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^FCHI vs. AI.PA
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


^FCHIAI.PA
YTD Return-2.71%2.64%
1Y Return3.16%8.82%
3Y Return (Ann)1.35%10.74%
5Y Return (Ann)4.42%12.23%
10Y Return (Ann)5.54%11.75%
Sharpe Ratio0.170.39
Sortino Ratio0.320.71
Omega Ratio1.041.09
Calmar Ratio0.160.80
Martin Ratio0.361.61
Ulcer Index5.96%4.31%
Daily Std Dev12.39%17.66%
Max Drawdown-65.29%-39.43%
Current Drawdown-10.94%-8.33%

Correlation

-0.50.00.51.00.7

The correlation between ^FCHI and AI.PA is 0.73, 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. AI.PA - Performance Comparison

In the year-to-date period, ^FCHI achieves a -2.71% return, which is significantly lower than AI.PA's 2.64% return. Over the past 10 years, ^FCHI has underperformed AI.PA with an annualized return of 5.54%, while AI.PA has yielded a comparatively higher 11.75% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


500.00%1,000.00%1,500.00%2,000.00%2,500.00%3,000.00%JuneJulyAugustSeptemberOctoberNovember
264.87%
2,763.40%
^FCHI
AI.PA

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Risk-Adjusted Performance

^FCHI vs. AI.PA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for CAC 40 (^FCHI) and L'Air Liquide S.A. (AI.PA). 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 0.04, compared to the broader market-1.000.001.002.003.000.04
Sortino ratio
The chart of Sortino ratio for ^FCHI, currently valued at 0.16, compared to the broader market-1.000.001.002.003.004.000.16
Omega ratio
The chart of Omega ratio for ^FCHI, currently valued at 1.02, compared to the broader market1.001.201.401.601.02
Calmar ratio
The chart of Calmar ratio for ^FCHI, currently valued at 0.05, compared to the broader market0.001.002.003.004.000.05
Martin ratio
The chart of Martin ratio for ^FCHI, currently valued at 0.10, compared to the broader market-5.000.005.0010.0015.0020.000.10
AI.PA
Sharpe ratio
The chart of Sharpe ratio for AI.PA, currently valued at 0.27, compared to the broader market-1.000.001.002.003.000.27
Sortino ratio
The chart of Sortino ratio for AI.PA, currently valued at 0.54, compared to the broader market-1.000.001.002.003.004.000.54
Omega ratio
The chart of Omega ratio for AI.PA, currently valued at 1.06, compared to the broader market1.001.201.401.601.06
Calmar ratio
The chart of Calmar ratio for AI.PA, currently valued at 0.45, compared to the broader market0.001.002.003.004.000.45
Martin ratio
The chart of Martin ratio for AI.PA, currently valued at 1.03, compared to the broader market-5.000.005.0010.0015.0020.001.03

^FCHI vs. AI.PA - Sharpe Ratio Comparison

The current ^FCHI Sharpe Ratio is 0.17, which is lower than the AI.PA Sharpe Ratio of 0.39. The chart below compares the historical Sharpe Ratios of ^FCHI and AI.PA, 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 Ratio0.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
0.04
0.27
^FCHI
AI.PA

Drawdowns

^FCHI vs. AI.PA - Drawdown Comparison

The maximum ^FCHI drawdown since its inception was -65.29%, which is greater than AI.PA's maximum drawdown of -39.43%. Use the drawdown chart below to compare losses from any high point for ^FCHI and AI.PA. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-12.31%
-12.02%
^FCHI
AI.PA

Volatility

^FCHI vs. AI.PA - Volatility Comparison

The current volatility for CAC 40 (^FCHI) is 4.68%, while L'Air Liquide S.A. (AI.PA) has a volatility of 5.69%. This indicates that ^FCHI experiences smaller price fluctuations and is considered to be less risky than AI.PA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.68%
5.69%
^FCHI
AI.PA