^FCHI vs. ^AEX
Compare and contrast key facts about CAC 40 (^FCHI) and AEX Index (^AEX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^FCHI or ^AEX.
Performance
^FCHI vs. ^AEX - Performance Comparison
Returns By Period
In the year-to-date period, ^FCHI achieves a -4.37% return, which is significantly lower than ^AEX's 10.08% return. Over the past 10 years, ^FCHI has underperformed ^AEX with an annualized return of 5.06%, while ^AEX has yielded a comparatively higher 7.32% annualized return.
^FCHI
-4.37%
-4.27%
-10.97%
-0.65%
4.06%
5.06%
^AEX
10.08%
-3.47%
-5.27%
13.96%
7.76%
7.32%
Key characteristics
| ^FCHI | ^AEX | |
|---|---|---|
| Sharpe Ratio | -0.06 | 1.12 |
| Sortino Ratio | 0.01 | 1.62 |
| Omega Ratio | 1.00 | 1.21 |
| Calmar Ratio | -0.05 | 1.46 |
| Martin Ratio | -0.11 | 3.97 |
| Ulcer Index | 6.36% | 3.36% |
| Daily Std Dev | 12.61% | 11.80% |
| Max Drawdown | -65.29% | -71.60% |
| Current Drawdown | -12.46% | -8.34% |
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Correlation
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.
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.
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.
Volatility
^FCHI vs. ^AEX - Volatility Comparison
CAC 40 (^FCHI) has a higher volatility of 5.29% compared to AEX Index (^AEX) at 4.69%. This indicates that ^FCHI's price experiences larger fluctuations and is considered to be riskier than ^AEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.