BZ=F vs. ^GSPC
Compare and contrast key facts about Crude Oil Brent (BZ=F) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: BZ=F or ^GSPC.
Correlation
The correlation between BZ=F and ^GSPC is 0.13, 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.
Performance
BZ=F vs. ^GSPC - Performance Comparison
Key characteristics
BZ=F:
-0.63
^GSPC:
0.24
BZ=F:
-0.73
^GSPC:
0.47
BZ=F:
0.91
^GSPC:
1.07
BZ=F:
-0.30
^GSPC:
0.24
BZ=F:
-1.19
^GSPC:
1.08
BZ=F:
14.36%
^GSPC:
4.25%
BZ=F:
26.19%
^GSPC:
19.00%
BZ=F:
-86.77%
^GSPC:
-56.78%
BZ=F:
-53.67%
^GSPC:
-14.02%
Returns By Period
In the year-to-date period, BZ=F achieves a -9.32% return, which is significantly higher than ^GSPC's -10.18% return. Over the past 10 years, BZ=F has underperformed ^GSPC with an annualized return of 0.62%, while ^GSPC has yielded a comparatively higher 9.68% annualized return.
BZ=F
-9.32%
-3.48%
-8.52%
-22.47%
18.05%
0.62%
^GSPC
-10.18%
-5.91%
-9.57%
5.19%
12.98%
9.68%
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Risk-Adjusted Performance
BZ=F vs. ^GSPC — Risk-Adjusted Performance Rank
BZ=F
^GSPC
BZ=F vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Crude Oil Brent (BZ=F) and S&P 500 (^GSPC). 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.
Drawdowns
BZ=F vs. ^GSPC - Drawdown Comparison
The maximum BZ=F drawdown since its inception was -86.77%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for BZ=F and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
BZ=F vs. ^GSPC - Volatility Comparison
The current volatility for Crude Oil Brent (BZ=F) is 12.89%, while S&P 500 (^GSPC) has a volatility of 13.60%. This indicates that BZ=F experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.