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

Key characteristics


^AEX^GSPC
YTD Return17.53%15.04%
1Y Return21.19%25.03%
3Y Return (Ann)8.58%9.64%
5Y Return (Ann)10.30%13.26%
10Y Return (Ann)8.14%10.85%
Sharpe Ratio2.032.17
Daily Std Dev10.91%11.27%
Max Drawdown-71.60%-56.78%
Current Drawdown-0.75%0.00%

Correlation

-0.50.00.51.00.4

The correlation between ^AEX and ^GSPC is 0.37, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

^AEX vs. ^GSPC - Performance Comparison

In the year-to-date period, ^AEX achieves a 17.53% return, which is significantly higher than ^GSPC's 15.04% return. Over the past 10 years, ^AEX has underperformed ^GSPC with an annualized return of 8.14%, while ^GSPC has yielded a comparatively higher 10.85% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%2024FebruaryMarchAprilMayJune
14.25%
15.60%
^AEX
^GSPC

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

S&P 500

Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for AEX Index (^AEX) and S&P 500 (^GSPC). 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 0.90, compared to the broader market0.001.002.003.004.005.000.90
Martin ratio
The chart of Martin ratio for ^AEX, currently valued at 3.23, compared to the broader market0.005.0010.0015.0020.003.23
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.28, compared to the broader market-1.000.001.002.002.28
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.20, compared to the broader market-2.00-1.000.001.002.003.003.20
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.41, compared to the broader market0.801.001.201.401.41
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.79, compared to the broader market0.001.002.003.004.005.001.79
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.42, compared to the broader market0.005.0010.0015.0020.008.42

^AEX vs. ^GSPC - Sharpe Ratio Comparison

The current ^AEX Sharpe Ratio is 2.03, which roughly equals the ^GSPC Sharpe Ratio of 2.17. The chart below compares the 12-month rolling Sharpe Ratio of ^AEX and ^GSPC.


Rolling 12-month Sharpe Ratio0.501.001.502.002.502024FebruaryMarchAprilMayJune
1.42
2.28
^AEX
^GSPC

Drawdowns

^AEX vs. ^GSPC - Drawdown Comparison

The maximum ^AEX drawdown since its inception was -71.60%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^AEX and ^GSPC. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune
-1.19%
0
^AEX
^GSPC

Volatility

^AEX vs. ^GSPC - Volatility Comparison

AEX Index (^AEX) has a higher volatility of 3.52% compared to S&P 500 (^GSPC) at 2.34%. This indicates that ^AEX's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%4.50%2024FebruaryMarchAprilMayJune
3.52%
2.34%
^AEX
^GSPC