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

Correlation

The correlation between ^FCHI and ^GDAXI is 0.49, 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.


-0.50.00.51.0
Correlation: 0.5

Performance

^FCHI vs. ^GDAXI - Performance Comparison

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

50.00%100.00%150.00%200.00%250.00%300.00%NovemberDecember2025FebruaryMarchApril
74.56%
306.83%
^FCHI
^GDAXI

Key characteristics

Sharpe Ratio

^FCHI:

-0.34

^GDAXI:

1.27

Sortino Ratio

^FCHI:

-0.35

^GDAXI:

1.78

Omega Ratio

^FCHI:

0.96

^GDAXI:

1.24

Calmar Ratio

^FCHI:

-0.34

^GDAXI:

1.40

Martin Ratio

^FCHI:

-0.68

^GDAXI:

6.48

Ulcer Index

^FCHI:

8.22%

^GDAXI:

3.47%

Daily Std Dev

^FCHI:

16.70%

^GDAXI:

17.63%

Max Drawdown

^FCHI:

-65.29%

^GDAXI:

-72.68%

Current Drawdown

^FCHI:

-8.54%

^GDAXI:

-5.03%

Returns By Period

In the year-to-date period, ^FCHI achieves a 2.11% return, which is significantly lower than ^GDAXI's 11.72% return. Over the past 10 years, ^FCHI has underperformed ^GDAXI with an annualized return of 4.04%, while ^GDAXI has yielded a comparatively higher 6.84% annualized return.


^FCHI

YTD

2.11%

1M

-5.68%

6M

0.52%

1Y

-6.82%

5Y*

10.65%

10Y*

4.04%

^GDAXI

YTD

11.72%

1M

-1.92%

6M

14.28%

1Y

22.47%

5Y*

15.66%

10Y*

6.84%

*Annualized

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Risk-Adjusted Performance

^FCHI vs. ^GDAXI — Risk-Adjusted Performance Rank

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

^FCHI
The Risk-Adjusted Performance Rank of ^FCHI is 1313
Overall Rank
The Sharpe Ratio Rank of ^FCHI is 1313
Sharpe Ratio Rank
The Sortino Ratio Rank of ^FCHI is 1414
Sortino Ratio Rank
The Omega Ratio Rank of ^FCHI is 1414
Omega Ratio Rank
The Calmar Ratio Rank of ^FCHI is 66
Calmar Ratio Rank
The Martin Ratio Rank of ^FCHI is 1616
Martin Ratio Rank

^GDAXI
The Risk-Adjusted Performance Rank of ^GDAXI is 9797
Overall Rank
The Sharpe Ratio Rank of ^GDAXI is 9696
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GDAXI is 9696
Sortino Ratio Rank
The Omega Ratio Rank of ^GDAXI is 9696
Omega Ratio Rank
The Calmar Ratio Rank of ^GDAXI is 9999
Calmar Ratio Rank
The Martin Ratio Rank of ^GDAXI is 9797
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.

^FCHI vs. ^GDAXI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for CAC 40 (^FCHI) and DAX Performance Index (^GDAXI). 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 chart of Sharpe ratio for ^FCHI, currently valued at 0.03, compared to the broader market-0.500.000.501.001.50
^FCHI: 0.03
^GDAXI: 1.58
The chart of Sortino ratio for ^FCHI, currently valued at 0.18, compared to the broader market-1.00-0.500.000.501.001.502.00
^FCHI: 0.18
^GDAXI: 2.25
The chart of Omega ratio for ^FCHI, currently valued at 1.02, compared to the broader market0.901.001.101.201.30
^FCHI: 1.02
^GDAXI: 1.30
The chart of Calmar ratio for ^FCHI, currently valued at 0.03, compared to the broader market-0.500.000.501.00
^FCHI: 0.03
^GDAXI: 2.03
The chart of Martin ratio for ^FCHI, currently valued at 0.06, compared to the broader market0.002.004.006.00
^FCHI: 0.06
^GDAXI: 8.12

The current ^FCHI Sharpe Ratio is -0.34, which is lower than the ^GDAXI Sharpe Ratio of 1.27. The chart below compares the historical Sharpe Ratios of ^FCHI and ^GDAXI, 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-1.000.001.002.003.00NovemberDecember2025FebruaryMarchApril
0.03
1.58
^FCHI
^GDAXI

Drawdowns

^FCHI vs. ^GDAXI - Drawdown Comparison

The maximum ^FCHI drawdown since its inception was -65.29%, smaller than the maximum ^GDAXI drawdown of -72.68%. Use the drawdown chart below to compare losses from any high point for ^FCHI and ^GDAXI. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-4.52%
-1.24%
^FCHI
^GDAXI

Volatility

^FCHI vs. ^GDAXI - Volatility Comparison

The current volatility for CAC 40 (^FCHI) is 11.82%, while DAX Performance Index (^GDAXI) has a volatility of 12.49%. This indicates that ^FCHI experiences smaller price fluctuations and is considered to be less risky than ^GDAXI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%NovemberDecember2025FebruaryMarchApril
11.82%
12.49%
^FCHI
^GDAXI