PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^FCHI vs. ^GDAXI
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


^FCHI^GDAXI
YTD Return-2.27%14.30%
1Y Return4.60%26.06%
3Y Return (Ann)1.52%5.96%
5Y Return (Ann)4.60%7.67%
10Y Return (Ann)5.73%7.46%
Sharpe Ratio0.392.23
Sortino Ratio0.623.03
Omega Ratio1.071.39
Calmar Ratio0.363.17
Martin Ratio0.8312.19
Ulcer Index5.81%2.11%
Daily Std Dev12.35%11.46%
Max Drawdown-65.29%-72.68%
Current Drawdown-10.54%-2.59%

Correlation

-0.50.00.51.00.8

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.

Performance

^FCHI vs. ^GDAXI - Performance Comparison

In the year-to-date period, ^FCHI achieves a -2.27% return, which is significantly lower than ^GDAXI's 14.30% return. Over the past 10 years, ^FCHI has underperformed ^GDAXI with an annualized return of 5.73%, while ^GDAXI has yielded a comparatively higher 7.46% 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%
6.43%
^FCHI
^GDAXI

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


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.


^FCHI
Sharpe ratio
The chart of Sharpe ratio for ^FCHI, currently valued at 0.44, compared to the broader market-1.000.001.002.003.000.44
Sortino ratio
The chart of Sortino ratio for ^FCHI, currently valued at 0.72, compared to the broader market-1.000.001.002.003.004.000.72
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 0.50, compared to the broader market0.001.002.003.004.000.50
Martin ratio
The chart of Martin ratio for ^FCHI, currently valued at 1.13, compared to the broader market0.005.0010.0015.0020.001.13
^GDAXI
Sharpe ratio
The chart of Sharpe ratio for ^GDAXI, currently valued at 2.03, compared to the broader market-1.000.001.002.003.002.03
Sortino ratio
The chart of Sortino ratio for ^GDAXI, currently valued at 2.83, compared to the broader market-1.000.001.002.003.004.002.83
Omega ratio
The chart of Omega ratio for ^GDAXI, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.35
Calmar ratio
The chart of Calmar ratio for ^GDAXI, currently valued at 1.87, compared to the broader market0.001.002.003.004.001.87
Martin ratio
The chart of Martin ratio for ^GDAXI, currently valued at 10.48, compared to the broader market0.005.0010.0015.0020.0010.48

^FCHI vs. ^GDAXI - Sharpe Ratio Comparison

The current ^FCHI Sharpe Ratio is 0.39, which is lower than the ^GDAXI Sharpe Ratio of 2.23. 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-0.500.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
0.44
2.03
^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.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-10.57%
-4.19%
^FCHI
^GDAXI

Volatility

^FCHI vs. ^GDAXI - Volatility Comparison

CAC 40 (^FCHI) has a higher volatility of 3.16% compared to DAX Performance Index (^GDAXI) at 2.75%. This indicates that ^FCHI's price experiences larger fluctuations and is considered to be riskier than ^GDAXI 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
3.16%
2.75%
^FCHI
^GDAXI