Stellantis D1 | 1.55 | 11.49 | 0.06 | 0.00 | 0.89 | 19.68 | 3.41 | 73.15 | 3.53 | 0.24 |
Crédit Agricole | 1.31 | 10.79 | − 47.67 | − 0.72 | 0.22 | 12.56 | 7.24 | 80.20 | 0 | 0 |
Crédit Agricole D1 | 1.24 | 8.70 | 0.00 | 0.00 | 0.23 | 15.37 | 8.13 | 76.50 | 0 | 0 |
Crédit Agricole D1 | 1.50 | 15.66 | − 0.06 | 0.00 | 0.39 | 4.43 | 4.31 | 91.27 | 0 | 0 |
BNP | 1.31 | 14.50 | − 55.96 | − 0.75 | 0.22 | 4.19 | 10.47 | 85.35 | 0 | 0 |
BNP D1 | 1.28 | 13.42 | 0.01 | 0.00 | 0.21 | 9.27 | 5.68 | 85.05 | 0 | 0 |
BNP D6 | 1.24 | 10.77 | − 0.02 | 0.00 | 0.35 | 11.30 | 8.31 | 80.38 | 0 | 0 |
Société Générale | 1.47 | 17.25 | − 47.81 | − 0.67 | 0.33 | 12.08 | 1.61 | 86.30 | 0 | 0 |
Société Générale D1 | 1.41 | 15.74 | 0.02 | 0.00 | 0.36 | 13.46 | 7.06 | 79.49 | 0 | 0 |
Société Générale D6 | 1.49 | 15.08 | − 0.06 | 0.00 | 0.61 | 12.92 | 6.04 | 81.04 | 0 | 0 |