PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^AEX vs. ^FCHI
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


^AEX^FCHI
YTD Return17.59%1.13%
1Y Return22.29%6.49%
3Y Return (Ann)7.98%4.71%
5Y Return (Ann)10.47%6.60%
10Y Return (Ann)8.34%5.48%
Sharpe Ratio1.960.47
Daily Std Dev10.95%12.14%
Max Drawdown-71.60%-65.29%
Current Drawdown-0.92%-7.42%

Correlation

-0.50.00.51.00.8

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.

Performance

^AEX vs. ^FCHI - Performance Comparison

In the year-to-date period, ^AEX achieves a 17.59% return, which is significantly higher than ^FCHI's 1.13% return. Over the past 10 years, ^AEX has outperformed ^FCHI with an annualized return of 8.34%, while ^FCHI has yielded a comparatively lower 5.48% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


400.00%450.00%500.00%550.00%600.00%650.00%2024FebruaryMarchAprilMayJune
639.71%
387.79%
^AEX
^FCHI

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


AEX Index

CAC 40

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.


^AEX
Sharpe ratio
The chart of Sharpe ratio for ^AEX, currently valued at 1.42, compared to the broader market-1.000.001.002.001.42
Sortino ratio
The chart of Sortino ratio for ^AEX, currently valued at 2.15, compared to the broader market-2.00-1.000.001.002.003.002.15
Omega ratio
The chart of Omega ratio for ^AEX, currently valued at 1.25, compared to the broader market0.801.001.201.401.25
Calmar ratio
The chart of Calmar ratio for ^AEX, currently valued at 0.91, compared to the broader market0.001.002.003.004.005.000.91
Martin ratio
The chart of Martin ratio for ^AEX, currently valued at 3.28, compared to the broader market0.005.0010.0015.0020.003.28
^FCHI
Sharpe ratio
The chart of Sharpe ratio for ^FCHI, currently valued at 0.22, compared to the broader market-1.000.001.002.000.22
Sortino ratio
The chart of Sortino ratio for ^FCHI, currently valued at 0.42, compared to the broader market-2.00-1.000.001.002.003.000.42
Omega ratio
The chart of Omega ratio for ^FCHI, currently valued at 1.05, compared to the broader market0.801.001.201.401.05
Calmar ratio
The chart of Calmar ratio for ^FCHI, currently valued at 0.22, compared to the broader market0.001.002.003.004.005.000.22
Martin ratio
The chart of Martin ratio for ^FCHI, currently valued at 0.63, compared to the broader market0.005.0010.0015.0020.000.63

^AEX vs. ^FCHI - Sharpe Ratio Comparison

The current ^AEX Sharpe Ratio is 1.96, which is higher than the ^FCHI Sharpe Ratio of 0.47. The chart below compares the 12-month rolling Sharpe Ratio of ^AEX and ^FCHI.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002024FebruaryMarchAprilMayJune
1.42
0.22
^AEX
^FCHI

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.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune
-1.47%
-8.92%
^AEX
^FCHI

Volatility

^AEX vs. ^FCHI - Volatility Comparison

The current volatility for AEX Index (^AEX) is 3.90%, while CAC 40 (^FCHI) has a volatility of 5.84%. 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.


2.00%3.00%4.00%5.00%6.00%2024FebruaryMarchAprilMayJune
3.90%
5.84%
^AEX
^FCHI