FCX vs CPER: Returns, Risk & Volatility (2026)

Q: Which is a better investment: FCX or CPER?

Over the past year, FCX looks like the better investment: it had higher total return (FCX +62.1% vs CPER +23.3%) and a higher Sharpe ratio (FCX 1.14 vs CPER 0.65). On risk, CPER was less volatile (CPER 36.7% vs FCX 51.0%), CPER had a smaller max drawdown (CPER -24.8% vs FCX -32.2%), and CPER had less severe losses on the worst 5% of days (Expected Shortfall of CPER -5.87% vs FCX -8.53%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: FCX or CPER?

Over the past year, FCX outperformed (+62.1% vs +23.3%) with a Sharpe ratio of 1.14.

Total Return

FCX WIN +62.1%

CPER +23.3%

Sharpe Ratio

FCX WIN 1.14

CPER 0.65

Annualized Volatility

FCX 51.0%

CPER WIN 36.7%

Max Drawdown

FCX -32.2%

CPER WIN -24.8%

Analysis period: 2025-02-18 to 2026-02-13

FCX Total Return

↑ +62.1%

CPER Total Return

↑ +23.3%

Relative Performance of FCX vs CPER (Normalized to 100)

FCX CPER

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: FCX delivered a +62.1% total return, while CPER returned +23.3% over the same period. FCX outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): FCX had a higher Sharpe (1.14 vs 0.65), indicating better risk-adjusted performance.
Volatility (Annualized): FCX was more volatile, with 51.0% annualized volatility, versus 36.7% for CPER.
Maximum Drawdown: CPER's maximum drawdown was -24.8%, while FCX experienced a deeper drawdown of -32.2%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), FCX's VaR was -4.44% and its Expected Shortfall (CVaR) was -8.53%; CPER's were -3.10% and -5.87%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: FCX -1.17 vs CPER -2.95. Excess kurtosis: FCX 7.30 vs CPER 26.95. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): FCX 8/3, CPER 5/5. Worst day: FCX -16.95% (2025-09-24) vs CPER -19.31% (2025-07-30). Best day: FCX +15.51% (2025-04-09) vs CPER +8.41% (2025-07-08).
Risk ratios: Sortino - FCX: 1.57 vs. CPER: 0.85 , Calmar - FCX: 1.96 vs. CPER: 0.96 , Sterling - FCX: 2.56 vs. CPER: 0.84 , Treynor - FCX: 0.36 vs. CPER: 0.35 , Ulcer Index - FCX: 10.37% vs. CPER: 12.28%

Freeport-McMoRan vs Copper ETF Correlation

0.59 Average Correlation

Freeport-McMoRan and Copper ETF are moderately correlated over the past year. With a correlation of 0.59, these assets show moderate co-movement, offering some diversification when held together.

For portfolio construction, this moderate correlation offers some diversification benefit, though the assets still tend to move together during major market moves.

Metric	Value
Current (30-day)	0.85
Average (full period)	0.59
Minimum	-0.45
Maximum	0.86

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.

Investment Comparison

If you invested $10,000 in each asset on February 18, 2025:

FCX $16,214.72 +62.1%

CPER $12,330.1 +23.3%

Difference: $3,884.62 (FCX ahead)

Freeport-McMoRan and Copper ETF: Risk Analysis

Freeport-McMoRan experienced its maximum drawdown of -32.2% from 2025-03-25 to 2025-04-04. It took 83 days to recover.

Copper ETF experienced its maximum drawdown of -24.8% from 2025-07-24 to 2025-08-05. It took 153 days to recover.

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

Sharpe Ratio of FCX and CPER

FCX Sharpe Ratio

↑ 1.14

CPER Sharpe Ratio

↑ 0.65

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. FCX had a higher Sharpe (1.14 vs 0.65), indicating better risk-adjusted performance.

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 FCX and CPER

FCX Sortino Ratio

↑ 1.57

CPER Sortino Ratio

↑ 0.85

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). FCX 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: FCX 37.0% vs CPER 28.2%. 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 FCX and CPER

FCX Calmar Ratio

↑ 1.96

CPER Calmar Ratio

↑ 0.96

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. FCX 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 FCX and CPER

FCX Sterling Ratio

↑ 2.56

CPER Sterling Ratio

↑ 0.84

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). FCX 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 FCX and CPER

FCX Treynor Ratio

↑ 0.36

CPER Treynor Ratio

↑ 0.35

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. FCX 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 FCX and CPER

FCX Ulcer Index

10.37%

CPER Ulcer Index

12.28%

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. FCX 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): Freeport-McMoRan vs. Copper 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.

Metric (1-Year)	FCX	CPER
5% VaR (daily log return)	-4.44%	-3.10%
5% Expected Shortfall (CVaR)	-8.53% (worst 13 days)	-5.87% (worst 13 days)
Skew	-1.17	-2.95
Excess kurtosis	7.30	26.95
2σ tail days (down / up)	8 / 3	5 / 5
Worst day	-16.95% (2025-09-24)	-19.31% (2025-07-30)
Best day	+15.51% (2025-04-09)	+8.41% (2025-07-08)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=249). 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.

When CPER has a big down day, FCX also does

80.0%

4 / 5 days

When FCX has a big down day, CPER also does

50.0%

4 / 8 days

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 FCX and CPER had a big down day (2σ)

Date (interval)	FCX	CPER
2025-04-03	-12.28%	-4.63%
2025-04-04	-13.01%	-8.48%
2025-07-30	-9.46%	-19.31%
2026-01-30	-7.52%	-5.89%

Days when FCX had a big down day

Date (interval)	FCX	CPER
2025-03-07 → 2025-03-10	-6.61%	-1.36%
2025-04-03	-12.28%	-4.63%
2025-04-04	-13.01%	-8.48%
2025-04-10	-7.08%	-0.90%
2025-07-30	-9.46%	-19.31%
2025-09-24	-16.95%	+3.77%
2025-09-25	-6.19%	-0.64%
2026-01-30	-7.52%	-5.89%

Days when CPER had a big down day

Date (interval)	FCX	CPER
2025-04-03	-12.28%	-4.63%
2025-04-04	-13.01%	-8.48%
2025-04-30	-3.07%	-5.43%
2025-07-30	-9.46%	-19.31%
2026-01-30	-7.52%	-5.89%

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.

Freeport-McMoRan vs Copper ETF Volatility (FCX vs CPER)

FCX Volatility

51.0%

±3.21% daily

CPER Volatility

36.7%

±2.31% daily

Typical daily swing

FCX

±3.21%

CPER

±2.31%

Freeport-McMoRan's annualized volatility of 51.0% means it typically moves ±3.21% on any given day.

Copper ETF's annualized volatility of 36.7% means it typically moves ±2.31% on any given day.

FCX's higher volatility means a wider path to returns — this can be attractive for tactical, shorter-term exposure, while CPER's smoother profile may better suit long-term allocators seeking steadier growth.

For comparison, the S&P 500 typically has 15-18% annualized volatility, translating to roughly ±1% daily moves. Higher volatility means larger potential gains but also larger potential losses.

Freeport-McMoRan vs Copper ETF Performance Over Time

Metric	FCX	CPER
30 Days	4.4%	-5.2%
90 Days	56.9%	13.5%
180 Days	49.3%	27.4%
1 Year	N/A	N/A

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

Full Comparison of Freeport-McMoRan vs. Copper ETF (1-Year)

Metric	FCX	CPER
Total Return	+62.1%	+23.3%
Annualized Volatility	51.0%	36.7%
Sharpe Ratio	1.14	0.65
Sortino Ratio	1.57	0.85
Calmar Ratio	1.96	0.96
Sterling Ratio	2.56	0.84
Treynor Ratio	0.36	0.35
Ulcer Index	10.37%	12.28%
Max Drawdown	-32.2%	-24.8%
Avg Correlation to S&P 500	0.50	0.33
5% VaR (daily log return)	-4.44%	-3.10%
5% Expected Shortfall (CVaR)	-8.53%	-5.87%
Skew	-1.17	-2.95
Excess kurtosis	7.30	26.95
2σ tail days (down / up)	8 / 3	5 / 5

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2025-02-18 → 2026-02-13 (last shared close).
Rolling correlation sample (shared closes): 220 rolling 30-day values (from 249 shared daily returns).
Annualization (days/year): FCX: 252 days/year; CPER: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

FCX: 4.20% over 2025-02-18 → 2026-02-13.

CPER: 4.20% over 2025-02-18 → 2026-02-13.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

FCX: ≈ -13.0%/yr

CPER: ≈ -6.7%/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.

Freeport-McMoRan vs Copper ETF: Frequently Asked Questions

Which has higher volatility: FCX or CPER?

FCX showed higher volatility at 51.0% annualized, compared to 36.7% for CPER Over the past year. Higher volatility means larger price swings in both directions.

Does FCX provide diversification when held with CPER?

FCX and CPER are moderately correlated over the past year, with an average correlation of 0.59. This offers some diversification benefit, though they still tend to move together during major market moves.

How bad are the worst 5% days for FCX vs CPER?

Over the past year, FCX's 5% VaR was -4.44% and its 5% Expected Shortfall was -8.53% (worst 13 days). CPER's were -3.10% and -5.87% (worst 13 days).

Do FCX and CPER crash together on bad days?

On shared dates (n=249), when CPER has a 2σ down day, FCX also does 80.0% (4/5 days). In the other direction, when FCX has one, CPER also does 50.0% (4/8 days).

Which has better risk-adjusted returns: FCX or CPER?

FCX showed better risk-adjusted performance with a Sharpe ratio of 1.14 versus CPER's 0.65 Over the past year.

Can FCX and CPER be combined in a portfolio?

Yes, though allocation sizing matters. Their moderate correlation offers some diversification benefits. FCX's higher volatility (51.0%) means even small allocations can materially impact overall portfolio risk.