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.
Performance
BZ=F vs. CL=F - Performance Comparison
Returns By Period
In the year-to-date period, BZ=F achieves a -8.01% return, which is significantly lower than CL=F's -6.91% return. Both investments have delivered pretty close results over the past 10 years, with BZ=F having a -1.08% annualized return and CL=F not far behind at -1.10%.
BZ=F
-8.01%
-2.49%
-15.61%
-12.08%
2.92%
-1.08%
CL=F
-6.91%
-3.64%
-16.69%
-12.11%
3.40%
-1.10%
Key characteristics
| BZ=F | CL=F | |
|---|---|---|
| Sharpe Ratio | -0.35 | -0.25 |
| Sortino Ratio | -0.33 | -0.16 |
| Omega Ratio | 0.96 | 0.98 |
| Calmar Ratio | -0.16 | -0.13 |
| Martin Ratio | -0.73 | -0.60 |
| Ulcer Index | 11.79% | 11.53% |
| Daily Std Dev | 25.19% | 27.91% |
| Max Drawdown | -86.77% | -93.11% |
| Current Drawdown | -51.49% | -54.09% |
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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.
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 8.58%, while Crude Oil WTI (CL=F) has a volatility of 9.55%. 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.