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COPX vs. BHP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


COPXBHP
YTD Return22.16%-12.52%
1Y Return36.95%1.25%
3Y Return (Ann)10.78%11.38%
5Y Return (Ann)21.47%10.47%
10Y Return (Ann)8.48%7.05%
Sharpe Ratio1.110.04
Sortino Ratio1.640.24
Omega Ratio1.201.03
Calmar Ratio1.120.05
Martin Ratio3.130.08
Ulcer Index11.46%13.57%
Daily Std Dev32.38%24.84%
Max Drawdown-83.16%-75.95%
Current Drawdown-13.11%-13.26%

Correlation

-0.50.00.51.00.8

The correlation between COPX and BHP is 0.79, 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

COPX vs. BHP - Performance Comparison

In the year-to-date period, COPX achieves a 22.16% return, which is significantly higher than BHP's -12.52% return. Over the past 10 years, COPX has outperformed BHP with an annualized return of 8.48%, while BHP has yielded a comparatively lower 7.05% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%-15.00%-10.00%-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
-2.12%
3.16%
COPX
BHP

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Risk-Adjusted Performance

COPX vs. BHP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X Copper Miners ETF (COPX) and BHP Group (BHP). 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.


COPX
Sharpe ratio
The chart of Sharpe ratio for COPX, currently valued at 1.11, compared to the broader market0.002.004.001.11
Sortino ratio
The chart of Sortino ratio for COPX, currently valued at 1.64, compared to the broader market-2.000.002.004.006.008.0010.0012.001.64
Omega ratio
The chart of Omega ratio for COPX, currently valued at 1.20, compared to the broader market1.001.502.002.503.001.20
Calmar ratio
The chart of Calmar ratio for COPX, currently valued at 1.12, compared to the broader market0.005.0010.0015.001.12
Martin ratio
The chart of Martin ratio for COPX, currently valued at 3.13, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.13
BHP
Sharpe ratio
The chart of Sharpe ratio for BHP, currently valued at 0.04, compared to the broader market0.002.004.000.04
Sortino ratio
The chart of Sortino ratio for BHP, currently valued at 0.24, compared to the broader market-2.000.002.004.006.008.0010.0012.000.24
Omega ratio
The chart of Omega ratio for BHP, currently valued at 1.03, compared to the broader market1.001.502.002.503.001.03
Calmar ratio
The chart of Calmar ratio for BHP, currently valued at 0.05, compared to the broader market0.005.0010.0015.000.05
Martin ratio
The chart of Martin ratio for BHP, currently valued at 0.08, compared to the broader market0.0020.0040.0060.0080.00100.00120.000.08

COPX vs. BHP - Sharpe Ratio Comparison

The current COPX Sharpe Ratio is 1.11, which is higher than the BHP Sharpe Ratio of 0.04. The chart below compares the historical Sharpe Ratios of COPX and BHP, 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-0.500.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
1.11
0.04
COPX
BHP

Dividends

COPX vs. BHP - Dividend Comparison

COPX's dividend yield for the trailing twelve months is around 1.20%, less than BHP's 5.15% yield.


TTM20232022202120202019201820172016201520142013
COPX
Global X Copper Miners ETF
1.20%2.39%3.14%1.48%1.30%1.37%2.58%1.56%0.59%1.20%2.31%0.70%
BHP
BHP Group
5.15%4.98%10.27%9.98%3.67%8.59%4.89%3.61%1.68%9.32%5.11%3.40%

Drawdowns

COPX vs. BHP - Drawdown Comparison

The maximum COPX drawdown since its inception was -83.16%, which is greater than BHP's maximum drawdown of -75.95%. Use the drawdown chart below to compare losses from any high point for COPX and BHP. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-13.11%
-13.26%
COPX
BHP

Volatility

COPX vs. BHP - Volatility Comparison

Global X Copper Miners ETF (COPX) has a higher volatility of 7.90% compared to BHP Group (BHP) at 6.57%. This indicates that COPX's price experiences larger fluctuations and is considered to be riskier than BHP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


6.00%8.00%10.00%12.00%14.00%JuneJulyAugustSeptemberOctoberNovember
7.90%
6.57%
COPX
BHP