BZ=F vs. CL=F
Compare and contrast key facts about Crude Oil Brent (BZ=F) and Crude Oil WTI (CL=F).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: BZ=F or CL=F.
Key characteristics
| BZ=F | CL=F | |
|---|---|---|
| YTD Return | 16.17% | 17.03% |
| 1Y Return | 14.20% | 12.16% |
| 3Y Return (Ann) | 9.98% | 8.69% |
| 5Y Return (Ann) | 4.25% | 4.99% |
| 10Y Return (Ann) | -1.90% | -1.65% |
| Sharpe Ratio | 0.60 | 0.77 |
| Daily Std Dev | 27.46% | 28.71% |
| Max Drawdown | -86.77% | -93.11% |
| Current Drawdown | -38.73% | -42.29% |
Correlation
The correlation between BZ=F and CL=F is 0.78, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
BZ=F vs. CL=F - Performance Comparison
In the year-to-date period, BZ=F achieves a 16.17% return, which is significantly lower than CL=F's 17.03% return. Over the past 10 years, BZ=F has underperformed CL=F with an annualized return of -1.90%, while CL=F has yielded a comparatively higher -1.65% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
BZ=F vs. CL=F - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Crude Oil Brent (BZ=F) and Crude Oil WTI (CL=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.
Drawdowns
BZ=F vs. CL=F - Drawdown Comparison
The maximum BZ=F drawdown since its inception was -86.77%, smaller than the maximum CL=F drawdown of -93.11%. Use the drawdown chart below to compare losses from any high point for BZ=F and CL=F. For additional features, visit the drawdowns tool.
Volatility
BZ=F vs. CL=F - Volatility Comparison
The current volatility for Crude Oil Brent (BZ=F) is 5.04%, while Crude Oil WTI (CL=F) has a volatility of 5.33%. This indicates that BZ=F experiences smaller price fluctuations and is considered to be less risky than CL=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.