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BZ=F vs. OIH
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between BZ=F and OIH is 0.50, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

BZ=F vs. OIH - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Crude Oil Brent (BZ=F) and VanEck Vectors Oil Services ETF (OIH). The values are adjusted to include any dividend payments, if applicable.

-20.00%-15.00%-10.00%-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
-14.74%
-12.45%
BZ=F
OIH

Key characteristics

Sharpe Ratio

BZ=F:

-0.32

OIH:

-0.51

Sortino Ratio

BZ=F:

-0.28

OIH:

-0.56

Omega Ratio

BZ=F:

0.96

OIH:

0.93

Calmar Ratio

BZ=F:

-0.15

OIH:

-0.18

Martin Ratio

BZ=F:

-0.58

OIH:

-1.09

Ulcer Index

BZ=F:

13.31%

OIH:

12.34%

Daily Std Dev

BZ=F:

24.38%

OIH:

26.63%

Max Drawdown

BZ=F:

-86.77%

OIH:

-94.24%

Current Drawdown

BZ=F:

-49.97%

OIH:

-76.31%

Returns By Period

In the year-to-date period, BZ=F achieves a -5.14% return, which is significantly higher than OIH's -13.91% return. Over the past 10 years, BZ=F has outperformed OIH with an annualized return of 1.70%, while OIH has yielded a comparatively lower -8.34% annualized return.


BZ=F

YTD

-5.14%

1M

0.10%

6M

-14.09%

1Y

-7.92%

5Y*

1.91%

10Y*

1.70%

OIH

YTD

-13.91%

1M

-9.81%

6M

-11.49%

1Y

-14.88%

5Y*

1.44%

10Y*

-8.34%

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Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for Crude Oil Brent (BZ=F) and VanEck Vectors Oil Services ETF (OIH). 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 BZ=F, currently valued at -0.32, compared to the broader market0.000.501.001.502.00-0.32-0.28
The chart of Sortino ratio for BZ=F, currently valued at -0.28, compared to the broader market0.000.501.001.502.002.50-0.28-0.23
The chart of Omega ratio for BZ=F, currently valued at 0.96, compared to the broader market1.001.101.201.300.960.97
The chart of Calmar ratio for BZ=F, currently valued at -0.15, compared to the broader market0.001.002.003.00-0.15-0.09
The chart of Martin ratio for BZ=F, currently valued at -0.58, compared to the broader market0.002.004.006.008.0010.00-0.58-0.56
BZ=F
OIH

The current BZ=F Sharpe Ratio is -0.32, which is higher than the OIH Sharpe Ratio of -0.51. The chart below compares the historical Sharpe Ratios of BZ=F and OIH, 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-0.80-0.60-0.40-0.200.000.20JulyAugustSeptemberOctoberNovemberDecember
-0.32
-0.28
BZ=F
OIH

Drawdowns

BZ=F vs. OIH - Drawdown Comparison

The maximum BZ=F drawdown since its inception was -86.77%, smaller than the maximum OIH drawdown of -94.24%. Use the drawdown chart below to compare losses from any high point for BZ=F and OIH. For additional features, visit the drawdowns tool.


-80.00%-70.00%-60.00%-50.00%-40.00%JulyAugustSeptemberOctoberNovemberDecember
-49.97%
-76.31%
BZ=F
OIH

Volatility

BZ=F vs. OIH - Volatility Comparison

The current volatility for Crude Oil Brent (BZ=F) is 5.48%, while VanEck Vectors Oil Services ETF (OIH) has a volatility of 6.29%. This indicates that BZ=F experiences smaller price fluctuations and is considered to be less risky than OIH 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
5.48%
6.29%
BZ=F
OIH
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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.

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