^IBEX vs. ^FCHI
Compare and contrast key facts about IBEX 35 Index (^IBEX) and CAC 40 (^FCHI).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^IBEX or ^FCHI.
Performance
^IBEX vs. ^FCHI - Performance Comparison
Returns By Period
In the year-to-date period, ^IBEX achieves a 15.57% return, which is significantly higher than ^FCHI's -3.51% return. Over the past 10 years, ^IBEX has underperformed ^FCHI with an annualized return of 1.03%, while ^FCHI has yielded a comparatively higher 5.21% annualized return.
^IBEX
15.57%
-2.10%
2.96%
19.60%
4.73%
1.03%
^FCHI
-3.51%
-4.40%
-11.20%
0.61%
4.24%
5.21%
Key characteristics
| ^IBEX | ^FCHI | |
|---|---|---|
| Sharpe Ratio | 1.35 | 0.02 |
| Sortino Ratio | 1.87 | 0.11 |
| Omega Ratio | 1.23 | 1.01 |
| Calmar Ratio | 0.46 | 0.02 |
| Martin Ratio | 6.64 | 0.04 |
| Ulcer Index | 2.63% | 6.22% |
| Daily Std Dev | 12.89% | 12.61% |
| Max Drawdown | -62.65% | -65.29% |
| Current Drawdown | -26.78% | -11.67% |
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Correlation
The correlation between ^IBEX and ^FCHI is 0.81, 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
^IBEX vs. ^FCHI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for IBEX 35 Index (^IBEX) and CAC 40 (^FCHI). 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
^IBEX vs. ^FCHI - Drawdown Comparison
The maximum ^IBEX drawdown since its inception was -62.65%, roughly equal to the maximum ^FCHI drawdown of -65.29%. Use the drawdown chart below to compare losses from any high point for ^IBEX and ^FCHI. For additional features, visit the drawdowns tool.
Volatility
^IBEX vs. ^FCHI - Volatility Comparison
IBEX 35 Index (^IBEX) has a higher volatility of 6.32% compared to CAC 40 (^FCHI) at 5.38%. This indicates that ^IBEX's price experiences larger fluctuations and is considered to be riskier than ^FCHI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.