BRNT.L vs. CADUSD=X
BRNT.L (WisdomTree Brent Crude Oil) is Oil & Gas fund tracking the Bloomberg Brent Crude Subindex, while CADUSD=X (CAD/USD) is a currency. Over the past 10 years, BRNT.L returned 13.59%/yr vs -0.89%/yr for CADUSD=X. At a 0.24 correlation, their price movements are largely independent.
Performance
BRNT.L vs. CADUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, BRNT.L achieves a 80.13% return, which is significantly higher than CADUSD=X's -1.54% return. Over the past 10 years, BRNT.L has outperformed CADUSD=X with an annualized return of 13.59%, while CADUSD=X has yielded a comparatively lower -0.89% annualized return.
BRNT.L
- 1D
- -2.63%
- 1M
- -1.61%
- YTD
- 80.13%
- 6M
- 75.56%
- 1Y
- 82.10%
- 3Y*
- 24.57%
- 5Y*
- 23.51%
- 10Y*
- 13.59%
CADUSD=X
- 1D
- -0.25%
- 1M
- -2.20%
- YTD
- -1.54%
- 6M
- -0.87%
- 1Y
- -1.90%
- 3Y*
- -1.30%
- 5Y*
- -2.84%
- 10Y*
- -0.89%
BRNT.L vs. CADUSD=X - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
BRNT.L WisdomTree Brent Crude Oil | 80.13% | -6.34% | 7.45% | 1.08% | 35.10% | 66.26% | -33.22% | 32.15% | -13.92% | 12.39% |
CADUSD=X CAD/USD | -1.54% | 4.79% | -7.90% | 2.28% | -6.69% | 0.74% | 2.00% | 4.99% | -7.77% | 6.90% |
Correlation
The correlation between BRNT.L and CADUSD=X is -0.06, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.06 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.07 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.18 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.24 |
Correlation (All Time) Calculated using the full available price history since Mar 8, 2012 | 0.24 |
The correlation between BRNT.L and CADUSD=X shifts across timeframes, from -0.06 (1 year) to 0.24 (10 years), reflecting how their relationship changes across market environments.
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Return for Risk
BRNT.L vs. CADUSD=X — Risk / Return Rank
BRNT.L
CADUSD=X
BRNT.L vs. CADUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Brent Crude Oil (BRNT.L) and CAD/USD (CADUSD=X). 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.
| BRNT.L | CADUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.38 | ||
| Sortino ratioReturn per unit of downside risk | +2.93 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 0.94 | +0.42 |
| Calmar ratioReturn relative to maximum drawdown | 4.51 | -0.40 | +4.91 |
| Martin ratioReturn relative to average drawdown | 8.41 | -0.77 | +9.18 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| BRNT.L | CADUSD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.00 | -0.38 | +2.38 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.68 | -0.42 | +1.09 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.39 | -0.12 | +0.51 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.04 | -0.07 | +0.11 |
Drawdowns
BRNT.L vs. CADUSD=X - Drawdown Comparison
The maximum BRNT.L drawdown since its inception was -85.97%, which is greater than CADUSD=X's maximum drawdown of -35.27%. Use the drawdown chart below to compare losses from any high point for BRNT.L and CADUSD=X.
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Drawdown Indicators
| BRNT.L | CADUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -85.97% | -35.27% | -50.70% |
Max Drawdown (1Y)Largest decline over 1 year | -18.66% | -3.87% | -14.79% |
Max Drawdown (3Y)Largest decline over 3 years | -24.88% | -9.73% | -15.15% |
Max Drawdown (5Y)Largest decline over 5 years | -31.44% | -16.82% | -14.62% |
Max Drawdown (10Y)Largest decline over 10 years | -71.94% | -17.16% | -54.78% |
Current DrawdownCurrent decline from peak | -9.61% | -32.32% | +22.71% |
Average DrawdownAverage peak-to-trough decline | -48.63% | -21.29% | -27.34% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.02% | 1.62% | +8.40% |
Volatility
BRNT.L vs. CADUSD=X - Volatility Comparison
WisdomTree Brent Crude Oil (BRNT.L) has a higher volatility of 15.37% compared to CAD/USD (CADUSD=X) at 0.78%. This indicates that BRNT.L's price experiences larger fluctuations and is considered to be riskier than CADUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| BRNT.L | CADUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 15.37% | 0.78% | +14.59% |
Volatility (6M)Calculated over the trailing 6-month period | 36.91% | 3.03% | +33.88% |
Volatility (1Y)Calculated over the trailing 1-year period | 42.09% | 4.04% | +38.05% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 34.68% | 5.82% | +28.86% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 35.36% | 6.22% | +29.14% |
Frequently Asked Questions
BRNT.L and CADUSD=X have a correlation of -0.06, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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