PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^AEX vs. ^FCHI
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^AEX and ^FCHI is 0.83, 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.


-0.50.00.51.00.8

Performance

^AEX vs. ^FCHI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AEX Index (^AEX) and CAC 40 (^FCHI). The values are adjusted to include any dividend payments, if applicable.

350.00%400.00%450.00%500.00%550.00%600.00%650.00%700.00%JulyAugustSeptemberOctoberNovemberDecember
581.79%
353.11%
^AEX
^FCHI

Key characteristics

Sharpe Ratio

^AEX:

0.93

^FCHI:

-0.27

Sortino Ratio

^AEX:

1.37

^FCHI:

-0.28

Omega Ratio

^AEX:

1.18

^FCHI:

0.97

Calmar Ratio

^AEX:

1.23

^FCHI:

-0.26

Martin Ratio

^AEX:

2.97

^FCHI:

-0.48

Ulcer Index

^AEX:

3.78%

^FCHI:

7.13%

Daily Std Dev

^AEX:

11.97%

^FCHI:

12.78%

Max Drawdown

^AEX:

-71.60%

^FCHI:

-65.29%

Current Drawdown

^AEX:

-7.35%

^FCHI:

-11.72%

Returns By Period

In the year-to-date period, ^AEX achieves a 11.26% return, which is significantly higher than ^FCHI's -3.56% return. Over the past 10 years, ^AEX has outperformed ^FCHI with an annualized return of 7.34%, while ^FCHI has yielded a comparatively lower 5.28% annualized return.


^AEX

YTD

11.26%

1M

1.96%

6M

-5.38%

1Y

10.83%

5Y*

7.40%

10Y*

7.34%

^FCHI

YTD

-3.56%

1M

1.06%

6M

-4.64%

1Y

-3.92%

5Y*

3.79%

10Y*

5.28%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^AEX vs. ^FCHI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AEX Index (^AEX) 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.


Sharpe ratio
The chart of Sharpe ratio for ^AEX, currently valued at 0.37, compared to the broader market0.001.002.000.37-0.59
The chart of Sortino ratio for ^AEX, currently valued at 0.61, compared to the broader market-1.000.001.002.003.000.61-0.73
The chart of Omega ratio for ^AEX, currently valued at 1.07, compared to the broader market0.901.001.101.201.301.401.070.92
The chart of Calmar ratio for ^AEX, currently valued at 0.40, compared to the broader market0.001.002.003.000.40-0.57
The chart of Martin ratio for ^AEX, currently valued at 1.08, compared to the broader market0.005.0010.0015.0020.001.08-1.17
^AEX
^FCHI

The current ^AEX Sharpe Ratio is 0.93, which is higher than the ^FCHI Sharpe Ratio of -0.27. The chart below compares the historical Sharpe Ratios of ^AEX and ^FCHI, 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 Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.37
-0.59
^AEX
^FCHI

Drawdowns

^AEX vs. ^FCHI - Drawdown Comparison

The maximum ^AEX drawdown since its inception was -71.60%, which is greater than ^FCHI's maximum drawdown of -65.29%. Use the drawdown chart below to compare losses from any high point for ^AEX and ^FCHI. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-11.40%
-15.39%
^AEX
^FCHI

Volatility

^AEX vs. ^FCHI - Volatility Comparison

The current volatility for AEX Index (^AEX) is 2.93%, while CAC 40 (^FCHI) has a volatility of 3.48%. This indicates that ^AEX 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.93%
3.48%
^AEX
^FCHI
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab