BZ=F vs. ^XSP

Last updated Apr 3, 2026

Compare and contrast key facts about Crude Oil Brent (BZ=F) and S&P 500 Mini-SPX Options Index (^XSP).

Performance

BZ=F vs. ^XSP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Crude Oil Brent (BZ=F) and S&P 500 Mini-SPX Options Index (^XSP). The values are adjusted to include any dividend payments, if applicable.

BZ=F vs. ^XSP - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
BZ=F Crude Oil Brent	79.21%	-18.48%	-3.12%	-10.32%	10.45%	22.12%
^XSP S&P 500 Mini-SPX Options Index	-3.84%	16.39%	23.31%	24.23%	-19.44%	22.15%

Returns By Period

In the year-to-date period, BZ=F achieves a 79.21% return, which is significantly higher than ^XSP's -3.84% return.

BZ=F

• 1D: 7.80%
• 1M: 33.97%
• YTD: 79.21%
• 6M: 70.10%
• 1Y: 45.50%
• 3Y*: 8.69%
• 5Y*: 10.95%
• 10Y*: 11.21%

^XSP

• 1D: 0.11%
• 1M: -3.43%
• YTD: -3.84%
• 6M: -1.98%
• 1Y: 16.08%
• 3Y*: 16.86%
• 5Y*: 10.37%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

BZ=F vs. ^XSP — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

BZ=F

BZ=F Risk / Return Rank: 52
BZ=F Sharpe Ratio Rank: 46
BZ=F Sortino Ratio Rank: 45
BZ=F Omega Ratio Rank: 43
BZ=F Calmar Ratio Rank: 85
BZ=F Martin Ratio Rank: 41

^XSP

^XSP Risk / Return Rank: 58
^XSP Sharpe Ratio Rank: 52
^XSP Sortino Ratio Rank: 55
^XSP Omega Ratio Rank: 60
^XSP Calmar Ratio Rank: 52
^XSP Martin Ratio Rank: 70

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

BZ=F vs. ^XSP - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Crude Oil Brent (BZ=F) and S&P 500 Mini-SPX Options Index (^XSP). 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.

	BZ=F	^XSP	Difference
Sharpe ratio Return per unit of total volatility	0.93	0.88	+0.05
Sortino ratio Return per unit of downside risk	1.42	1.37	+0.05
Omega ratio Gain probability vs. loss probability	1.21	1.21	0.00
Calmar ratio Return relative to maximum drawdown	2.93	1.39	+1.54
Martin ratio Return relative to average drawdown	5.15	6.43	-1.28
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

BZ=F vs. ^XSP - Sharpe Ratio Comparison

The current BZ=F Sharpe Ratio is 0.93, which is comparable to the ^XSP Sharpe Ratio of 0.88. The chart below compares the historical Sharpe Ratios of BZ=F and ^XSP, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	BZ=F	^XSP	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.93	0.88	+0.05
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.29	0.62	-0.32
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.28	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.15	0.64	-0.50

Correlation

The correlation between BZ=F and ^XSP is 0.08, 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.

Drawdowns

BZ=F vs. ^XSP - Drawdown Comparison

The maximum BZ=F drawdown since its inception was -86.77%, which is greater than ^XSP's maximum drawdown of -25.43%. Use the drawdown chart below to compare losses from any high point for BZ=F and ^XSP.

Drawdown Indicators

	BZ=F	^XSP	Difference
Max Drawdown Largest peak-to-trough decline	-86.77%	-25.43%	-61.34%
Max Drawdown (1Y) Largest decline over 1 year	-23.58%	-9.10%	-14.48%
Max Drawdown (5Y) Largest decline over 5 years	-53.96%	-25.43%	-28.53%
Max Drawdown (10Y) Largest decline over 10 years	-77.60%	—	—
Current Drawdown Current decline from peak	-25.35%	-5.67%	-19.68%
Average Drawdown Average peak-to-trough decline	-41.03%	-6.03%	-35.00%
Ulcer Index Depth and duration of drawdowns from previous peaks	13.39%	2.62%	+10.77%

Volatility

BZ=F vs. ^XSP - Volatility Comparison

Crude Oil Brent (BZ=F) has a higher volatility of 32.56% compared to S&P 500 Mini-SPX Options Index (^XSP) at 5.29%. This indicates that BZ=F's price experiences larger fluctuations and is considered to be riskier than ^XSP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	BZ=F	^XSP	Difference
Volatility (1M) Calculated over the trailing 1-month period	32.56%	5.29%	+27.27%
Volatility (6M) Calculated over the trailing 6-month period	37.42%	9.55%	+27.87%
Volatility (1Y) Calculated over the trailing 1-year period	42.56%	18.33%	+24.23%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	35.84%	16.92%	+18.92%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	38.61%	16.88%	+21.73%