^FCHI vs. ^GDAXI
Compare and contrast key facts about CAC 40 (^FCHI) and DAX Performance Index (^GDAXI).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^FCHI or ^GDAXI.
Performance
^FCHI vs. ^GDAXI - Performance Comparison
Returns By Period
In the year-to-date period, ^FCHI achieves a -4.16% return, which is significantly lower than ^GDAXI's 13.78% return. Over the past 10 years, ^FCHI has underperformed ^GDAXI with an annualized return of 5.14%, while ^GDAXI has yielded a comparatively higher 6.91% annualized return.
^FCHI
-4.16%
-5.04%
-11.20%
-0.24%
4.15%
5.14%
^GDAXI
13.78%
-3.04%
1.78%
19.87%
7.64%
6.91%
Key characteristics
| ^FCHI | ^GDAXI | |
|---|---|---|
| Sharpe Ratio | -0.05 | 1.62 |
| Sortino Ratio | 0.01 | 2.23 |
| Omega Ratio | 1.00 | 1.28 |
| Calmar Ratio | -0.05 | 2.36 |
| Martin Ratio | -0.11 | 8.82 |
| Ulcer Index | 6.27% | 2.17% |
| Daily Std Dev | 12.60% | 11.76% |
| Max Drawdown | -65.29% | -72.68% |
| Current Drawdown | -12.26% | -3.04% |
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Correlation
The correlation between ^FCHI and ^GDAXI is 0.81, 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. ^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.
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.
Volatility
^FCHI vs. ^GDAXI - Volatility Comparison
CAC 40 (^FCHI) and DAX Performance Index (^GDAXI) have volatilities of 5.27% and 5.50%, 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.