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

Key characteristics


^FCHI^AEX
YTD Return-2.30%11.26%
1Y Return5.49%18.98%
3Y Return (Ann)1.51%2.18%
5Y Return (Ann)4.51%7.86%
10Y Return (Ann)5.72%7.73%
Sharpe Ratio0.371.48
Sortino Ratio0.602.09
Omega Ratio1.071.28
Calmar Ratio0.341.93
Martin Ratio0.785.98
Ulcer Index5.88%2.89%
Daily Std Dev12.33%11.77%
Max Drawdown-65.29%-71.60%
Current Drawdown-10.56%-7.36%

Correlation

-0.50.00.51.00.8

The correlation between ^FCHI and ^AEX is 0.83, 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

^FCHI vs. ^AEX - Performance Comparison

In the year-to-date period, ^FCHI achieves a -2.30% return, which is significantly lower than ^AEX's 11.26% return. Over the past 10 years, ^FCHI has underperformed ^AEX with an annualized return of 5.72%, while ^AEX has yielded a comparatively higher 7.73% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
-9.50%
-2.83%
^FCHI
^AEX

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Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for CAC 40 (^FCHI) 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.


^FCHI
Sharpe ratio
The chart of Sharpe ratio for ^FCHI, currently valued at 0.34, compared to the broader market-1.000.001.002.003.000.34
Sortino ratio
The chart of Sortino ratio for ^FCHI, currently valued at 0.58, compared to the broader market-1.000.001.002.003.004.000.58
Omega ratio
The chart of Omega ratio for ^FCHI, currently valued at 1.07, compared to the broader market1.001.201.401.601.07
Calmar ratio
The chart of Calmar ratio for ^FCHI, currently valued at 0.39, compared to the broader market0.001.002.003.004.000.39
Martin ratio
The chart of Martin ratio for ^FCHI, currently valued at 0.87, compared to the broader market0.005.0010.0015.0020.000.87
^AEX
Sharpe ratio
The chart of Sharpe ratio for ^AEX, currently valued at 1.34, compared to the broader market-1.000.001.002.003.001.34
Sortino ratio
The chart of Sortino ratio for ^AEX, currently valued at 1.95, compared to the broader market-1.000.001.002.003.004.001.95
Omega ratio
The chart of Omega ratio for ^AEX, currently valued at 1.23, compared to the broader market1.001.201.401.601.23
Calmar ratio
The chart of Calmar ratio for ^AEX, currently valued at 1.19, compared to the broader market0.001.002.003.004.001.19
Martin ratio
The chart of Martin ratio for ^AEX, currently valued at 6.32, compared to the broader market0.005.0010.0015.0020.006.32

^FCHI vs. ^AEX - Sharpe Ratio Comparison

The current ^FCHI Sharpe Ratio is 0.37, which is lower than the ^AEX Sharpe Ratio of 1.48. The chart below compares the historical Sharpe Ratios of ^FCHI 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.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
0.34
1.34
^FCHI
^AEX

Drawdowns

^FCHI vs. ^AEX - Drawdown Comparison

The maximum ^FCHI drawdown since its inception was -65.29%, smaller than the maximum ^AEX drawdown of -71.60%. Use the drawdown chart below to compare losses from any high point for ^FCHI and ^AEX. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-11.82%
-8.86%
^FCHI
^AEX

Volatility

^FCHI vs. ^AEX - Volatility Comparison

The current volatility for CAC 40 (^FCHI) is 3.97%, while AEX Index (^AEX) has a volatility of 4.77%. This indicates that ^FCHI 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.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.97%
4.77%
^FCHI
^AEX