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

BZ=F vs. GC=F

Last updated May 16, 2025

Compare and contrast key facts about Crude Oil Brent (BZ=F) and Gold (GC=F).

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: BZ=F or GC=F.

Correlation

The correlation between BZ=F and GC=F is -0.00. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Performance

BZ=F vs. GC=F - Performance Comparison

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

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Key characteristics

Sharpe Ratio

BZ=F:

-0.75

GC=F:

1.96

Sortino Ratio

BZ=F:

-0.91

GC=F:

2.56

Omega Ratio

BZ=F:

0.89

GC=F:

1.34

Calmar Ratio

BZ=F:

-0.36

GC=F:

4.48

Martin Ratio

BZ=F:

-1.38

GC=F:

11.40

Ulcer Index

BZ=F:

15.46%

GC=F:

3.14%

Daily Std Dev

BZ=F:

28.29%

GC=F:

18.22%

Max Drawdown

BZ=F:

-86.77%

GC=F:

-44.36%

Current Drawdown

BZ=F:

-55.76%

GC=F:

-4.94%

Returns By Period

In the year-to-date period, BZ=F achieves a -13.42% return, which is significantly lower than GC=F's 23.34% return. Over the past 10 years, BZ=F has underperformed GC=F with an annualized return of -0.25%, while GC=F has yielded a comparatively higher 10.21% annualized return.

BZ=F

YTD

-13.42%

1M

-0.08%

6M

-10.94%

1Y

-21.91%

5Y*

14.35%

10Y*

-0.25%

GC=F

YTD

23.34%

1M

0.75%

6M

26.27%

1Y

35.76%

5Y*

13.10%

10Y*

10.21%

*Annualized

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Risk-Adjusted Performance

BZ=F vs. GC=F — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
BZ=F
GC=F
The Risk-Adjusted Performance Rank of GC=F is 100100
Overall Rank
The Sharpe Ratio Rank of GC=F is 100100
Sharpe Ratio Rank
The Sortino Ratio Rank of GC=F is 100100
Sortino Ratio Rank
The Omega Ratio Rank of GC=F is 100100
Omega Ratio Rank
The Calmar Ratio Rank of GC=F is 100100
Calmar Ratio Rank
The Martin Ratio Rank of GC=F is 100100
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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

This table presents a comparison of risk-adjusted performance metrics for Crude Oil Brent (BZ=F) and Gold (GC=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.

The current BZ=F Sharpe Ratio is -0.75, which is lower than the GC=F Sharpe Ratio of 1.96. The chart below compares the historical Sharpe Ratios of BZ=F and GC=F, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

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Drawdowns

BZ=F vs. GC=F - Drawdown Comparison

The maximum BZ=F drawdown since its inception was -86.77%, which is greater than GC=F's maximum drawdown of -44.36%. Use the drawdown chart below to compare losses from any high point for BZ=F and GC=F. For additional features, visit the drawdowns tool.

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Volatility

BZ=F vs. GC=F - Volatility Comparison

Crude Oil Brent (BZ=F) has a higher volatility of 9.90% compared to Gold (GC=F) at 8.93%. This indicates that BZ=F's price experiences larger fluctuations and is considered to be riskier than GC=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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