^FCHI vs. ^IBEX
Compare and contrast key facts about CAC 40 (^FCHI) and IBEX 35 Index (^IBEX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^FCHI or ^IBEX.
Performance
^FCHI vs. ^IBEX - Performance Comparison
Returns By Period
In the year-to-date period, ^FCHI achieves a -3.82% return, which is significantly lower than ^IBEX's 15.39% return. Over the past 10 years, ^FCHI has outperformed ^IBEX with an annualized return of 5.11%, while ^IBEX has yielded a comparatively lower 0.90% annualized return.
^FCHI
-3.82%
-3.31%
-10.38%
-0.52%
4.06%
5.11%
^IBEX
15.39%
-1.55%
3.65%
17.28%
4.49%
0.90%
Key characteristics
| ^FCHI | ^IBEX | |
|---|---|---|
| Sharpe Ratio | 0.01 | 1.15 |
| Sortino Ratio | 0.09 | 1.62 |
| Omega Ratio | 1.01 | 1.20 |
| Calmar Ratio | 0.01 | 0.39 |
| Martin Ratio | 0.01 | 5.61 |
| Ulcer Index | 6.41% | 2.67% |
| Daily Std Dev | 12.62% | 12.86% |
| Max Drawdown | -65.29% | -62.65% |
| Current Drawdown | -11.95% | -26.90% |
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Correlation
The correlation between ^FCHI and ^IBEX 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. ^IBEX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for CAC 40 (^FCHI) and IBEX 35 Index (^IBEX). 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. ^IBEX - Drawdown Comparison
The maximum ^FCHI drawdown since its inception was -65.29%, roughly equal to the maximum ^IBEX drawdown of -62.65%. Use the drawdown chart below to compare losses from any high point for ^FCHI and ^IBEX. For additional features, visit the drawdowns tool.
Volatility
^FCHI vs. ^IBEX - Volatility Comparison
The current volatility for CAC 40 (^FCHI) is 5.24%, while IBEX 35 Index (^IBEX) has a volatility of 6.25%. This indicates that ^FCHI experiences smaller price fluctuations and is considered to be less risky than ^IBEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.