DAX vs. ^FCHI
Compare and contrast key facts about Global X DAX Germany ETF (DAX) and CAC 40 (^FCHI).
DAX is a passively managed fund by Global X that tracks the performance of the DAX Index. It was launched on Oct 22, 2014.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DAX or ^FCHI.
Performance
DAX vs. ^FCHI - Performance Comparison
Returns By Period
In the year-to-date period, DAX achieves a 9.13% return, which is significantly higher than ^FCHI's -3.51% return. Over the past 10 years, DAX has underperformed ^FCHI with an annualized return of 4.67%, while ^FCHI has yielded a comparatively higher 5.21% annualized return.
DAX
9.13%
-4.93%
-0.60%
15.95%
6.22%
4.67%
^FCHI
-3.51%
-4.40%
-11.20%
0.61%
4.24%
5.21%
Key characteristics
| DAX | ^FCHI | |
|---|---|---|
| Sharpe Ratio | 1.20 | 0.02 |
| Sortino Ratio | 1.69 | 0.11 |
| Omega Ratio | 1.21 | 1.01 |
| Calmar Ratio | 1.61 | 0.02 |
| Martin Ratio | 5.84 | 0.04 |
| Ulcer Index | 2.97% | 6.22% |
| Daily Std Dev | 14.40% | 12.61% |
| Max Drawdown | -45.58% | -65.29% |
| Current Drawdown | -6.09% | -11.67% |
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Correlation
The correlation between DAX and ^FCHI is 0.75, 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
DAX vs. ^FCHI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Global X DAX Germany ETF (DAX) 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
DAX vs. ^FCHI - Drawdown Comparison
The maximum DAX drawdown since its inception was -45.58%, smaller than the maximum ^FCHI drawdown of -65.29%. Use the drawdown chart below to compare losses from any high point for DAX and ^FCHI. For additional features, visit the drawdowns tool.
Volatility
DAX vs. ^FCHI - Volatility Comparison
The current volatility for Global X DAX Germany ETF (DAX) is 4.99%, while CAC 40 (^FCHI) has a volatility of 5.38%. This indicates that DAX experiences smaller price fluctuations and is considered to be less risky than ^FCHI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.