BRNT.L vs. HG=F
BRNT.L (WisdomTree Brent Crude Oil) is Oil & Gas fund tracking the Bloomberg Brent Crude Subindex, while HG=F (Copper) is an asset. Over the past 10 years, BRNT.L returned 13.59%/yr vs 11.90%/yr for HG=F. At a 0.24 correlation, their price movements are largely independent.
Performance
BRNT.L vs. HG=F - 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 HG=F's 15.98% return. Over the past 10 years, BRNT.L has outperformed HG=F with an annualized return of 13.59%, while HG=F has yielded a comparatively lower 11.90% 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%
HG=F
- 1D
- 0.75%
- 1M
- 6.40%
- YTD
- 15.98%
- 6M
- 19.54%
- 1Y
- 32.36%
- 3Y*
- 20.05%
- 5Y*
- 7.58%
- 10Y*
- 11.90%
BRNT.L vs. HG=F - 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% |
HG=F Copper | 15.98% | 39.82% | 3.50% | 2.10% | -14.63% | 26.84% | 25.81% | 6.31% | -20.28% | 31.73% |
Correlation
The correlation between BRNT.L and HG=F is -0.11, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.11 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.10 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.22 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.23 |
Correlation (All Time) Calculated using the full available price history since Mar 8, 2012 | 0.24 |
The correlation between BRNT.L and HG=F shifts across timeframes, from -0.11 (1 year) to 0.24 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
BRNT.L vs. HG=F — Risk / Return Rank
BRNT.L
HG=F
BRNT.L vs. HG=F - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Brent Crude Oil (BRNT.L) and Copper (HG=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.
| BRNT.L | HG=F | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.17 | ||
| Sortino ratioReturn per unit of downside risk | +1.19 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.21 | +0.14 |
| Calmar ratioReturn relative to maximum drawdown | 4.51 | 1.17 | +3.34 |
| Martin ratioReturn relative to average drawdown | 8.41 | 2.57 | +5.85 |
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 | HG=F | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.00 | 0.83 | +1.17 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.68 | 0.27 | +0.41 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.39 | 0.48 | -0.09 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.04 | 0.21 | -0.17 |
Drawdowns
BRNT.L vs. HG=F - Drawdown Comparison
The maximum BRNT.L drawdown since its inception was -85.97%, which is greater than HG=F's maximum drawdown of -68.86%. Use the drawdown chart below to compare losses from any high point for BRNT.L and HG=F.
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Drawdown Indicators
| BRNT.L | HG=F | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -85.97% | -68.86% | -17.11% |
Max Drawdown (1Y)Largest decline over 1 year | -18.66% | -25.17% | +6.51% |
Max Drawdown (3Y)Largest decline over 3 years | -24.88% | -25.17% | +0.29% |
Max Drawdown (5Y)Largest decline over 5 years | -31.44% | -34.96% | +3.52% |
Max Drawdown (10Y)Largest decline over 10 years | -71.94% | -36.54% | -35.40% |
Current DrawdownCurrent decline from peak | -9.61% | -1.80% | -7.81% |
Average DrawdownAverage peak-to-trough decline | -48.63% | -29.58% | -19.05% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.02% | 12.17% | -2.15% |
Volatility
BRNT.L vs. HG=F - Volatility Comparison
WisdomTree Brent Crude Oil (BRNT.L) has a higher volatility of 15.37% compared to Copper (HG=F) at 8.62%. This indicates that BRNT.L's price experiences larger fluctuations and is considered to be riskier than HG=F 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 | HG=F | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 15.37% | 8.62% | +6.75% |
Volatility (6M)Calculated over the trailing 6-month period | 36.91% | 21.89% | +15.02% |
Volatility (1Y)Calculated over the trailing 1-year period | 42.09% | 35.56% | +6.53% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 34.68% | 26.87% | +7.81% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 35.36% | 23.67% | +11.69% |
Frequently Asked Questions
BRNT.L and HG=F have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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