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^AMX vs. ^AEX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^AMX and ^AEX is 0.37, 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

^AMX vs. ^AEX - Performance Comparison

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

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Key characteristics

Sharpe Ratio

^AMX:

-0.48

^AEX:

0.01

Sortino Ratio

^AMX:

-0.71

^AEX:

0.05

Omega Ratio

^AMX:

0.91

^AEX:

1.01

Calmar Ratio

^AMX:

-0.30

^AEX:

-0.03

Martin Ratio

^AMX:

-1.02

^AEX:

-0.10

Ulcer Index

^AMX:

9.67%

^AEX:

5.29%

Daily Std Dev

^AMX:

16.47%

^AEX:

14.97%

Max Drawdown

^AMX:

-72.09%

^AEX:

-71.60%

Current Drawdown

^AMX:

-22.52%

^AEX:

-4.51%

Returns By Period

In the year-to-date period, ^AMX achieves a 3.28% return, which is significantly higher than ^AEX's 3.09% return. Over the past 10 years, ^AMX has underperformed ^AEX with an annualized return of 1.25%, while ^AEX has yielded a comparatively higher 6.22% annualized return.


^AMX

YTD

3.28%

1M

11.40%

6M

-0.55%

1Y

-7.96%

5Y*

4.28%

10Y*

1.25%

^AEX

YTD

3.09%

1M

10.52%

6M

3.61%

1Y

-0.53%

5Y*

11.52%

10Y*

6.22%

*Annualized

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Risk-Adjusted Performance

^AMX vs. ^AEX — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^AMX
The Risk-Adjusted Performance Rank of ^AMX is 44
Overall Rank
The Sharpe Ratio Rank of ^AMX is 66
Sharpe Ratio Rank
The Sortino Ratio Rank of ^AMX is 33
Sortino Ratio Rank
The Omega Ratio Rank of ^AMX is 33
Omega Ratio Rank
The Calmar Ratio Rank of ^AMX is 66
Calmar Ratio Rank
The Martin Ratio Rank of ^AMX is 33
Martin Ratio Rank

^AEX
The Risk-Adjusted Performance Rank of ^AEX is 2121
Overall Rank
The Sharpe Ratio Rank of ^AEX is 2323
Sharpe Ratio Rank
The Sortino Ratio Rank of ^AEX is 1818
Sortino Ratio Rank
The Omega Ratio Rank of ^AEX is 1818
Omega Ratio Rank
The Calmar Ratio Rank of ^AEX is 2121
Calmar Ratio Rank
The Martin Ratio Rank of ^AEX is 2121
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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

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


The current ^AMX Sharpe Ratio is -0.48, which is lower than the ^AEX Sharpe Ratio of 0.01. The chart below compares the historical Sharpe Ratios of ^AMX and ^AEX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Drawdowns

^AMX vs. ^AEX - Drawdown Comparison

The maximum ^AMX drawdown since its inception was -72.09%, roughly equal to the maximum ^AEX drawdown of -71.60%. Use the drawdown chart below to compare losses from any high point for ^AMX and ^AEX. For additional features, visit the drawdowns tool.


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Volatility

^AMX vs. ^AEX - Volatility Comparison

The current volatility for AMX Index (^AMX) is 4.91%, while AEX Index (^AEX) has a volatility of 6.37%. This indicates that ^AMX experiences smaller price fluctuations and is considered to be less risky than ^AEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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