Performance

FCX+64.83%VALE+14.56%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
FCX	-0.74%	+33.91%	+64.83%	+13.11%	-24.31%	1.21
VALE	+0.31%	-1.51%	+14.56%	+0.52%	-26.94%	0.44

Summary

FCX vs VALE

Over the past year, FCX returned +64.83% against +14.56% for VALE. Over five years, FCX averaged +13.11% a year, compared with +0.52% for VALE. FCX had the higher Sharpe ratio over the past year (1.21 vs 0.44), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -24.31% for FCX and -26.94% for VALE.

Current Drawdown

FCX-12.98%VALE-26.71%

Rolling Volatility

FCX+1.84%VALE+1.52%

METRICS

Correlation Matrix

	FCX	VALE
FCX	1.00	0.69
VALE	0.69	1.00

Metrics

Risk Indicators

FCXVALE

Alpha

37.28%

4.30%

Beta

2.16x

1.14x

Sharpe

1.21

0.44

Sortino

1.77

0.63

Omega

1.22

1.08

Calmar

2.67

0.54

Martin

6.08

1.18

Comparisons

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VALE vs XLB
VALE vs SPY
VALE vs RIO
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FCX vs VALE: returns, Sharpe ratio and drawdown

FCX vs VALE

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