This paper examines the behavioral changes of the time series of fossil fuel energy prices and their variation coefficients in response to global economic, geopolitical, and climatic shocks. For this purpose, we used sub-contents of the IMF Energy Price Indices: petroleum, propane, natural gas and coal price indices for the period of 1992–2023. Technical trend analysis and multiple structural break tests developed by Bai and Perron (2003) methodologies were used together to define the most important break date among all of them. Finally, multiple shocks experienced together with economic and climate shocks create long-term breakouts, while single-cause shocks appear to create medium-term fluctuations. The most important break date was defined as 2013 and pre/post-sample was compared with the risk/return approach. The results show that while the average risk-return ratio of all fossil fuel prices is 3 in pre-break sub sample, the coefficients increased nine and six times in crude oil and propane prices, respectively; remained in one and half and one times in natural gas and coal prices in post-sub sample. This means that crude oil and propane, both petroleum derivatives, were riskier than coal and natural gas, which are also used in electricity production. It shows that coal and natural gas are more preferable in investments than petroleum derivatives due to their use in electricity generation, which is clean energy, and the opportunities offered by carbon markets.