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

Correlation

The correlation between ^FCHI and QQQ is 0.39, 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.


-0.50.00.51.00.4

Performance

^FCHI vs. QQQ - Performance Comparison

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

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-7.91%
7.59%
^FCHI
QQQ

Key characteristics

Sharpe Ratio

^FCHI:

-0.28

QQQ:

1.54

Sortino Ratio

^FCHI:

-0.31

QQQ:

2.06

Omega Ratio

^FCHI:

0.96

QQQ:

1.28

Calmar Ratio

^FCHI:

-0.27

QQQ:

2.03

Martin Ratio

^FCHI:

-0.52

QQQ:

7.34

Ulcer Index

^FCHI:

7.10%

QQQ:

3.75%

Daily Std Dev

^FCHI:

12.78%

QQQ:

17.90%

Max Drawdown

^FCHI:

-65.29%

QQQ:

-82.98%

Current Drawdown

^FCHI:

-11.48%

QQQ:

-4.03%

Returns By Period

In the year-to-date period, ^FCHI achieves a -3.30% return, which is significantly lower than QQQ's 26.66% return. Over the past 10 years, ^FCHI has underperformed QQQ with an annualized return of 5.45%, while QQQ has yielded a comparatively higher 18.30% annualized return.


^FCHI

YTD

-3.30%

1M

0.90%

6M

-4.91%

1Y

-3.81%

5Y*

3.84%

10Y*

5.45%

QQQ

YTD

26.66%

1M

3.29%

6M

6.76%

1Y

26.84%

5Y*

20.38%

10Y*

18.30%

Compare stocks, funds, or ETFs

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Risk-Adjusted Performance

^FCHI vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for CAC 40 (^FCHI) and Invesco QQQ (QQQ). 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 -0.61, compared to the broader market-1.000.001.002.00-0.611.50
The chart of Sortino ratio for ^FCHI, currently valued at -0.76, compared to the broader market-1.000.001.002.003.00-0.762.03
The chart of Omega ratio for ^FCHI, currently valued at 0.91, compared to the broader market0.800.901.001.101.201.301.400.911.28
The chart of Calmar ratio for ^FCHI, currently valued at -0.58, compared to the broader market0.001.002.003.004.00-0.581.97
The chart of Martin ratio for ^FCHI, currently valued at -1.21, compared to the broader market0.005.0010.0015.00-1.217.11
^FCHI
QQQ

The current ^FCHI Sharpe Ratio is -0.28, which is lower than the QQQ Sharpe Ratio of 1.54. The chart below compares the historical Sharpe Ratios of ^FCHI and QQQ, 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
-0.61
1.50
^FCHI
QQQ

Drawdowns

^FCHI vs. QQQ - Drawdown Comparison

The maximum ^FCHI drawdown since its inception was -65.29%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for ^FCHI and QQQ. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-15.70%
-4.03%
^FCHI
QQQ

Volatility

^FCHI vs. QQQ - Volatility Comparison

The current volatility for CAC 40 (^FCHI) is 3.49%, while Invesco QQQ (QQQ) has a volatility of 5.20%. This indicates that ^FCHI experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
3.49%
5.20%
^FCHI
QQQ
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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.

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