FCX vs RIO: returns, Sharpe ratio and drawdown
Performance
FCX+64.83%RIO+30.44%
Summary
FCX vs RIO
Over the past year, FCX returned +64.83% against +30.44% for RIO. Over five years, FCX averaged +13.11% a year, compared with +7.43% for RIO. FCX had the higher Sharpe ratio over the past year (1.21 vs 0.89), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.74% for RIO and -24.31% for FCX.
Current Drawdown
FCX-12.98%RIO-19.39%
Rolling Volatility
FCX+1.84%RIO+1.15%
METRICS
Correlation Matrix
Metrics
Risk Indicators
FCXRIO
Alpha
FCX
37.28%
RIO
15.35%
Beta
FCX
2.16x
RIO
1.26x
Sharpe
FCX
1.21
RIO
0.89
Sortino
FCX
1.77
RIO
1.28
Omega
FCX
1.22
RIO
1.15
Calmar
FCX
2.67
RIO
1.47
Martin
FCX
6.08
RIO
2.86
Comparisons