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

Key characteristics


^FCHISPY
YTD Return-2.27%21.01%
1Y Return4.60%32.86%
3Y Return (Ann)1.52%8.37%
5Y Return (Ann)4.60%14.97%
10Y Return (Ann)5.73%12.86%
Sharpe Ratio0.392.83
Sortino Ratio0.623.76
Omega Ratio1.071.53
Calmar Ratio0.364.05
Martin Ratio0.8318.38
Ulcer Index5.81%1.85%
Daily Std Dev12.35%12.02%
Max Drawdown-65.29%-55.19%
Current Drawdown-10.54%-2.53%

Correlation

-0.50.00.51.00.4

The correlation between ^FCHI and SPY is 0.44, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

^FCHI vs. SPY - Performance Comparison

In the year-to-date period, ^FCHI achieves a -2.27% return, which is significantly lower than SPY's 21.01% return. Over the past 10 years, ^FCHI has underperformed SPY with an annualized return of 5.73%, while SPY has yielded a comparatively higher 12.86% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-6.87%
11.00%
^FCHI
SPY

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Risk-Adjusted Performance

^FCHI vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for CAC 40 (^FCHI) and SPDR S&P 500 ETF (SPY). 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.


^FCHI
Sharpe ratio
The chart of Sharpe ratio for ^FCHI, currently valued at 0.40, compared to the broader market-1.000.001.002.003.000.40
Sortino ratio
The chart of Sortino ratio for ^FCHI, currently valued at 0.66, compared to the broader market-1.000.001.002.003.004.000.66
Omega ratio
The chart of Omega ratio for ^FCHI, currently valued at 1.08, compared to the broader market0.801.001.201.401.601.08
Calmar ratio
The chart of Calmar ratio for ^FCHI, currently valued at 0.44, compared to the broader market0.001.002.003.004.000.44
Martin ratio
The chart of Martin ratio for ^FCHI, currently valued at 1.00, compared to the broader market0.005.0010.0015.0020.001.00
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.63, compared to the broader market-1.000.001.002.003.002.63
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.50, compared to the broader market-1.000.001.002.003.004.003.50
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.50
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 3.71, compared to the broader market0.001.002.003.004.003.71
Martin ratio
The chart of Martin ratio for SPY, currently valued at 16.84, compared to the broader market0.005.0010.0015.0020.0016.84

^FCHI vs. SPY - Sharpe Ratio Comparison

The current ^FCHI Sharpe Ratio is 0.39, which is lower than the SPY Sharpe Ratio of 2.83. The chart below compares the historical Sharpe Ratios of ^FCHI and SPY, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
0.40
2.63
^FCHI
SPY

Drawdowns

^FCHI vs. SPY - Drawdown Comparison

The maximum ^FCHI drawdown since its inception was -65.29%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^FCHI and SPY. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-10.57%
-2.53%
^FCHI
SPY

Volatility

^FCHI vs. SPY - Volatility Comparison

CAC 40 (^FCHI) and SPDR S&P 500 ETF (SPY) have volatilities of 3.16% and 3.15%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.16%
3.15%
^FCHI
SPY