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AMX Index (^AMX)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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Performance

Performance Chart


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Returns By Period

AMX Index (^AMX) returned 2.90% year-to-date (YTD) and -8.30% over the past 12 months. Over the past 10 years, ^AMX returned 1.21% annually, underperforming the S&P 500 benchmark at 10.69%.


^AMX

YTD

2.90%

1M

10.99%

6M

-1.85%

1Y

-8.30%

5Y*

4.73%

10Y*

1.21%

^GSPC (Benchmark)

YTD

-0.64%

1M

8.97%

6M

-2.62%

1Y

11.90%

5Y*

15.76%

10Y*

10.69%

*Annualized

Monthly Returns

The table below presents the monthly returns of ^AMX, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20251.08%2.67%-1.95%-2.60%3.82%2.90%
2024-2.88%0.05%3.38%-1.60%0.78%-6.74%2.68%2.45%-1.10%-1.92%-0.87%-4.03%-9.82%
20238.57%0.71%-5.40%-2.86%-3.17%-0.89%4.32%-5.83%-5.09%-6.29%9.48%7.98%-0.39%
2022-2.02%-3.06%2.26%-0.72%-2.83%-10.85%6.02%-3.29%-7.38%5.93%4.47%-2.06%-14.01%
20212.86%1.83%4.84%1.02%2.42%-1.92%1.17%5.15%-3.81%-1.11%-2.41%5.12%15.68%
20200.03%-7.43%-21.00%9.44%-1.05%4.14%1.27%5.66%0.25%-3.65%16.35%3.47%2.65%
201910.37%5.43%0.06%6.62%-10.01%8.33%3.38%-1.32%2.75%2.93%2.83%3.13%38.46%
20181.27%-3.13%-4.58%-0.88%1.82%-1.55%1.33%-0.23%0.24%-6.38%-5.39%-5.64%-21.23%
20170.45%4.90%2.61%5.19%2.11%-0.56%0.65%-1.88%5.37%2.56%-2.47%1.03%21.46%
2016-5.07%-0.35%2.09%-1.60%0.54%-8.74%3.63%2.35%1.50%0.33%-0.90%5.48%-1.54%
20155.19%7.27%4.12%0.29%0.65%-6.20%2.96%-8.08%-7.38%12.33%0.16%-0.02%9.69%
20140.50%5.21%0.38%-3.40%2.71%-3.69%-4.42%-0.31%-1.46%0.16%5.29%0.72%1.16%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^AMX is 3, meaning it’s performing worse than 97% of other indices on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of ^AMX is 33
Overall Rank
The Sharpe Ratio Rank of ^AMX is 44
Sharpe Ratio Rank
The Sortino Ratio Rank of ^AMX is 11
Sortino Ratio Rank
The Omega Ratio Rank of ^AMX is 00
Omega Ratio Rank
The Calmar Ratio Rank of ^AMX is 66
Calmar Ratio Rank
The Martin Ratio Rank of ^AMX is 33
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for AMX Index (^AMX) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

AMX Index Sharpe ratios as of May 13, 2025 (values are recalculated daily):

  • 1-Year: -0.50
  • 5-Year: 0.28
  • 10-Year: 0.07
  • All Time: 0.38

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

The chart below shows the rolling Sharpe ratio of AMX Index compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


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Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


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Worst Drawdowns

The table below displays the maximum drawdowns of the AMX Index. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the AMX Index was 72.09%, occurring on Mar 12, 2003. Recovery took 3769 trading sessions.

The current AMX Index drawdown is 22.81%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-72.09%Jul 23, 19981202Mar 12, 20033769Oct 3, 20174971
-42.29%Feb 14, 202024Mar 18, 2020227Feb 5, 2021251
-42.05%Aug 11, 198766Nov 10, 1987299Jan 13, 1989365
-32.36%Sep 8, 2021919Apr 7, 2025
-26.91%Jan 23, 2018238Dec 27, 2018208Oct 21, 2019446

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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