^AEX vs. ^FCHI
Compare and contrast key facts about AEX Index (^AEX) and CAC 40 (^FCHI).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^AEX or ^FCHI.
Performance
^AEX vs. ^FCHI - Performance Comparison
Returns By Period
In the year-to-date period, ^AEX achieves a 10.08% return, which is significantly higher than ^FCHI's -4.37% return. Over the past 10 years, ^AEX has outperformed ^FCHI with an annualized return of 7.32%, while ^FCHI has yielded a comparatively lower 5.06% annualized return.
^AEX
10.08%
-3.47%
-5.27%
13.96%
7.76%
7.32%
^FCHI
-4.37%
-4.27%
-10.97%
-0.65%
4.06%
5.06%
Key characteristics
| ^AEX | ^FCHI | |
|---|---|---|
| Sharpe Ratio | 1.12 | -0.06 |
| Sortino Ratio | 1.62 | 0.01 |
| Omega Ratio | 1.21 | 1.00 |
| Calmar Ratio | 1.46 | -0.05 |
| Martin Ratio | 3.97 | -0.11 |
| Ulcer Index | 3.36% | 6.36% |
| Daily Std Dev | 11.80% | 12.61% |
| Max Drawdown | -71.60% | -65.29% |
| Current Drawdown | -8.34% | -12.46% |
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Correlation
The correlation between ^AEX and ^FCHI is 0.83, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
^AEX vs. ^FCHI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AEX Index (^AEX) and CAC 40 (^FCHI). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Drawdowns
^AEX vs. ^FCHI - Drawdown Comparison
The maximum ^AEX drawdown since its inception was -71.60%, which is greater than ^FCHI's maximum drawdown of -65.29%. Use the drawdown chart below to compare losses from any high point for ^AEX and ^FCHI. For additional features, visit the drawdowns tool.
Volatility
^AEX vs. ^FCHI - Volatility Comparison
The current volatility for AEX Index (^AEX) is 4.69%, while CAC 40 (^FCHI) has a volatility of 5.29%. This indicates that ^AEX experiences smaller price fluctuations and is considered to be less risky than ^FCHI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.