PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
BP vs. BZ=F
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between BP and BZ=F is 0.35, 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.


-0.50.00.51.00.4

Performance

BP vs. BZ=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in BP p.l.c. (BP) and Crude Oil Brent (BZ=F). The values are adjusted to include any dividend payments, if applicable.

-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-17.99%
-15.51%
BP
BZ=F

Key characteristics

Sharpe Ratio

BP:

-0.71

BZ=F:

-0.47

Sortino Ratio

BP:

-0.87

BZ=F:

-0.50

Omega Ratio

BP:

0.89

BZ=F:

0.94

Calmar Ratio

BP:

-0.58

BZ=F:

-0.21

Martin Ratio

BP:

-1.21

BZ=F:

-0.84

Ulcer Index

BP:

12.66%

BZ=F:

13.38%

Daily Std Dev

BP:

21.46%

BZ=F:

24.38%

Max Drawdown

BP:

-69.44%

BZ=F:

-86.77%

Current Drawdown

BP:

-25.58%

BZ=F:

-50.42%

Returns By Period

In the year-to-date period, BP achieves a -15.28% return, which is significantly lower than BZ=F's -6.00% return. Over the past 10 years, BP has outperformed BZ=F with an annualized return of 2.71%, while BZ=F has yielded a comparatively lower 1.81% annualized return.


BP

YTD

-15.28%

1M

-2.34%

6M

-17.99%

1Y

-14.36%

5Y*

-0.37%

10Y*

2.71%

BZ=F

YTD

-6.00%

1M

-0.78%

6M

-15.51%

1Y

-9.09%

5Y*

1.74%

10Y*

1.81%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

BP vs. BZ=F - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BP p.l.c. (BP) 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.


Sharpe ratio
The chart of Sharpe ratio for BP, currently valued at -0.87, compared to the broader market-4.00-2.000.002.00-0.87-0.47
The chart of Sortino ratio for BP, currently valued at -1.07, compared to the broader market-4.00-2.000.002.004.00-1.07-0.50
The chart of Omega ratio for BP, currently valued at 0.85, compared to the broader market0.501.001.502.000.850.94
The chart of Calmar ratio for BP, currently valued at -0.65, compared to the broader market0.002.004.006.00-0.65-0.21
The chart of Martin ratio for BP, currently valued at -1.27, compared to the broader market0.0010.0020.00-1.27-0.84
BP
BZ=F

The current BP Sharpe Ratio is -0.71, which is lower than the BZ=F Sharpe Ratio of -0.47. The chart below compares the historical Sharpe Ratios of BP 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.


Rolling 12-month Sharpe Ratio-0.80-0.60-0.40-0.200.000.200.40JulyAugustSeptemberOctoberNovemberDecember
-0.87
-0.47
BP
BZ=F

Drawdowns

BP vs. BZ=F - Drawdown Comparison

The maximum BP drawdown since its inception was -69.44%, smaller than the maximum BZ=F drawdown of -86.77%. Use the drawdown chart below to compare losses from any high point for BP and BZ=F. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-25.58%
-50.42%
BP
BZ=F

Volatility

BP vs. BZ=F - Volatility Comparison

BP p.l.c. (BP) has a higher volatility of 7.25% compared to Crude Oil Brent (BZ=F) at 5.52%. This indicates that BP's price experiences larger fluctuations and is considered to be riskier than BZ=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
7.25%
5.52%
BP
BZ=F
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab