^FCHI vs. SPY
^FCHI (CAC 40) is an index, while SPY (State Street SPDR S&P 500 ETF) is S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, ^FCHI returned 7.40%/yr vs 15.39%/yr for SPY. At a 0.46 correlation, their price movements are largely independent.
Performance
^FCHI vs. SPY - Performance Comparison
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Different Trading Currencies
^FCHI is traded in EUR, while SPY is traded in USD. To make them comparable, the SPY values have been converted to EUR using the latest available exchange rates.
Returns By Period
In the year-to-date period, ^FCHI achieves a 2.90% return, which is significantly lower than SPY's 11.78% return. Over the past 10 years, ^FCHI has underperformed SPY with an annualized return of 7.40%, while SPY has yielded a comparatively higher 15.39% annualized return.
^FCHI
- 1D
- 0.54%
- 1M
- 2.60%
- YTD
- 2.90%
- 6M
- 3.48%
- 1Y
- 10.95%
- 3Y*
- 5.39%
- 5Y*
- 4.83%
- 10Y*
- 7.40%
SPY
- 1D
- 0.00%
- 1M
- 0.28%
- YTD
- 11.78%
- 6M
- 10.71%
- 1Y
- 25.30%
- 3Y*
- 19.20%
- 5Y*
- 14.08%
- 10Y*
- 15.39%
^FCHI vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^FCHI CAC 40 | 2.90% | 10.42% | -2.15% | 16.52% | -9.50% | 28.85% | -7.14% | 26.37% | -10.95% | 9.26% |
SPY State Street SPDR S&P 500 ETF | 11.88% | 3.75% | 33.13% | 22.39% | -13.10% | 38.36% | 8.58% | 34.19% | -0.09% | 6.75% |
Correlation
The correlation between ^FCHI and SPY is 0.38, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.38 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.28 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.34 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.41 |
Correlation (All Time) Calculated using the full available price history since Sep 20, 2007 | 0.46 |
The correlation between ^FCHI and SPY shifts across timeframes, from 0.28 (3 years) to 0.46 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
^FCHI vs. SPY — Risk / Return Rank
^FCHI
SPY
^FCHI vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CAC 40 (^FCHI) and State Street SPDR S&P 500 ETF (SPY). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^FCHI | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.32 | ||
| Sortino ratioReturn per unit of downside risk | -1.51 | ||
| Omega ratioGain probability vs. loss probability | 1.14 | 1.37 | -0.24 |
| Calmar ratioReturn relative to maximum drawdown | 0.90 | 3.44 | -2.54 |
| Martin ratioReturn relative to average drawdown | 2.61 | 12.92 | -10.31 |
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Drawdowns
^FCHI vs. SPY - Drawdown Comparison
The maximum ^FCHI drawdown since its inception was -65.29%, which is greater than SPY's maximum drawdown of -49.85%. Use the drawdown chart below to compare losses from any high point for ^FCHI and SPY.
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Drawdown Indicators
| ^FCHI | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -65.29% | -49.85% | -15.44% |
Max Drawdown (1Y)Largest decline over 1 year | -11.08% | -7.38% | -3.70% |
Max Drawdown (3Y)Largest decline over 3 years | -16.71% | -23.87% | +7.16% |
Max Drawdown (5Y)Largest decline over 5 years | -23.04% | -23.87% | +0.83% |
Max Drawdown (10Y)Largest decline over 10 years | -38.56% | -33.22% | -5.34% |
Current DrawdownCurrent decline from peak | -2.73% | -0.92% | -1.81% |
Average DrawdownAverage peak-to-trough decline | -24.43% | -7.85% | -16.58% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.85% | 1.96% | +1.89% |
Volatility
^FCHI vs. SPY - Volatility Comparison
The current volatility for CAC 40 (^FCHI) is 3.00%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 3.94%. This indicates that ^FCHI experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^FCHI | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.00% | 3.94% | -0.94% |
Volatility (6M)Calculated over the trailing 6-month period | 11.33% | 9.11% | +2.22% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.22% | 12.54% | +1.68% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.42% | 17.03% | -0.61% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.45% | 18.48% | -1.03% |
Frequently Asked Questions
^FCHI and SPY have a correlation of 0.38, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPY has higher volatility (3.94%) compared to ^FCHI (3.00%). In terms of maximum drawdown, ^FCHI dropped -65.29% vs SPY's -49.85%.
SPY currently has the higher Sharpe Ratio (2.03 vs 0.70), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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