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

Correlation

The correlation between ^AMX and ^AEX 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

^AMX vs. ^AEX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AMX Index (^AMX) and AEX Index (^AEX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

^AMX:

-0.49

^AEX:

0.08

Sortino Ratio

^AMX:

-0.69

^AEX:

0.18

Omega Ratio

^AMX:

0.91

^AEX:

1.03

Calmar Ratio

^AMX:

-0.30

^AEX:

0.06

Martin Ratio

^AMX:

-0.99

^AEX:

0.18

Ulcer Index

^AMX:

9.69%

^AEX:

5.29%

Daily Std Dev

^AMX:

16.42%

^AEX:

15.08%

Max Drawdown

^AMX:

-72.09%

^AEX:

-71.60%

Current Drawdown

^AMX:

-22.58%

^AEX:

-2.79%

Returns By Period

In the year-to-date period, ^AMX achieves a 3.21% return, which is significantly lower than ^AEX's 4.95% return. Over the past 10 years, ^AMX has underperformed ^AEX with an annualized return of 1.24%, while ^AEX has yielded a comparatively higher 6.41% annualized return.


^AMX

YTD

3.21%

1M

11.31%

6M

-1.56%

1Y

-8.03%

5Y*

4.79%

10Y*

1.24%

^AEX

YTD

4.95%

1M

12.51%

6M

4.99%

1Y

1.26%

5Y*

12.26%

10Y*

6.41%

*Annualized

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Risk-Adjusted Performance

^AMX vs. ^AEX — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^AMX
The Risk-Adjusted Performance Rank of ^AMX is 44
Overall Rank
The Sharpe Ratio Rank of ^AMX is 44
Sharpe Ratio Rank
The Sortino Ratio Rank of ^AMX is 22
Sortino Ratio Rank
The Omega Ratio Rank of ^AMX is 22
Omega Ratio Rank
The Calmar Ratio Rank of ^AMX is 77
Calmar Ratio Rank
The Martin Ratio Rank of ^AMX is 44
Martin Ratio Rank

^AEX
The Risk-Adjusted Performance Rank of ^AEX is 2323
Overall Rank
The Sharpe Ratio Rank of ^AEX is 2525
Sharpe Ratio Rank
The Sortino Ratio Rank of ^AEX is 2222
Sortino Ratio Rank
The Omega Ratio Rank of ^AEX is 2222
Omega Ratio Rank
The Calmar Ratio Rank of ^AEX is 2424
Calmar Ratio Rank
The Martin Ratio Rank of ^AEX is 2424
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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

This table presents a comparison of risk-adjusted performance metrics for AMX Index (^AMX) and AEX Index (^AEX). 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.


The current ^AMX Sharpe Ratio is -0.49, which is lower than the ^AEX Sharpe Ratio of 0.08. The chart below compares the historical Sharpe Ratios of ^AMX and ^AEX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Drawdowns

^AMX vs. ^AEX - Drawdown Comparison

The maximum ^AMX drawdown since its inception was -72.09%, roughly equal to the maximum ^AEX drawdown of -71.60%. Use the drawdown chart below to compare losses from any high point for ^AMX and ^AEX. For additional features, visit the drawdowns tool.


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Volatility

^AMX vs. ^AEX - Volatility Comparison

The current volatility for AMX Index (^AMX) is 3.62%, while AEX Index (^AEX) has a volatility of 6.07%. This indicates that ^AMX experiences smaller price fluctuations and is considered to be less risky than ^AEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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