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

Key characteristics


COPXCPER
YTD Return15.84%10.52%
1Y Return36.70%18.84%
3Y Return (Ann)7.20%-0.63%
5Y Return (Ann)21.27%10.01%
10Y Return (Ann)7.67%2.84%
Sharpe Ratio1.110.79
Sortino Ratio1.641.19
Omega Ratio1.201.15
Calmar Ratio1.160.72
Martin Ratio3.181.84
Ulcer Index11.61%9.73%
Daily Std Dev33.42%22.68%
Max Drawdown-83.16%-54.04%
Current Drawdown-17.60%-14.98%

Correlation

-0.50.00.51.00.6

The correlation between COPX and CPER is 0.61, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

COPX vs. CPER - Performance Comparison

In the year-to-date period, COPX achieves a 15.84% return, which is significantly higher than CPER's 10.52% return. Over the past 10 years, COPX has outperformed CPER with an annualized return of 7.67%, while CPER has yielded a comparatively lower 2.84% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-12.61%
-10.10%
COPX
CPER

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COPX vs. CPER - Expense Ratio Comparison

COPX has a 0.65% expense ratio, which is lower than CPER's 0.80% expense ratio.


CPER
United States Copper Index Fund
Expense ratio chart for CPER: current value at 0.80% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.80%
Expense ratio chart for COPX: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%

Risk-Adjusted Performance

COPX vs. CPER - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X Copper Miners ETF (COPX) and United States Copper Index Fund (CPER). 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 market-2.000.002.004.006.001.11
Sortino ratio
The chart of Sortino ratio for COPX, currently valued at 1.64, compared to the broader market0.005.0010.001.64
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 1.31, compared to the broader market0.005.0010.0015.001.31
Martin ratio
The chart of Martin ratio for COPX, currently valued at 3.18, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.18
CPER
Sharpe ratio
The chart of Sharpe ratio for CPER, currently valued at 0.79, compared to the broader market-2.000.002.004.006.000.79
Sortino ratio
The chart of Sortino ratio for CPER, currently valued at 1.19, compared to the broader market0.005.0010.001.19
Omega ratio
The chart of Omega ratio for CPER, currently valued at 1.15, compared to the broader market1.001.502.002.503.001.15
Calmar ratio
The chart of Calmar ratio for CPER, currently valued at 0.72, compared to the broader market0.005.0010.0015.000.72
Martin ratio
The chart of Martin ratio for CPER, currently valued at 1.84, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.84

COPX vs. CPER - Sharpe Ratio Comparison

The current COPX Sharpe Ratio is 1.11, which is higher than the CPER Sharpe Ratio of 0.79. The chart below compares the historical Sharpe Ratios of COPX and CPER, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.11
0.79
COPX
CPER

Dividends

COPX vs. CPER - Dividend Comparison

COPX's dividend yield for the trailing twelve months is around 1.27%, while CPER has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
COPX
Global X Copper Miners ETF
1.27%2.39%3.14%1.48%1.30%1.37%2.58%1.56%0.59%1.20%2.31%0.70%
CPER
United States Copper Index Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

COPX vs. CPER - Drawdown Comparison

The maximum COPX drawdown since its inception was -83.16%, which is greater than CPER's maximum drawdown of -54.04%. Use the drawdown chart below to compare losses from any high point for COPX and CPER. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-17.60%
-14.98%
COPX
CPER

Volatility

COPX vs. CPER - Volatility Comparison

Global X Copper Miners ETF (COPX) has a higher volatility of 10.86% compared to United States Copper Index Fund (CPER) at 8.22%. This indicates that COPX's price experiences larger fluctuations and is considered to be riskier than CPER based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%JuneJulyAugustSeptemberOctoberNovember
10.86%
8.22%
COPX
CPER