^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.
Key characteristics
^FCHI | ^AEX | |
---|---|---|
YTD Return | -2.30% | 11.26% |
1Y Return | 5.49% | 18.98% |
3Y Return (Ann) | 1.51% | 2.18% |
5Y Return (Ann) | 4.51% | 7.86% |
10Y Return (Ann) | 5.72% | 7.73% |
Sharpe Ratio | 0.37 | 1.48 |
Sortino Ratio | 0.60 | 2.09 |
Omega Ratio | 1.07 | 1.28 |
Calmar Ratio | 0.34 | 1.93 |
Martin Ratio | 0.78 | 5.98 |
Ulcer Index | 5.88% | 2.89% |
Daily Std Dev | 12.33% | 11.77% |
Max Drawdown | -65.29% | -71.60% |
Current Drawdown | -10.56% | -7.36% |
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.
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.
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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.
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
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.