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Crude Oil Brent (BZ=F)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Crude Oil Brent, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


0.00%500.00%1,000.00%1,500.00%2,000.00%NovemberDecember2025FebruaryMarchApril
65.75%
1,697.70%
BZ=F (Crude Oil Brent)
Benchmark (^GSPC)

Returns By Period

Crude Oil Brent had a return of -10.84% year-to-date (YTD) and -24.39% in the last 12 months. Over the past 10 years, Crude Oil Brent had an annualized return of 0.25%, while the S&P 500 had an annualized return of 10.05%, indicating that Crude Oil Brent did not perform as well as the benchmark.


BZ=F

YTD

-10.84%

1M

-8.86%

6M

-10.10%

1Y

-24.39%

5Y*

23.82%

10Y*

0.25%

^GSPC (Benchmark)

YTD

-6.75%

1M

-5.05%

6M

-5.60%

1Y

8.15%

5Y*

14.14%

10Y*

10.05%

*Annualized

Monthly Returns

The table below presents the monthly returns of BZ=F, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.84%-4.66%2.13%-10.96%-10.84%
20246.06%2.34%3.99%1.03%-7.10%5.87%-6.58%-2.38%-9.01%1.55%0.18%2.33%-3.12%
2023-1.65%-0.71%-4.91%-0.29%-8.65%3.08%14.23%1.52%9.73%-8.29%-5.24%-6.99%-10.32%
202214.99%10.72%6.85%1.33%12.35%-6.54%-4.18%-12.29%-8.84%7.81%-9.91%0.56%8.31%
20217.88%18.34%-3.92%5.84%3.08%8.38%1.60%-4.38%7.58%7.46%-16.37%12.40%53.13%
2020-11.88%-13.14%-54.99%11.13%39.81%16.47%5.22%4.57%-9.56%-8.52%27.04%8.85%-21.52%
201915.04%6.69%3.57%6.45%-11.41%3.19%-2.07%-7.27%0.58%-0.90%3.65%5.72%22.68%
20183.26%-4.74%6.83%6.97%3.22%2.38%-6.53%4.27%6.85%-8.76%-22.21%-8.36%-19.55%
2017-1.97%-0.20%-4.96%-2.08%-2.75%-4.75%9.87%-0.51%9.85%6.66%3.58%5.19%17.69%
2016-6.81%3.54%10.09%21.54%3.24%-0.02%-14.53%10.79%4.29%-1.55%4.49%12.58%52.41%
2015-7.57%18.10%-11.94%21.18%-1.83%-3.00%-17.90%3.72%-10.67%2.46%-9.99%-16.43%-34.97%
2014-3.97%2.51%-1.20%0.29%1.24%2.70%-5.64%-2.67%-8.26%-9.31%-18.30%-18.28%-48.26%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of BZ=F is 15, meaning it’s performing worse than 85% of other futures on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of BZ=F is 1515
Overall Rank
The Sharpe Ratio Rank of BZ=F is 1515
Sharpe Ratio Rank
The Sortino Ratio Rank of BZ=F is 1515
Sortino Ratio Rank
The Omega Ratio Rank of BZ=F is 1414
Omega Ratio Rank
The Calmar Ratio Rank of BZ=F is 1616
Calmar Ratio Rank
The Martin Ratio Rank of BZ=F is 1717
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for Crude Oil Brent (BZ=F) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


The chart of Sharpe ratio for BZ=F, currently valued at -0.60, compared to the broader market-0.500.000.501.001.502.00
BZ=F: -0.60
^GSPC: 0.49
The chart of Sortino ratio for BZ=F, currently valued at -0.68, compared to the broader market0.001.002.00
BZ=F: -0.68
^GSPC: 0.81
The chart of Omega ratio for BZ=F, currently valued at 0.92, compared to the broader market1.001.101.201.30
BZ=F: 0.92
^GSPC: 1.12
The chart of Calmar ratio for BZ=F, currently valued at -0.28, compared to the broader market0.001.002.003.004.00
BZ=F: -0.28
^GSPC: 0.50
The chart of Martin ratio for BZ=F, currently valued at -1.09, compared to the broader market0.002.004.006.008.0010.00
BZ=F: -1.09
^GSPC: 2.07

The current Crude Oil Brent Sharpe ratio is -0.60. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of Crude Oil Brent with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00NovemberDecember2025FebruaryMarchApril
-0.60
0.49
BZ=F (Crude Oil Brent)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-54.44%
-10.73%
BZ=F (Crude Oil Brent)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Crude Oil Brent. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Crude Oil Brent was 86.77%, occurring on Apr 21, 2020. The portfolio has not yet recovered.

The current Crude Oil Brent drawdown is 54.44%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-86.77%Jul 4, 20083040Apr 21, 2020
-75.99%Oct 10, 19902067Dec 10, 19981424Aug 3, 20043491
-33.97%Aug 8, 2006111Jan 11, 2007178Sep 19, 2007289
-27.5%Oct 27, 200433Dec 10, 200456Mar 3, 200589
-20.19%Sep 2, 200553Nov 15, 2005100Apr 6, 2006153

Volatility

Volatility Chart

The current Crude Oil Brent volatility is 13.10%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
13.10%
14.23%
BZ=F (Crude Oil Brent)
Benchmark (^GSPC)