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

Correlation

The correlation between HG=F and FCX is 0.29, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.0
Correlation: 0.3

Performance

HG=F vs. FCX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Copper (HG=F) and Freeport-McMoRan Inc. (FCX). The values are adjusted to include any dividend payments, if applicable.

60.00%80.00%100.00%120.00%140.00%160.00%NovemberDecember2025FebruaryMarchApril
96.95%
100.44%
HG=F
FCX

Key characteristics

Sharpe Ratio

HG=F:

0.13

FCX:

-0.46

Sortino Ratio

HG=F:

0.34

FCX:

-0.41

Omega Ratio

HG=F:

1.05

FCX:

0.95

Calmar Ratio

HG=F:

0.14

FCX:

-0.45

Martin Ratio

HG=F:

0.36

FCX:

-0.94

Ulcer Index

HG=F:

8.73%

FCX:

22.50%

Daily Std Dev

HG=F:

25.56%

FCX:

45.52%

Max Drawdown

HG=F:

-62.54%

FCX:

-92.44%

Current Drawdown

HG=F:

-7.25%

FCX:

-30.94%

Returns By Period

In the year-to-date period, HG=F achieves a 20.20% return, which is significantly higher than FCX's -1.10% return. Over the past 10 years, HG=F has underperformed FCX with an annualized return of 5.56%, while FCX has yielded a comparatively higher 6.13% annualized return.


HG=F

YTD

20.20%

1M

-5.07%

6M

11.53%

1Y

5.93%

5Y*

15.03%

10Y*

5.56%

FCX

YTD

-1.10%

1M

-6.16%

6M

-19.19%

1Y

-24.98%

5Y*

35.09%

10Y*

6.13%

*Annualized

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Risk-Adjusted Performance

HG=F vs. FCX — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

HG=F
The Risk-Adjusted Performance Rank of HG=F is 4545
Overall Rank
The Sharpe Ratio Rank of HG=F is 4444
Sharpe Ratio Rank
The Sortino Ratio Rank of HG=F is 4343
Sortino Ratio Rank
The Omega Ratio Rank of HG=F is 4343
Omega Ratio Rank
The Calmar Ratio Rank of HG=F is 5050
Calmar Ratio Rank
The Martin Ratio Rank of HG=F is 4646
Martin Ratio Rank

FCX
The Risk-Adjusted Performance Rank of FCX is 2727
Overall Rank
The Sharpe Ratio Rank of FCX is 2727
Sharpe Ratio Rank
The Sortino Ratio Rank of FCX is 2626
Sortino Ratio Rank
The Omega Ratio Rank of FCX is 2626
Omega Ratio Rank
The Calmar Ratio Rank of FCX is 2323
Calmar Ratio Rank
The Martin Ratio Rank of FCX is 3131
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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

This table presents a comparison of risk-adjusted performance metrics for Copper (HG=F) and Freeport-McMoRan Inc. (FCX). 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.


The chart of Sharpe ratio for HG=F, currently valued at 0.13, compared to the broader market-0.500.000.501.001.502.00
HG=F: 0.13
FCX: -0.60
The chart of Sortino ratio for HG=F, currently valued at 0.34, compared to the broader market-0.500.000.501.001.502.002.50
HG=F: 0.34
FCX: -0.68
The chart of Omega ratio for HG=F, currently valued at 1.05, compared to the broader market1.001.101.201.30
HG=F: 1.05
FCX: 0.91
The chart of Calmar ratio for HG=F, currently valued at 0.14, compared to the broader market00.001.002.003.004.00
HG=F: 0.14
FCX: -0.56
The chart of Martin ratio for HG=F, currently valued at 0.36, compared to the broader market0.002.004.006.008.0010.00
HG=F: 0.36
FCX: -1.26

The current HG=F Sharpe Ratio is 0.13, which is higher than the FCX Sharpe Ratio of -0.46. The chart below compares the historical Sharpe Ratios of HG=F and FCX, 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-1.00-0.500.000.501.00NovemberDecember2025FebruaryMarchApril
0.13
-0.60
HG=F
FCX

Drawdowns

HG=F vs. FCX - Drawdown Comparison

The maximum HG=F drawdown since its inception was -62.54%, smaller than the maximum FCX drawdown of -92.44%. Use the drawdown chart below to compare losses from any high point for HG=F and FCX. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-7.25%
-30.94%
HG=F
FCX

Volatility

HG=F vs. FCX - Volatility Comparison

The current volatility for Copper (HG=F) is 13.73%, while Freeport-McMoRan Inc. (FCX) has a volatility of 28.41%. This indicates that HG=F experiences smaller price fluctuations and is considered to be less risky than FCX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%25.00%30.00%NovemberDecember2025FebruaryMarchApril
13.73%
28.41%
HG=F
FCX