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

Correlation

The correlation between HG=F and SPY 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.


-0.50.00.51.00.3

Performance

HG=F vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Copper (HG=F) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-10.08%
8.90%
HG=F
SPY

Key characteristics

Sharpe Ratio

HG=F:

0.30

SPY:

2.21

Sortino Ratio

HG=F:

0.57

SPY:

2.93

Omega Ratio

HG=F:

1.07

SPY:

1.41

Calmar Ratio

HG=F:

0.26

SPY:

3.26

Martin Ratio

HG=F:

0.51

SPY:

14.43

Ulcer Index

HG=F:

13.16%

SPY:

1.90%

Daily Std Dev

HG=F:

21.73%

SPY:

12.41%

Max Drawdown

HG=F:

-62.54%

SPY:

-55.19%

Current Drawdown

HG=F:

-21.06%

SPY:

-2.74%

Returns By Period

In the year-to-date period, HG=F achieves a 4.14% return, which is significantly lower than SPY's 25.54% return. Over the past 10 years, HG=F has underperformed SPY with an annualized return of 3.47%, while SPY has yielded a comparatively higher 12.97% annualized return.


HG=F

YTD

4.14%

1M

-2.47%

6M

-10.08%

1Y

3.39%

5Y*

7.43%

10Y*

3.47%

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

Compare stocks, funds, or ETFs

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Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for Copper (HG=F) and SPDR S&P 500 ETF (SPY). 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 market0.000.501.001.502.000.301.95
The chart of Sortino ratio for HG=F, currently valued at 0.57, compared to the broader market0.000.501.001.502.002.500.572.61
The chart of Omega ratio for HG=F, currently valued at 1.07, compared to the broader market1.001.101.201.301.071.38
The chart of Calmar ratio for HG=F, currently valued at 0.26, compared to the broader market0.001.002.003.000.262.82
The chart of Martin ratio for HG=F, currently valued at 0.51, compared to the broader market0.002.004.006.008.0010.000.5112.16
HG=F
SPY

The current HG=F Sharpe Ratio is 0.30, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of HG=F and SPY, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.30
1.95
HG=F
SPY

Drawdowns

HG=F vs. SPY - Drawdown Comparison

The maximum HG=F drawdown since its inception was -62.54%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for HG=F and SPY. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-21.06%
-2.74%
HG=F
SPY

Volatility

HG=F vs. SPY - Volatility Comparison

Copper (HG=F) has a higher volatility of 4.19% compared to SPDR S&P 500 ETF (SPY) at 3.66%. This indicates that HG=F's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
4.19%
3.66%
HG=F
SPY
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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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