^XNG vs. BZ=F

In the year-to-date period, ^XNG achieves a 7.16% return, which is significantly higher than BZ=F's -5.73% return. Over the past 10 years, ^XNG has underperformed BZ=F with an annualized return of 0.34%, while BZ=F has yielded a comparatively higher 1.86% annualized return.

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This table presents a comparison of risk-adjusted performance metrics for NYSE Arca Natural Gas Index (^XNG) and Crude Oil Brent (BZ=F). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

The current ^XNG Sharpe Ratio is 0.79, which is higher than the BZ=F Sharpe Ratio of -0.54. The chart below compares the historical Sharpe Ratios of ^XNG and BZ=F, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

The correlation between ^XNG and BZ=F is 0.14, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

The maximum ^XNG drawdown since its inception was -84.52%, roughly equal to the maximum BZ=F drawdown of -86.77%. Use the drawdown chart below to compare losses from any high point for ^XNG and BZ=F.

The current volatility for NYSE Arca Natural Gas Index (^XNG) is 3.51%, while Crude Oil Brent (BZ=F) has a volatility of 12.84%. This indicates that ^XNG experiences smaller price fluctuations and is considered to be less risky than BZ=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.