^FCHI vs. DAX
Compare and contrast key facts about CAC 40 (^FCHI) and Global X DAX Germany ETF (DAX).
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: ^FCHI or DAX.
Key characteristics
| ^FCHI | DAX | |
|---|---|---|
| YTD Return | -2.27% | 11.85% |
| 1Y Return | 4.60% | 26.48% |
| 3Y Return (Ann) | 1.52% | 3.13% |
| 5Y Return (Ann) | 4.60% | 6.64% |
| 10Y Return (Ann) | 5.73% | 5.36% |
| Sharpe Ratio | 0.39 | 1.98 |
| Sortino Ratio | 0.62 | 2.73 |
| Omega Ratio | 1.07 | 1.34 |
| Calmar Ratio | 0.36 | 1.66 |
| Martin Ratio | 0.83 | 10.10 |
| Ulcer Index | 5.81% | 2.77% |
| Daily Std Dev | 12.35% | 14.11% |
| Max Drawdown | -65.29% | -45.58% |
| Current Drawdown | -10.54% | -3.75% |
Correlation
The correlation between ^FCHI and DAX 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.
Performance
^FCHI vs. DAX - Performance Comparison
In the year-to-date period, ^FCHI achieves a -2.27% return, which is significantly lower than DAX's 11.85% return. Over the past 10 years, ^FCHI has outperformed DAX with an annualized return of 5.73%, while DAX has yielded a comparatively lower 5.36% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^FCHI vs. DAX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for CAC 40 (^FCHI) and Global X DAX Germany ETF (DAX). 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
^FCHI vs. DAX - Drawdown Comparison
The maximum ^FCHI drawdown since its inception was -65.29%, which is greater than DAX's maximum drawdown of -45.58%. Use the drawdown chart below to compare losses from any high point for ^FCHI and DAX. For additional features, visit the drawdowns tool.
Volatility
^FCHI vs. DAX - Volatility Comparison
CAC 40 (^FCHI) has a higher volatility of 3.16% compared to Global X DAX Germany ETF (DAX) at 2.98%. This indicates that ^FCHI's price experiences larger fluctuations and is considered to be riskier than DAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.