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

Key characteristics


^AEXVOO
YTD Return17.59%15.25%
1Y Return21.87%26.52%
3Y Return (Ann)8.16%10.45%
5Y Return (Ann)10.30%14.99%
10Y Return (Ann)8.20%12.92%
Sharpe Ratio1.962.39
Daily Std Dev10.95%11.27%
Max Drawdown-71.60%-33.99%
Current Drawdown-0.92%-0.50%

Correlation

-0.50.00.51.00.6

The correlation between ^AEX and VOO is 0.57, 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. VOO - Performance Comparison

In the year-to-date period, ^AEX achieves a 17.59% return, which is significantly higher than VOO's 15.25% return. Over the past 10 years, ^AEX has underperformed VOO with an annualized return of 8.20%, while VOO has yielded a comparatively higher 12.92% 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%200.00%300.00%400.00%500.00%2024FebruaryMarchAprilMayJune
133.22%
542.84%
^AEX
VOO

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AEX Index

Vanguard S&P 500 ETF

Risk-Adjusted Performance

^AEX vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AEX Index (^AEX) and Vanguard S&P 500 ETF (VOO). 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
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 2.21, compared to the broader market-1.000.001.002.002.21
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 3.12, compared to the broader market-2.00-1.000.001.002.003.003.12
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.40, compared to the broader market0.801.001.201.401.40
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 2.12, compared to the broader market0.001.002.003.004.005.002.12
Martin ratio
The chart of Martin ratio for VOO, currently valued at 8.48, compared to the broader market0.005.0010.0015.0020.008.49

^AEX vs. VOO - Sharpe Ratio Comparison

The current ^AEX Sharpe Ratio is 1.96, which roughly equals the VOO Sharpe Ratio of 2.39. The chart below compares the 12-month rolling Sharpe Ratio of ^AEX and VOO.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.002024FebruaryMarchAprilMayJune
1.31
2.21
^AEX
VOO

Drawdowns

^AEX vs. VOO - Drawdown Comparison

The maximum ^AEX drawdown since its inception was -71.60%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ^AEX and VOO. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune
-1.47%
-0.50%
^AEX
VOO

Volatility

^AEX vs. VOO - Volatility Comparison

AEX Index (^AEX) has a higher volatility of 3.90% compared to Vanguard S&P 500 ETF (VOO) at 2.22%. This indicates that ^AEX's price experiences larger fluctuations and is considered to be riskier than VOO 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%
2.22%
^AEX
VOO