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

Correlation

The correlation between CPER and SCCO is 0.55, 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.


-0.50.00.51.00.5

Performance

CPER vs. SCCO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in United States Copper Index Fund (CPER) and Southern Copper Corporation (SCCO). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-9.12%
-13.87%
CPER
SCCO

Key characteristics

Sharpe Ratio

CPER:

0.25

SCCO:

0.43

Sortino Ratio

CPER:

0.49

SCCO:

0.89

Omega Ratio

CPER:

1.06

SCCO:

1.10

Calmar Ratio

CPER:

0.24

SCCO:

0.61

Martin Ratio

CPER:

0.49

SCCO:

1.20

Ulcer Index

CPER:

11.22%

SCCO:

13.44%

Daily Std Dev

CPER:

22.40%

SCCO:

37.40%

Max Drawdown

CPER:

-54.04%

SCCO:

-78.57%

Current Drawdown

CPER:

-18.67%

SCCO:

-26.34%

Returns By Period

In the year-to-date period, CPER achieves a 5.72% return, which is significantly lower than SCCO's 11.74% return. Over the past 10 years, CPER has underperformed SCCO with an annualized return of 2.87%, while SCCO has yielded a comparatively higher 16.95% annualized return.


CPER

YTD

5.72%

1M

-2.41%

6M

-9.12%

1Y

6.51%

5Y*

7.79%

10Y*

2.87%

SCCO

YTD

11.74%

1M

-8.71%

6M

-11.85%

1Y

13.20%

5Y*

22.72%

10Y*

16.95%

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Risk-Adjusted Performance

CPER vs. SCCO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for United States Copper Index Fund (CPER) and Southern Copper Corporation (SCCO). 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 CPER, currently valued at 0.25, compared to the broader market0.002.004.000.250.35
The chart of Sortino ratio for CPER, currently valued at 0.49, compared to the broader market-2.000.002.004.006.008.0010.000.490.79
The chart of Omega ratio for CPER, currently valued at 1.06, compared to the broader market0.501.001.502.002.503.001.061.09
The chart of Calmar ratio for CPER, currently valued at 0.24, compared to the broader market0.005.0010.0015.000.240.50
The chart of Martin ratio for CPER, currently valued at 0.49, compared to the broader market0.0020.0040.0060.0080.00100.000.490.97
CPER
SCCO

The current CPER Sharpe Ratio is 0.25, which is lower than the SCCO Sharpe Ratio of 0.43. The chart below compares the historical Sharpe Ratios of CPER and SCCO, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.25
0.35
CPER
SCCO

Dividends

CPER vs. SCCO - Dividend Comparison

CPER has not paid dividends to shareholders, while SCCO's dividend yield for the trailing twelve months is around 2.25%.


TTM20232022202120202019201820172016201520142013
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%
SCCO
Southern Copper Corporation
2.25%4.67%5.82%5.19%2.31%4.83%4.57%1.25%0.56%1.31%1.64%2.38%

Drawdowns

CPER vs. SCCO - Drawdown Comparison

The maximum CPER drawdown since its inception was -54.04%, smaller than the maximum SCCO drawdown of -78.57%. Use the drawdown chart below to compare losses from any high point for CPER and SCCO. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%JulyAugustSeptemberOctoberNovemberDecember
-18.67%
-26.34%
CPER
SCCO

Volatility

CPER vs. SCCO - Volatility Comparison

The current volatility for United States Copper Index Fund (CPER) is 3.48%, while Southern Copper Corporation (SCCO) has a volatility of 9.75%. This indicates that CPER experiences smaller price fluctuations and is considered to be less risky than SCCO 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%JulyAugustSeptemberOctoberNovemberDecember
3.48%
9.75%
CPER
SCCO
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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