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

Key characteristics


^AEXURTH
YTD Return17.59%11.58%
1Y Return22.29%21.78%
3Y Return (Ann)7.98%7.18%
5Y Return (Ann)10.47%11.99%
10Y Return (Ann)8.34%9.44%
Sharpe Ratio1.961.96
Daily Std Dev10.95%11.08%
Max Drawdown-71.60%-34.01%
Current Drawdown-0.92%-0.49%

Correlation

-0.50.00.51.00.6

The correlation between ^AEX and URTH is 0.56, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

^AEX vs. URTH - Performance Comparison

In the year-to-date period, ^AEX achieves a 17.59% return, which is significantly higher than URTH's 11.58% return. Over the past 10 years, ^AEX has underperformed URTH with an annualized return of 8.34%, while URTH has yielded a comparatively higher 9.44% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


100.00%150.00%200.00%250.00%2024FebruaryMarchAprilMayJune
148.89%
274.11%
^AEX
URTH

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AEX Index

iShares MSCI World ETF

Risk-Adjusted Performance

^AEX vs. URTH - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AEX Index (^AEX) and iShares MSCI World ETF (URTH). 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 1.31, compared to the broader market-1.000.001.002.001.31
Sortino ratio
The chart of Sortino ratio for ^AEX, currently valued at 2.00, compared to the broader market-2.00-1.000.001.002.003.002.00
Omega ratio
The chart of Omega ratio for ^AEX, currently valued at 1.23, compared to the broader market0.801.001.201.401.23
Calmar ratio
The chart of Calmar ratio for ^AEX, currently valued at 0.84, compared to the broader market0.001.002.003.004.005.000.84
Martin ratio
The chart of Martin ratio for ^AEX, currently valued at 3.01, compared to the broader market0.005.0010.0015.0020.003.01
URTH
Sharpe ratio
The chart of Sharpe ratio for URTH, currently valued at 1.84, compared to the broader market-1.000.001.002.001.84
Sortino ratio
The chart of Sortino ratio for URTH, currently valued at 2.66, compared to the broader market-2.00-1.000.001.002.003.002.66
Omega ratio
The chart of Omega ratio for URTH, currently valued at 1.33, compared to the broader market0.801.001.201.401.33
Calmar ratio
The chart of Calmar ratio for URTH, currently valued at 1.52, compared to the broader market0.001.002.003.004.005.001.52
Martin ratio
The chart of Martin ratio for URTH, currently valued at 6.36, compared to the broader market0.005.0010.0015.0020.006.36

^AEX vs. URTH - Sharpe Ratio Comparison

The current ^AEX Sharpe Ratio is 1.96, which roughly equals the URTH Sharpe Ratio of 1.96. The chart below compares the 12-month rolling Sharpe Ratio of ^AEX and URTH.


Rolling 12-month Sharpe Ratio0.501.001.502.002.502024FebruaryMarchAprilMayJune
1.31
1.84
^AEX
URTH

Drawdowns

^AEX vs. URTH - Drawdown Comparison

The maximum ^AEX drawdown since its inception was -71.60%, which is greater than URTH's maximum drawdown of -34.01%. Use the drawdown chart below to compare losses from any high point for ^AEX and URTH. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune
-1.47%
-0.49%
^AEX
URTH

Volatility

^AEX vs. URTH - Volatility Comparison

AEX Index (^AEX) has a higher volatility of 3.90% compared to iShares MSCI World ETF (URTH) at 2.27%. This indicates that ^AEX's price experiences larger fluctuations and is considered to be riskier than URTH 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%
2.27%
^AEX
URTH