FCX vs SPY: returns, Sharpe ratio and drawdown

Over the past year, FCX returned +64.26% against +15.31% for SPY. Over five years, FCX averaged +13.02% a year, compared with +11.69% for SPY. FCX had the higher Sharpe ratio over the past year (1.20 vs 0.83), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -24.31% for FCX.