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

Correlation

The correlation between BZ=F and BP is 0.35, 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.


-0.50.00.51.00.4

Performance

BZ=F vs. BP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Crude Oil Brent (BZ=F) and BP p.l.c. (BP). The values are adjusted to include any dividend payments, if applicable.

-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-14.73%
-17.61%
BZ=F
BP

Key characteristics

Sharpe Ratio

BZ=F:

-0.32

BP:

-0.66

Sortino Ratio

BZ=F:

-0.28

BP:

-0.79

Omega Ratio

BZ=F:

0.96

BP:

0.90

Calmar Ratio

BZ=F:

-0.15

BP:

-0.54

Martin Ratio

BZ=F:

-0.58

BP:

-1.13

Ulcer Index

BZ=F:

13.31%

BP:

12.56%

Daily Std Dev

BZ=F:

24.38%

BP:

21.47%

Max Drawdown

BZ=F:

-86.77%

BP:

-69.44%

Current Drawdown

BZ=F:

-49.97%

BP:

-25.24%

Returns By Period

In the year-to-date period, BZ=F achieves a -5.14% return, which is significantly higher than BP's -14.89% return. Over the past 10 years, BZ=F has underperformed BP with an annualized return of 1.70%, while BP has yielded a comparatively higher 2.68% annualized return.


BZ=F

YTD

-5.14%

1M

0.10%

6M

-14.09%

1Y

-7.92%

5Y*

1.91%

10Y*

1.70%

BP

YTD

-14.89%

1M

-2.99%

6M

-16.87%

1Y

-14.89%

5Y*

-0.27%

10Y*

2.68%

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Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for Crude Oil Brent (BZ=F) and BP p.l.c. (BP). 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 market00.000.501.001.502.00-0.32
The chart of Sortino ratio for BZ=F, currently valued at -0.28, compared to the broader market00.000.501.001.502.002.50-0.28
The chart of Omega ratio for BZ=F, currently valued at 0.96, compared to the broader market01.001.101.201.300.96
The chart of Calmar ratio for BZ=F, currently valued at -0.15, compared to the broader market00.001.002.003.00-0.15
The chart of Martin ratio for BZ=F, currently valued at -0.58, compared to the broader market00.002.004.006.008.0010.00-0.58
BZ=F
BP

The current BZ=F Sharpe Ratio is -0.32, which is higher than the BP Sharpe Ratio of -0.66. The chart below compares the historical Sharpe Ratios of BZ=F and BP, 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-0.80-0.60-0.40-0.200.000.200.40JulyAugustSeptemberOctoberNovemberDecember
-0.32
-0.85
BZ=F
BP

Drawdowns

BZ=F vs. BP - Drawdown Comparison

The maximum BZ=F drawdown since its inception was -86.77%, which is greater than BP's maximum drawdown of -69.44%. Use the drawdown chart below to compare losses from any high point for BZ=F and BP. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-49.97%
-25.24%
BZ=F
BP

Volatility

BZ=F vs. BP - Volatility Comparison

The current volatility for Crude Oil Brent (BZ=F) is 5.48%, while BP p.l.c. (BP) has a volatility of 7.25%. This indicates that BZ=F experiences smaller price fluctuations and is considered to be less risky than BP 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%
7.25%
BZ=F
BP
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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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