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

Performance

^IBEX vs. ^FCHI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in IBEX 35 Index (^IBEX) and CAC 40 (^FCHI). The values are adjusted to include any dividend payments, if applicable.

-15.00%-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-0.07%
-13.81%
^IBEX
^FCHI

Returns By Period

In the year-to-date period, ^IBEX achieves a 15.40% return, which is significantly higher than ^FCHI's -3.65% return. Over the past 10 years, ^IBEX has underperformed ^FCHI with an annualized return of 1.31%, while ^FCHI has yielded a comparatively higher 5.47% annualized return.


^IBEX

YTD

15.40%

1M

-2.24%

6M

2.92%

1Y

19.43%

5Y (annualized)

4.63%

10Y (annualized)

1.31%

^FCHI

YTD

-3.65%

1M

-4.54%

6M

-11.02%

1Y

0.47%

5Y (annualized)

4.16%

10Y (annualized)

5.47%

Key characteristics


^IBEX^FCHI
Sharpe Ratio1.330.01
Sortino Ratio1.850.10
Omega Ratio1.231.01
Calmar Ratio0.450.01
Martin Ratio6.580.02
Ulcer Index2.64%6.22%
Daily Std Dev12.89%12.61%
Max Drawdown-62.65%-65.29%
Current Drawdown-26.89%-11.80%

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Correlation

-0.50.00.51.00.8

The correlation between ^IBEX and ^FCHI 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

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

This table presents a comparison of risk-adjusted performance metrics for IBEX 35 Index (^IBEX) and CAC 40 (^FCHI). 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.


Sharpe ratio
The chart of Sharpe ratio for ^IBEX, currently valued at 0.84, compared to the broader market-1.000.001.002.003.000.84-0.24
The chart of Sortino ratio for ^IBEX, currently valued at 1.20, compared to the broader market-1.000.001.002.003.004.001.20-0.24
The chart of Omega ratio for ^IBEX, currently valued at 1.15, compared to the broader market0.801.001.201.401.601.150.97
The chart of Calmar ratio for ^IBEX, currently valued at 0.24, compared to the broader market0.001.002.003.004.005.000.24-0.24
The chart of Martin ratio for ^IBEX, currently valued at 3.71, compared to the broader market0.005.0010.0015.0020.003.71-0.58
^IBEX
^FCHI

The current ^IBEX Sharpe Ratio is 1.33, which is higher than the ^FCHI Sharpe Ratio of 0.01. The chart below compares the historical Sharpe Ratios of ^IBEX and ^FCHI, 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
0.84
-0.24
^IBEX
^FCHI

Drawdowns

^IBEX vs. ^FCHI - Drawdown Comparison

The maximum ^IBEX drawdown since its inception was -62.65%, roughly equal to the maximum ^FCHI drawdown of -65.29%. Use the drawdown chart below to compare losses from any high point for ^IBEX and ^FCHI. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-47.43%
-14.48%
^IBEX
^FCHI

Volatility

^IBEX vs. ^FCHI - Volatility Comparison

IBEX 35 Index (^IBEX) has a higher volatility of 6.24% compared to CAC 40 (^FCHI) at 5.30%. This indicates that ^IBEX's price experiences larger fluctuations and is considered to be riskier than ^FCHI 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
6.24%
5.30%
^IBEX
^FCHI