Cameco vs Global X Uranium ETF (CCJ vs URA) 2026: Returns, Risk & Volatility

Q: Which is a better investment: CCJ or URA?

Over the past year, CCJ looks like the better investment: it had higher total return (CCJ +7.8% vs URA -14.4%) and a higher Sharpe ratio (CCJ 0.34 vs URA -0.12). On risk, URA was less volatile (URA 51.8% vs CCJ 55.5%), CCJ had a smaller max drawdown (CCJ -36.9% vs URA -39.3%), and URA had less severe losses on the worst 5% of days (Expected Shortfall of URA -6.81% vs CCJ -6.88%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Returns shown in USD.

Quick answer

Which is a better investment: CCJ or URA?

Over the past year, CCJ outperformed URA. CCJ returned +7.8% compared with URA’s -14.4%. CCJ had the better risk-adjusted return, with a Sharpe ratio of 0.34 versus URA’s -0.12. URA was less volatile than CCJ, but CCJ had a smaller max drawdown than URA.

Total Return

CCJ +7.8%

URA -14.4%

Sharpe Ratio

CCJ 0.34

URA -0.12

Annualized Volatility

CCJ 55.5%

URA 51.8%

Max Drawdown

CCJ -36.9%

URA -39.3%

Metric winners: Total Return: CCJ; Sharpe Ratio: CCJ; Annualized Volatility: URA (less volatile); Max Drawdown: CCJ (smaller drawdown).

CCJ Total Return

↑ +7.8%

URA Total Return

↓ -14.4%

Relative Performance of CCJ vs URA (Normalized to 100)

CCJ URA

Normalized to 100 at start date for comparison

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Key Takeaways

Total Return: CCJ delivered a +7.8% total return, while URA returned -14.4% over the same period. CCJ outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): URA had a negative Sharpe (-0.12) while CCJ was positive (0.34), indicating CCJ had meaningfully better risk-adjusted performance in this period.
Volatility (Annualized): CCJ was more volatile, with 55.5% annualized volatility, versus 51.8% for URA.
Maximum Drawdown: CCJ's maximum drawdown was -36.9%, while URA experienced a deeper drawdown of -39.3%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), CCJ's VaR was -5.12% and its Expected Shortfall (CVaR) was -6.88%; URA's were -5.38% and -6.81%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: CCJ 0.83 vs URA -0.01. Excess kurtosis: CCJ 5.03 vs URA 0.01. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): CCJ 5/6, URA 6/9. Worst day: CCJ -9.28% (2026-06-05) vs URA -9.88% (2026-06-05). Best day: CCJ +23.42% (2025-10-28) vs URA +8.39% (2025-10-28).
Risk ratios: Sortino - CCJ: 0.53 vs. URA: -0.17 , Calmar - CCJ: 0.21 vs. URA: -0.37 , Sterling - CCJ: 0.16 vs. URA: -0.54 , Treynor - CCJ: 0.09 vs. URA: -0.03 , Ulcer Index - CCJ: 20.19% vs. URA: 22.07%

Investment Comparison

If you invested $10,000 in each asset on October 7, 2025:

CCJ $10,781.12 +7.8%

URA $8,559.88 -14.4%

Difference: $2,221.24 (CCJ ahead)

Cameco vs Global X Uranium ETF Performance Over Time

Metric	CCJ	URA
30 Days	-7.7%	-9.2%
90 Days	-1.8%	0.3%
180 Days	-19.5%	-17.9%
1 Year	7.8%	-14.4%

Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.

Cameco vs Global X Uranium ETF Correlation

Average Correlation

strongly correlated

0.91

Current (30-day) 0.91

30-day rolling range +0.79 to +0.96

Cameco and Global X Uranium ETF are strongly correlated over the past year. With a correlation of 0.91, these assets tend to move together, limiting diversification benefits.

For portfolio construction, this strong correlation means holding both CCJ and URA provides limited risk reduction — they're likely to decline together in downturns.

Metric	Value
Current (30-day)	0.91
Average (full period)	0.91
Minimum (30-day rolling)	0.79
Maximum (30-day rolling)	0.96

Correlation measures how closely two assets move together. Values near +1 indicate strong co-movement, near 0 indicates independence, and negative values indicate inverse movement. Current, minimum, and maximum figures are 30-day rolling correlations on shared daily returns.

Drawdown

Maximum Drawdown

CCJ

-36.9%

URA

-39.3%

Cameco experienced its maximum drawdown of -36.9% from 2026-01-28 to 2026-07-29. It has not yet recovered to its previous peak.

Global X Uranium ETF experienced its maximum drawdown of -39.3% from 2026-01-28 to 2026-07-29. It has not yet recovered to its previous peak.

Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.

Cameco vs Global X Uranium ETF Volatility (CCJ vs URA)

CCJ Volatility

55.5%

±3.5% 1-day vol

URA Volatility

51.8%

±3.26% 1-day vol

1-day volatility (1σ)

CCJ

±3.5%

URA

±3.26%

Cameco's 55.5% annualized volatility translates to about ±3.5% one-standard-deviation daily volatility.

Global X Uranium ETF's 51.8% annualized volatility translates to about ±3.26% one-standard-deviation daily volatility.

CCJ had the wider volatility profile over this window. That means its day-to-day return distribution was broader; URA was calmer, but lower volatility does not by itself mean better returns.

Treat the ± daily figure as a one-standard-deviation estimate from historical returns, not a forecast or expected absolute daily move. For context, 15-18% annualized volatility is roughly ±1% one-standard-deviation daily volatility.

Risk-adjusted ratios

Sharpe Ratio of CCJ and URA

Sharpe Ratio: CCJ vs. URA

Return per total volatility

Sharpe gives us excess return per unit of risk. Upside and downside volatility both count as risk.

Higher is better

excess return / total volatility

Formula

\displaystyle \mathrm{Sharpe} = \frac{\mathbb{E}[R] - R_f}{\sigma_R}

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. URA had a negative Sharpe (-0.12) while CCJ was positive (0.34), indicating CCJ had meaningfully better risk-adjusted performance in this period.

A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Sortino Ratio of CCJ and URA

Sortino Ratio: CCJ vs. URA

Return per downside volatility

Sortino keeps the return-over-risk idea, but only returns below the target rate count as volatility.

Higher is better

excess return / downside volatility

Formula

\displaystyle \mathrm{Sortino} = \frac{\mathbb{E}[R] - R_f}{\sigma_{\mathrm{down}}}

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). CCJ had better downside-adjusted returns.

A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Downside deviation: CCJ 35.1% vs URA 36.2%. Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Calmar Ratio of CCJ and URA

Calmar Ratio: CCJ vs. URA

CAGR per worst drawdown

Calmar compares CAGR against the single deepest peak-to-trough loss over the period.

Higher is better

CAGR / max drawdown

Formula

\displaystyle \mathrm{Calmar} = \frac{\mathrm{CAGR}}{|\mathrm{MaxDD}|}

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. CCJ posted the higher Calmar ratio.

Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.

Sterling Ratio of CCJ and URA

Sterling Ratio: CCJ vs. URA

Return per average drawdown

Sterling smooths the drawdown penalty by using average drawdown events instead of only the worst one.

Higher is better

excess annual return / average deep drawdown

Formula

\displaystyle \mathrm{Sterling} = \frac{\mathrm{CAGR} - R_f}{\overline{D}_{>10\%}}

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). CCJ posted the higher Sterling ratio.

Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.

Treynor Ratio of CCJ and URA

Treynor Ratio: CCJ vs. URA

Excess return per market beta

Treynor divides excess annualized return by beta — the sensitivity of the asset to broad-market moves. The slope shown is each asset’s beta vs SPY.

Higher is better

excess return / market beta

Formula

\displaystyle \mathrm{Treynor} = \frac{\mathbb{E}[R] - R_f}{\beta}

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. CCJ posted the higher Treynor ratio.

Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.

Ulcer Index of CCJ and URA

Ulcer Index: CCJ vs. URA

Drawdown pain

Ulcer Index is a risk index, not a return-over-risk ratio. Lower means smaller and shorter drawdowns.

Lower is better

root-mean-square drawdown

Formula

\displaystyle \mathrm{UI} = \sqrt{\mathbb{E}[D_t^2]}

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. CCJ had the lower Ulcer Index (less drawdown pain).

Ulcer Index is computed from each asset's drawdown series over the full lookback window.

Tail Risk & Distribution Shape (1-Year): Cameco vs. Global X Uranium ETF

This section looks at the shape of daily returns, not just the average. Tail stats are computed per asset on its own daily series (crypto includes weekends). We use daily log returns $\ln\left(\frac{P_t}{P_{t-1}}\right)$ so multi-day moves add cleanly.

Definitions: Value at Risk (VaR), Expected Shortfall, skew, kurtosis, and fat tails.

Tail Risk & Distribution Shape: CCJ vs. URA (1-Year)

Actual daily return tails

The bars are real daily log-return observations from the article window. Darker bars are observations at or beyond each asset’s 5% VaR cutoff.

Observed returns

VaR marks the 5th percentile loss cutoff; Expected Shortfall averages the observations beyond that cutoff.

Formula

\displaystyle \mathrm{VaR}_{5\%}=Q_{0.05}(r_t),\quad \mathrm{ES}_{5\%}=\mathbb{E}[r_t\mid r_t\le \mathrm{VaR}_{5\%}]

Metric (1-Year)	CCJ	URA
5% VaR (daily log return)	-5.12%	-5.38%
5% Expected Shortfall (CVaR)	-6.88% (worst 13 days)	-6.81% (worst 13 days)
Skew	0.83	-0.01
Excess kurtosis	5.03	0.01
2σ tail days (down / up)	5 / 6	6 / 9
Worst day	-9.28% (2026-06-05)	-9.88% (2026-06-05)
Best day	+23.42% (2025-10-28)	+8.39% (2025-10-28)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=250). A “2σ downside move” means a shared-close log return more than 2 standard deviations below that asset’s own mean on this shared-date series. Dates below show simple returns (%) for readability.

Downside co-move map: CCJ vs. URA (2σ)

Shared-close daily returns

Dots mark actual downside days: asset-colored dots are one-sided downside moves, and red dots are joint downside days. Grey dots add sampled shared-return context when available. The shaded lower-left zone shows where both CCJ and URA crossed their own 2σ downside threshold.

2σ

Show downside tail dates

Dates below are shared-date observations. The “Date” is the period end (close). Tail thresholds are computed on log returns, but the table shows simple returns (%) for readability. Returns are computed from the previous shared close to this one (for example, Friday → Monday includes weekend moves).

Days when both CCJ and URA had a big down day (2σ)

Date (interval)	CCJ	URA
2026-01-30	-7.69%	-7.32%
2026-02-04	-8.98%	-6.91%
2026-06-05	-9.28%	-9.88%

Days when CCJ had a big down day

Date (interval)	CCJ	URA
2025-11-13	-7.12%	-4.83%
2026-01-30	-7.69%	-7.32%
2026-02-04	-8.98%	-6.91%
2026-06-05	-9.28%	-9.88%
2026-06-10	-7.08%	-4.01%

Days when URA had a big down day

Date (interval)	CCJ	URA
2025-10-21	-3.64%	-6.59%
2025-11-20	-4.94%	-6.71%
2026-01-30	-7.69%	-7.32%
2026-02-04	-8.98%	-6.91%
2026-03-03	-6.32%	-7.88%
2026-06-05	-9.28%	-9.88%

Read this as “how ugly the ugly days get”, not as a precise forecast. One-year samples are small, so tail estimates are inherently noisy.

Full Comparison of Cameco vs. Global X Uranium ETF (1-Year)

Metric	CCJ	URA
Total Return	+7.8%	-14.4%
Annualized Volatility	55.5%	51.8%
Sharpe Ratio	0.34	-0.12
Sortino Ratio	0.53	-0.17
Calmar Ratio	0.21	-0.37
Sterling Ratio	0.16	-0.54
Treynor Ratio	0.09	-0.03
Ulcer Index	20.19%	22.07%
Max Drawdown	-36.9%	-39.3%
Avg Correlation to S&P 500	0.58	0.66
5% VaR (daily log return)	-5.12%	-5.38%
5% Expected Shortfall (CVaR)	-6.88%	-6.81%
Skew	0.83	-0.01
Excess kurtosis	5.03	0.01
2σ tail days (down / up)	5 / 6	6 / 9

Audit this calculation

Formulas, inputs, and conventions used to compute the metrics on this page.

Inputs & conventions

Shared window for pair metrics: 2025-10-07 → 2026-10-06 (last shared close).
Rolling correlation sample (shared closes): 221 rolling 30-day values (from 250 shared daily returns).
Annualization (days/year): CCJ: 252 days/year; URA: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

CCJ: 3.81% over 2025-10-07 → 2026-10-06.

URA: 3.81% over 2025-10-07 → 2026-10-06.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

CCJ: ≈ -15.4%/yr

URA: ≈ -13.4%/yr
Data alignment: No forward fill. Correlation and tail co-moves are computed on shared closes only.
For cross-calendar pairs (e.g., crypto vs stocks), weekend/holiday moves roll into the next shared close.
Return conventions: Volatility/Sharpe/Sortino use simple daily returns. Tail-risk uses daily log returns for distribution stats (but tables show simple returns). Log returns.

Formulas

Daily simple return

r_t = \frac{P_t}{P_{t-1}} - 1

Volatility

\sigma_{ann} = \sigma(r_t)\sqrt{A}

Volatility drag (approx.)

\text{drag} \approx \tfrac{1}{2}\sigma_{ann}^2

Sharpe Ratio

S = \frac{A\,\bar{r} - r_f}{\sigma(r_t)\sqrt{A}}

Sortino Ratio

So = \frac{A\,\bar{r} - r_f}{\sqrt{\mathbb{E}[\min(0,\,r_t - r_f/A)^2]}\,\sqrt{A}}

Maximum Drawdown

MDD = \min_t\left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)

Average Correlation

\rho = \frac{\operatorname{cov}(r^A,\,r^B)}{\sigma_A\,\sigma_B}

Log returns

\ell_t = \ln\left(\frac{P_t}{P_{t-1}}\right)

Notation

$P_t$: Price on day t.
$r_t$: Simple daily return.
$\ell_t$: Log daily return.
$\bar{r}$: Average daily return.
$\sigma(r_t)$: Standard deviation of daily returns.
$A$: Annualization factor (days/year).
$r_f$: Annual risk-free rate.

Cameco vs Global X Uranium ETF: Frequently Asked Questions

Which has higher volatility: CCJ or URA?

CCJ showed higher volatility at 55.5% annualized, compared to 51.8% for URA Over the past year. Higher volatility means larger price swings in both directions.

Does CCJ provide diversification when held with URA?

CCJ and URA are strongly correlated over the past year, with an average correlation of 0.91. This strong correlation limits diversification benefits.

How bad are the worst 5% days for CCJ vs URA?

Over the past year, CCJ's 5% VaR was -5.12% and its 5% Expected Shortfall was -6.88% (worst 13 days). URA's were -5.38% and -6.81% (worst 13 days).

Do CCJ and URA crash together on bad days?

On shared dates (n=250), when URA has a 2σ down day, CCJ also does 50.0% (3/6 days). In the other direction, when CCJ has one, URA also does 60.0% (3/5 days).

Which has better risk-adjusted returns: CCJ or URA?

URA had a negative Sharpe (-0.12) while CCJ was positive (0.34) Over the past year, indicating CCJ had meaningfully better risk-adjusted performance.

Can CCJ and URA be combined in a portfolio?

Yes, though allocation sizing matters. Their strong correlation provides limited risk reduction since they tend to move together. CCJ's higher volatility (55.5%) means even small allocations can materially impact overall portfolio risk.

Explore our financial glossary

Which is a better investment: CCJ or URA?

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Relative Performance of CCJ vs URA (Normalized to 100)

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Key Takeaways

Investment Comparison

Cameco vs Global X Uranium ETF Performance Over Time

Cameco vs Global X Uranium ETF Correlation

Drawdown

Cameco vs Global X Uranium ETF Volatility (CCJ vs URA)

Risk-adjusted ratios

Sharpe Ratio of CCJ and URA

Sharpe Ratio: CCJ vs. URA

Sortino Ratio of CCJ and URA

Sortino Ratio: CCJ vs. URA

Calmar Ratio of CCJ and URA

Calmar Ratio: CCJ vs. URA

Sterling Ratio of CCJ and URA

Sterling Ratio: CCJ vs. URA

Treynor Ratio of CCJ and URA

Treynor Ratio: CCJ vs. URA

Ulcer Index of CCJ and URA

Ulcer Index: CCJ vs. URA

Tail Risk & Distribution Shape (1-Year): Cameco vs. Global X Uranium ETF

Tail Risk & Distribution Shape: CCJ vs. URA (1-Year)

Downside co-moves (2σ) — 1-Year

Downside co-move map: CCJ vs. URA (2σ)

Days when both CCJ and URA had a big down day (2σ)

Days when CCJ had a big down day

Days when URA had a big down day

Full Comparison of Cameco vs. Global X Uranium ETF (1-Year)

Inputs & conventions

Formulas

Cameco vs Global X Uranium ETF: Frequently Asked Questions

Which has higher volatility: CCJ or URA?

Does CCJ provide diversification when held with URA?

How bad are the worst 5% days for CCJ vs URA?

Do CCJ and URA crash together on bad days?

Which has better risk-adjusted returns: CCJ or URA?

Can CCJ and URA be combined in a portfolio?