^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.
Key characteristics
| ^FCHI | ^IBEX | |
|---|---|---|
| YTD Return | -2.27% | 16.86% |
| 1Y Return | 4.60% | 27.02% |
| 3Y Return (Ann) | 1.52% | 8.76% |
| 5Y Return (Ann) | 4.60% | 4.58% |
| 10Y Return (Ann) | 5.73% | 1.52% |
| Sharpe Ratio | 0.39 | 1.97 |
| Sortino Ratio | 0.62 | 2.73 |
| Omega Ratio | 1.07 | 1.33 |
| Calmar Ratio | 0.36 | 0.62 |
| Martin Ratio | 0.83 | 9.80 |
| Ulcer Index | 5.81% | 2.53% |
| Daily Std Dev | 12.35% | 12.54% |
| Max Drawdown | -65.29% | -62.65% |
| Current Drawdown | -10.54% | -25.97% |
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.
Performance
^FCHI vs. ^IBEX - Performance Comparison
In the year-to-date period, ^FCHI achieves a -2.27% return, which is significantly lower than ^IBEX's 16.86% return. Over the past 10 years, ^FCHI has outperformed ^IBEX with an annualized return of 5.73%, while ^IBEX has yielded a comparatively lower 1.52% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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
CAC 40 (^FCHI) has a higher volatility of 3.16% compared to IBEX 35 Index (^IBEX) at 2.94%. This indicates that ^FCHI's price experiences larger fluctuations and is considered to be riskier than ^IBEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.