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CAC 40 (^FCHI)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Share Price Chart


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Popular comparisons: ^FCHI vs. ^AEX, ^FCHI vs. ^GDAXI, ^FCHI vs. ^IBEX, ^FCHI vs. DAX, ^FCHI vs. ATO.PA, ^FCHI vs. CW8G.L, ^FCHI vs. AI.PA, ^FCHI vs. ^GSPC, ^FCHI vs. SPY, ^FCHI vs. QQQ

Performance

Performance Chart

The chart shows the growth of an initial investment of €10,000 in CAC 40, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-7.81%
9.18%
^FCHI (CAC 40)
Benchmark (^GSPC)

Returns By Period

CAC 40 had a return of -2.27% year-to-date (YTD) and 4.60% in the last 12 months. Over the past 10 years, CAC 40 had an annualized return of 5.73%, while the S&P 500 had an annualized return of 10.92%, indicating that CAC 40 did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date-2.27%19.77%
1 month-2.25%-0.67%
6 months-7.81%10.27%
1 year4.60%31.07%
5 years (annualized)4.60%13.22%
10 years (annualized)5.73%10.92%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.51%3.54%3.51%-2.69%0.10%-6.42%0.70%1.32%0.06%-3.74%-2.27%
20239.40%2.62%0.75%2.31%-5.24%4.25%1.32%-2.42%-2.48%-3.50%6.17%3.18%16.52%
2022-2.43%-4.86%0.02%-1.89%-0.99%-8.44%8.87%-5.02%-5.92%8.75%7.53%-3.93%-9.75%
2021-2.74%5.63%6.38%3.33%2.83%0.94%1.61%1.02%-2.40%4.76%-1.60%6.73%29.21%
2020-2.87%-8.55%-17.21%4.00%2.70%5.12%-3.09%3.42%-2.91%-4.36%20.12%0.60%-7.14%
20195.54%4.96%2.10%4.41%-6.78%6.36%-0.36%-0.70%3.60%0.92%3.06%1.23%26.37%
20183.19%-2.94%-2.88%6.84%-2.21%-1.39%3.53%-1.90%1.60%-7.28%-1.76%-5.46%-10.95%
2017-2.33%2.31%5.43%2.83%0.31%-3.08%-0.53%-0.16%4.80%3.25%-2.37%-1.12%9.26%
2016-4.75%-1.44%0.72%1.00%1.73%-5.95%4.77%-0.04%0.23%1.37%1.53%6.20%4.86%
20157.76%7.54%1.66%0.26%-0.76%-4.35%6.10%-8.45%-4.25%9.93%1.22%-6.47%8.53%
2014-3.03%5.82%-0.38%2.18%0.72%-2.14%-4.00%3.18%0.80%-4.15%3.71%-2.67%-0.54%
20132.51%-0.26%0.23%3.36%2.38%-5.31%6.79%-1.48%5.33%3.78%-0.11%0.02%17.99%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^FCHI is 13, indicating that it is in the bottom 13% of indices on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of ^FCHI is 1313
Combined Rank
The Sharpe Ratio Rank of ^FCHI is 1414Sharpe Ratio Rank
The Sortino Ratio Rank of ^FCHI is 1111Sortino Ratio Rank
The Omega Ratio Rank of ^FCHI is 1111Omega Ratio Rank
The Calmar Ratio Rank of ^FCHI is 1616Calmar Ratio Rank
The Martin Ratio Rank of ^FCHI is 1212Martin 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 CAC 40 (^FCHI) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^FCHI
Sharpe ratio
The chart of Sharpe ratio for ^FCHI, currently valued at 0.39, compared to the broader market-1.000.001.002.003.000.39
Sortino ratio
The chart of Sortino ratio for ^FCHI, currently valued at 0.62, compared to the broader market-1.000.001.002.003.004.000.62
Omega ratio
The chart of Omega ratio for ^FCHI, currently valued at 1.07, compared to the broader market0.801.001.201.401.601.07
Calmar ratio
The chart of Calmar ratio for ^FCHI, currently valued at 0.36, compared to the broader market0.001.002.003.004.000.36
Martin ratio
The chart of Martin ratio for ^FCHI, currently valued at 0.83, compared to the broader market0.005.0010.0015.0020.000.83
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.67, compared to the broader market-1.000.001.002.003.002.67
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.55, compared to the broader market-1.000.001.002.003.004.003.55
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.45, compared to the broader market0.001.002.003.004.003.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.04, compared to the broader market0.005.0010.0015.0020.0017.04

Sharpe Ratio

The current CAC 40 Sharpe ratio is 0.39. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of CAC 40 with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.39
2.43
^FCHI (CAC 40)
Benchmark (^GSPC)

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.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-10.54%
-3.06%
^FCHI (CAC 40)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the CAC 40. 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 CAC 40 was 65.29%, occurring on Mar 12, 2003. Recovery took 4774 trading sessions.

The current CAC 40 drawdown is 10.54%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-65.29%Sep 5, 2000640Mar 12, 20034774Nov 2, 20215414
-42.73%Sep 7, 1987100Jan 29, 1988230Dec 30, 1988330
-32.55%Jul 20, 199859Oct 8, 1998136Apr 27, 1999195
-32.32%Apr 23, 1990183Jan 14, 1991640Aug 6, 1993823
-26.94%Feb 3, 1994428Oct 23, 1995305Jan 13, 1997733

Volatility

Volatility Chart

The current CAC 40 volatility is 3.17%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.17%
3.60%
^FCHI (CAC 40)
Benchmark (^GSPC)