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^AEX vs. ^GDAXI
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


^AEX^GDAXI
YTD Return17.59%8.43%
1Y Return21.87%13.61%
3Y Return (Ann)8.16%5.03%
5Y Return (Ann)10.30%7.95%
10Y Return (Ann)8.20%6.18%
Sharpe Ratio1.961.30
Daily Std Dev10.95%11.18%
Max Drawdown-71.60%-72.68%
Current Drawdown-0.92%-3.74%

Correlation

-0.50.00.51.00.8

The correlation between ^AEX and ^GDAXI is 0.79, 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. ^GDAXI - Performance Comparison

In the year-to-date period, ^AEX achieves a 17.59% return, which is significantly higher than ^GDAXI's 8.43% return. Over the past 10 years, ^AEX has outperformed ^GDAXI with an annualized return of 8.20%, while ^GDAXI has yielded a comparatively lower 6.18% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


2,000.00%2,500.00%3,000.00%3,500.00%2024FebruaryMarchAprilMayJune
2,130.43%
3,434.43%
^AEX
^GDAXI

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AEX Index

DAX Performance Index

Risk-Adjusted Performance

^AEX vs. ^GDAXI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AEX Index (^AEX) and DAX Performance Index (^GDAXI). 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
^GDAXI
Sharpe ratio
The chart of Sharpe ratio for ^GDAXI, currently valued at 0.86, compared to the broader market-1.000.001.002.000.86
Sortino ratio
The chart of Sortino ratio for ^GDAXI, currently valued at 1.31, compared to the broader market-2.00-1.000.001.002.003.001.31
Omega ratio
The chart of Omega ratio for ^GDAXI, currently valued at 1.15, compared to the broader market0.801.001.201.401.15
Calmar ratio
The chart of Calmar ratio for ^GDAXI, currently valued at 0.64, compared to the broader market0.001.002.003.004.005.000.64
Martin ratio
The chart of Martin ratio for ^GDAXI, currently valued at 2.21, compared to the broader market0.005.0010.0015.0020.002.21

^AEX vs. ^GDAXI - Sharpe Ratio Comparison

The current ^AEX Sharpe Ratio is 1.96, which is higher than the ^GDAXI Sharpe Ratio of 1.30. The chart below compares the 12-month rolling Sharpe Ratio of ^AEX and ^GDAXI.


Rolling 12-month Sharpe Ratio0.501.001.502.002024FebruaryMarchAprilMayJune
1.42
0.86
^AEX
^GDAXI

Drawdowns

^AEX vs. ^GDAXI - Drawdown Comparison

The maximum ^AEX drawdown since its inception was -71.60%, roughly equal to the maximum ^GDAXI drawdown of -72.68%. Use the drawdown chart below to compare losses from any high point for ^AEX and ^GDAXI. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune
-1.47%
-5.30%
^AEX
^GDAXI

Volatility

^AEX vs. ^GDAXI - Volatility Comparison

The current volatility for AEX Index (^AEX) is 3.90%, while DAX Performance Index (^GDAXI) has a volatility of 4.69%. This indicates that ^AEX experiences smaller price fluctuations and is considered to be less risky than ^GDAXI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%2024FebruaryMarchAprilMayJune
3.90%
4.69%
^AEX
^GDAXI