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^FCHI vs. DAX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Performance

^FCHI vs. DAX - Performance Comparison

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

-15.00%-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
-13.29%
-0.60%
^FCHI
DAX

Returns By Period

In the year-to-date period, ^FCHI achieves a -3.51% return, which is significantly lower than DAX's 9.13% return. Over the past 10 years, ^FCHI has outperformed DAX with an annualized return of 5.21%, while DAX has yielded a comparatively lower 4.67% annualized return.


^FCHI

YTD

-3.51%

1M

-4.40%

6M

-11.20%

1Y

0.61%

5Y (annualized)

4.24%

10Y (annualized)

5.21%

DAX

YTD

9.13%

1M

-4.93%

6M

-0.60%

1Y

15.95%

5Y (annualized)

6.22%

10Y (annualized)

4.67%

Key characteristics


^FCHIDAX
Sharpe Ratio0.021.20
Sortino Ratio0.111.69
Omega Ratio1.011.21
Calmar Ratio0.021.61
Martin Ratio0.045.84
Ulcer Index6.22%2.97%
Daily Std Dev12.61%14.40%
Max Drawdown-65.29%-45.58%
Current Drawdown-11.67%-6.09%

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Correlation

-0.50.00.51.00.7

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.

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.


Sharpe ratio
The chart of Sharpe ratio for ^FCHI, currently valued at -0.20, compared to the broader market-1.000.001.002.003.00-0.211.06
The chart of Sortino ratio for ^FCHI, currently valued at -0.18, compared to the broader market-1.000.001.002.003.004.00-0.181.51
The chart of Omega ratio for ^FCHI, currently valued at 0.98, compared to the broader market0.801.001.201.401.600.981.19
The chart of Calmar ratio for ^FCHI, currently valued at -0.20, compared to the broader market0.001.002.003.004.005.00-0.201.57
The chart of Martin ratio for ^FCHI, currently valued at -0.48, compared to the broader market0.005.0010.0015.0020.00-0.485.05
^FCHI
DAX

The current ^FCHI Sharpe Ratio is 0.02, which is lower than the DAX Sharpe Ratio of 1.20. The chart below compares the historical Sharpe Ratios of ^FCHI and DAX, 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-0.500.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
-0.21
1.06
^FCHI
DAX

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.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-13.96%
-6.09%
^FCHI
DAX

Volatility

^FCHI vs. DAX - Volatility Comparison

CAC 40 (^FCHI) has a higher volatility of 5.38% compared to Global X DAX Germany ETF (DAX) at 4.99%. 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.


3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
5.38%
4.99%
^FCHI
DAX