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AEME.L vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


AEME.L^GSPC
YTD Return7.93%15.41%
1Y Return9.81%21.39%
3Y Return (Ann)-3.86%8.41%
Sharpe Ratio0.511.82
Daily Std Dev18.86%11.28%
Max Drawdown-40.09%-56.78%
Current Drawdown-19.45%-2.86%

Correlation

-0.50.00.51.00.4

The correlation between AEME.L and ^GSPC is 0.39, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

AEME.L vs. ^GSPC - Performance Comparison

In the year-to-date period, AEME.L achieves a 7.93% return, which is significantly lower than ^GSPC's 15.41% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%0.00%20.00%40.00%FebruaryMarchAprilMayJuneJuly
-15.16%
43.87%
AEME.L
^GSPC

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Amundi Index MSCI Emerging Markets UCITS ETF DR (C)

S&P 500

Risk-Adjusted Performance

AEME.L vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Amundi Index MSCI Emerging Markets UCITS ETF DR (C) (AEME.L) and S&P 500 (^GSPC). 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.


AEME.L
Sharpe ratio
The chart of Sharpe ratio for AEME.L, currently valued at 0.37, compared to the broader market0.002.004.006.000.37
Sortino ratio
The chart of Sortino ratio for AEME.L, currently valued at 0.66, compared to the broader market0.005.0010.0015.000.66
Omega ratio
The chart of Omega ratio for AEME.L, currently valued at 1.09, compared to the broader market1.002.003.001.09
Calmar ratio
The chart of Calmar ratio for AEME.L, currently valued at 0.21, compared to the broader market0.005.0010.0015.0020.000.21
Martin ratio
The chart of Martin ratio for AEME.L, currently valued at 1.23, compared to the broader market0.0050.00100.00150.001.23
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.90, compared to the broader market0.002.004.006.001.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.69, compared to the broader market0.005.0010.0015.002.69
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.34, compared to the broader market1.002.003.001.34
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.51, compared to the broader market0.005.0010.0015.0020.001.51
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.06, compared to the broader market0.0050.00100.00150.007.06

AEME.L vs. ^GSPC - Sharpe Ratio Comparison

The current AEME.L Sharpe Ratio is 0.51, which is lower than the ^GSPC Sharpe Ratio of 1.82. The chart below compares the 12-month rolling Sharpe Ratio of AEME.L and ^GSPC.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
0.37
1.90
AEME.L
^GSPC

Drawdowns

AEME.L vs. ^GSPC - Drawdown Comparison

The maximum AEME.L drawdown since its inception was -40.09%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for AEME.L and ^GSPC. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%FebruaryMarchAprilMayJuneJuly
-19.45%
-2.86%
AEME.L
^GSPC

Volatility

AEME.L vs. ^GSPC - Volatility Comparison

Amundi Index MSCI Emerging Markets UCITS ETF DR (C) (AEME.L) has a higher volatility of 3.12% compared to S&P 500 (^GSPC) at 2.74%. This indicates that AEME.L's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%FebruaryMarchAprilMayJuneJuly
3.12%
2.74%
AEME.L
^GSPC