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HG=F vs. CPER
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between HG=F and CPER is 0.85, 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.


-0.50.00.51.00.8

Performance

HG=F vs. CPER - Performance Comparison

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

-10.00%-5.00%0.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
-10.73%
-6.73%
HG=F
CPER

Key characteristics

Sharpe Ratio

HG=F:

0.30

CPER:

0.31

Sortino Ratio

HG=F:

0.57

CPER:

0.58

Omega Ratio

HG=F:

1.07

CPER:

1.07

Calmar Ratio

HG=F:

0.26

CPER:

0.30

Martin Ratio

HG=F:

0.51

CPER:

0.61

Ulcer Index

HG=F:

13.16%

CPER:

11.28%

Daily Std Dev

HG=F:

21.73%

CPER:

22.38%

Max Drawdown

HG=F:

-62.54%

CPER:

-54.04%

Current Drawdown

HG=F:

-21.06%

CPER:

-18.36%

Returns By Period

In the year-to-date period, HG=F achieves a 4.14% return, which is significantly lower than CPER's 6.13% return. Over the past 10 years, HG=F has outperformed CPER with an annualized return of 3.47%, while CPER has yielded a comparatively lower 2.91% annualized return.


HG=F

YTD

4.14%

1M

-2.47%

6M

-10.08%

1Y

3.39%

5Y*

7.43%

10Y*

3.47%

CPER

YTD

6.13%

1M

-1.61%

6M

-6.63%

1Y

5.65%

5Y*

7.87%

10Y*

2.91%

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Risk-Adjusted Performance

HG=F vs. CPER - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Copper (HG=F) 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.


Sharpe ratio
The chart of Sharpe ratio for HG=F, currently valued at 0.30, compared to the broader market0.000.501.001.502.000.300.39
The chart of Sortino ratio for HG=F, currently valued at 0.57, compared to the broader market0.000.501.001.502.002.500.570.68
The chart of Omega ratio for HG=F, currently valued at 1.07, compared to the broader market1.001.101.201.301.071.09
The chart of Calmar ratio for HG=F, currently valued at 0.26, compared to the broader market0.001.002.003.000.260.37
The chart of Martin ratio for HG=F, currently valued at 0.51, compared to the broader market0.002.004.006.008.0010.000.510.73
HG=F
CPER

The current HG=F Sharpe Ratio is 0.30, which is comparable to the CPER Sharpe Ratio of 0.31. The chart below compares the historical Sharpe Ratios of HG=F 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 Ratio0.200.400.600.801.001.201.40JulyAugustSeptemberOctoberNovemberDecember
0.30
0.39
HG=F
CPER

Drawdowns

HG=F vs. CPER - Drawdown Comparison

The maximum HG=F drawdown since its inception was -62.54%, which is greater than CPER's maximum drawdown of -54.04%. Use the drawdown chart below to compare losses from any high point for HG=F and CPER. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-21.06%
-18.36%
HG=F
CPER

Volatility

HG=F vs. CPER - Volatility Comparison

Copper (HG=F) has a higher volatility of 4.19% compared to United States Copper Index Fund (CPER) at 3.35%. This indicates that HG=F'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.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
4.19%
3.35%
HG=F
CPER
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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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