BZ=F vs. EURUSD=X

Last updated Apr 4, 2026

Compare and contrast key facts about Crude Oil Brent (BZ=F) and EUR/USD (EURUSD=X).

Performance

BZ=F vs. EURUSD=X - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Crude Oil Brent (BZ=F) and EUR/USD (EURUSD=X). The values are adjusted to include any dividend payments, if applicable.

BZ=F vs. EURUSD=X - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
BZ=F Crude Oil Brent	79.18%	-18.48%	-3.12%	-10.32%	10.45%	50.15%	-21.52%	22.68%	-19.55%	17.69%
EURUSD=X EUR/USD	-1.90%	13.43%	-6.18%	3.16%	-6.01%	-6.81%	8.85%	-1.94%	-4.66%	14.14%

Returns By Period

In the year-to-date period, BZ=F achieves a 79.18% return, which is significantly higher than EURUSD=X's -1.90% return. Over the past 10 years, BZ=F has outperformed EURUSD=X with an annualized return of 11.21%, while EURUSD=X has yielded a comparatively lower 0.12% annualized return.

BZ=F

• 1D: 7.78%
• 1M: 33.94%
• YTD: 79.18%
• 6M: 68.96%
• 1Y: 55.45%
• 3Y*: 8.68%
• 5Y*: 10.95%
• 10Y*: 11.21%

EURUSD=X

• 1D: -0.15%
• 1M: -0.97%
• YTD: -1.90%
• 6M: -1.88%
• 1Y: 4.26%
• 3Y*: 1.71%
• 5Y*: -0.41%
• 10Y*: 0.12%

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

Return for Risk

BZ=F vs. EURUSD=X — 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: 38
BZ=F Sharpe Ratio Rank: 24
BZ=F Sortino Ratio Rank: 25
BZ=F Omega Ratio Rank: 25
BZ=F Calmar Ratio Rank: 80
BZ=F Martin Ratio Rank: 38

EURUSD=X

EURUSD=X Risk / Return Rank: 56
EURUSD=X Sharpe Ratio Rank: 65
EURUSD=X Sortino Ratio Rank: 65
EURUSD=X Omega Ratio Rank: 64
EURUSD=X Calmar Ratio Rank: 43
EURUSD=X Martin Ratio Rank: 43

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. EURUSD=X - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Crude Oil Brent (BZ=F) and EUR/USD (EURUSD=X). 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	EURUSD=X	Difference
Sharpe ratio Return per unit of total volatility	0.93	0.49	+0.44
Sortino ratio Return per unit of downside risk	1.42	0.81	+0.61
Omega ratio Gain probability vs. loss probability	1.21	1.10	+0.11
Calmar ratio Return relative to maximum drawdown	2.92	-0.05	+2.97
Martin ratio Return relative to average drawdown	5.15	-0.12	+5.27
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. EURUSD=X - Sharpe Ratio Comparison

The current BZ=F Sharpe Ratio is 0.93, which is higher than the EURUSD=X Sharpe Ratio of 0.49. The chart below compares the historical Sharpe Ratios of BZ=F and EURUSD=X, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	BZ=F	EURUSD=X	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.93	0.49	+0.44
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.29	-0.05	+0.34
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.28	0.02	+0.26
Sharpe Ratio (All Time) Calculated using the full available price history	0.15	-0.07	+0.22

Correlation

The correlation between BZ=F and EURUSD=X is 0.15, 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. EURUSD=X - Drawdown Comparison

The maximum BZ=F drawdown since its inception was -86.77%, which is greater than EURUSD=X's maximum drawdown of -40.01%. Use the drawdown chart below to compare losses from any high point for BZ=F and EURUSD=X.

Drawdown Indicators

	BZ=F	EURUSD=X	Difference
Max Drawdown Largest peak-to-trough decline	-86.77%	-40.01%	-46.76%
Max Drawdown (1Y) Largest decline over 1 year	-23.58%	-5.19%	-18.39%
Max Drawdown (5Y) Largest decline over 5 years	-53.96%	-21.68%	-32.28%
Max Drawdown (10Y) Largest decline over 10 years	-77.60%	-23.31%	-54.29%
Current Drawdown Current decline from peak	-25.36%	-27.95%	+2.59%
Average Drawdown Average peak-to-trough decline	-41.03%	-23.13%	-17.90%
Ulcer Index Depth and duration of drawdowns from previous peaks	13.39%	2.06%	+11.33%

Volatility

BZ=F vs. EURUSD=X - Volatility Comparison

Crude Oil Brent (BZ=F) has a higher volatility of 32.56% compared to EUR/USD (EURUSD=X) at 2.28%. This indicates that BZ=F's price experiences larger fluctuations and is considered to be riskier than EURUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	BZ=F	EURUSD=X	Difference
Volatility (1M) Calculated over the trailing 1-month period	32.56%	2.28%	+30.28%
Volatility (6M) Calculated over the trailing 6-month period	37.42%	4.19%	+33.23%
Volatility (1Y) Calculated over the trailing 1-year period	42.55%	7.17%	+35.38%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	35.84%	7.46%	+28.38%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	38.61%	7.21%	+31.40%