HG=F vs. FCX
Compare and contrast key facts about Copper (HG=F) and Freeport-McMoRan Inc. (FCX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: HG=F or FCX.
Performance
HG=F vs. FCX - Performance Comparison
Returns By Period
In the year-to-date period, HG=F achieves a 7.06% return, which is significantly higher than FCX's 3.95% return. Over the past 10 years, HG=F has underperformed FCX with an annualized return of 3.18%, while FCX has yielded a comparatively higher 5.14% annualized return.
HG=F
7.06%
-3.90%
-14.65%
8.91%
9.28%
3.18%
FCX
3.95%
-8.84%
-14.19%
19.60%
32.49%
5.14%
Key characteristics
| HG=F | FCX | |
|---|---|---|
| Sharpe Ratio | 0.29 | 0.57 |
| Sortino Ratio | 0.55 | 1.05 |
| Omega Ratio | 1.07 | 1.12 |
| Calmar Ratio | 0.26 | 0.74 |
| Martin Ratio | 0.55 | 1.70 |
| Ulcer Index | 11.89% | 12.17% |
| Daily Std Dev | 22.10% | 36.16% |
| Max Drawdown | -62.54% | -92.46% |
| Current Drawdown | -18.84% | -19.87% |
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Correlation
The correlation between HG=F and FCX is 0.56, 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.
Risk-Adjusted Performance
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.
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 -92.46%. Use the drawdown chart below to compare losses from any high point for HG=F and FCX. For additional features, visit the drawdowns tool.
Volatility
HG=F vs. FCX - Volatility Comparison
Copper (HG=F) and Freeport-McMoRan Inc. (FCX) have volatilities of 8.58% and 8.79%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.