BZ=F vs. GC=F

Last updated Jun 3, 2026

BZ=F (Crude Oil Brent) and GC=F (Gold) are both assets. Over the past 10 years, BZ=F returned 6.79%/yr vs 13.80%/yr for GC=F. At a 0.16 correlation, their price movements are largely independent.

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.

Returns By Period

In the year-to-date period, BZ=F achieves a 57.40% return, which is significantly higher than GC=F's 4.48% return. Over the past 10 years, BZ=F has underperformed GC=F with an annualized return of 6.79%, while GC=F has yielded a comparatively higher 13.80% annualized return.

BZ=F

• 1D: 0.84%
• 1M: -11.45%
• YTD: 57.40%
• 6M: 53.37%
• 1Y: 48.20%
• 3Y*: 7.95%
• 5Y*: 6.08%
• 10Y*: 6.79%

GC=F

• 1D: 0.98%
• 1M: -2.39%
• YTD: 4.48%
• 6M: 7.94%
• 1Y: 34.08%
• 3Y*: 32.28%
• 5Y*: 19.29%
• 10Y*: 13.80%

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

BZ=F vs. GC=F - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
BZ=F Crude Oil Brent	57.40%	-18.48%	-3.12%	-10.32%	10.45%	50.15%	-21.52%	22.68%	-19.55%	17.69%
GC=F Gold	4.48%	64.52%	27.48%	13.34%	-0.43%	-3.47%	24.59%	18.87%	-2.14%	13.59%

Correlation

The correlation between BZ=F and GC=F is -0.09, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.09
Correlation (3Y) Calculated over the trailing 3-year period	0.05
Correlation (5Y) Calculated over the trailing 5-year period	0.10
Correlation (10Y) Calculated over the trailing 10-year period	0.06
Correlation (All Time) Calculated using the full available price history since Aug 30, 2000	0.16

The correlation between BZ=F and GC=F shifts across timeframes, from -0.09 (1 year) to 0.16 (all time), reflecting how their relationship changes across market environments.

Return for Risk

BZ=F vs. GC=F — 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: 33
BZ=F Sharpe Ratio Rank: 22
BZ=F Sortino Ratio Rank: 27
BZ=F Omega Ratio Rank: 20
BZ=F Calmar Ratio Rank: 51
BZ=F Martin Ratio Rank: 48

GC=F

GC=F Risk / Return Rank: 54
GC=F Sharpe Ratio Rank: 48
GC=F Sortino Ratio Rank: 48
GC=F Omega Ratio Rank: 45
GC=F Calmar Ratio Rank: 61
GC=F Martin Ratio Rank: 67

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. GC=F - Risk-Adjusted Trends 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.

	BZ=F	GC=F	Difference
Sharpe ratio Return per unit of total volatility	0.89	1.25	-0.35
Sortino ratio Return per unit of downside risk	1.35	1.63	-0.28
Omega ratio Gain probability vs. loss probability	1.20	1.25	-0.05
Calmar ratio Return relative to maximum drawdown	1.75	2.03	-0.29
Martin ratio Return relative to average drawdown	3.64	5.15	-1.50
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. GC=F - Sharpe Ratio Comparison

The current BZ=F Sharpe Ratio is 0.89, which is comparable to the GC=F Sharpe Ratio of 1.25. The chart below compares the historical Sharpe Ratios of BZ=F and GC=F, 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	GC=F	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.89	1.25	-0.35
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.16	1.05	-0.90
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.17	0.84	-0.67
Sharpe Ratio (All Time) Calculated using the full available price history	0.13	0.62	-0.49

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.

Drawdown Indicators

	BZ=F	GC=F	Difference
Max Drawdown Largest peak-to-trough decline	-86.77%	-44.36%	-42.41%
Max Drawdown (1Y) Largest decline over 1 year	-23.63%	-17.73%	-5.90%
Max Drawdown (3Y) Largest decline over 3 years	-38.97%	-17.73%	-21.24%
Max Drawdown (5Y) Largest decline over 5 years	-53.96%	-20.43%	-33.53%
Max Drawdown (10Y) Largest decline over 10 years	-77.60%	-20.87%	-56.73%
Current Drawdown Current decline from peak	-34.43%	-15.03%	-19.40%
Average Drawdown Average peak-to-trough decline	-40.98%	-13.03%	-27.95%
Ulcer Index Depth and duration of drawdowns from previous peaks	11.34%	7.01%	+4.33%

Volatility

BZ=F vs. GC=F - Volatility Comparison

Crude Oil Brent (BZ=F) has a higher volatility of 16.99% compared to Gold (GC=F) at 5.37%. 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.

Volatility by Period

	BZ=F	GC=F	Difference
Volatility (1M) Calculated over the trailing 1-month period	16.99%	5.37%	+11.62%
Volatility (6M) Calculated over the trailing 6-month period	45.63%	23.05%	+22.58%
Volatility (1Y) Calculated over the trailing 1-year period	47.56%	26.56%	+21.00%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	37.42%	18.21%	+19.21%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	39.20%	16.44%	+22.76%

Frequently Asked Questions

Can I hold both BZ=F and GC=F in my portfolio?

BZ=F and GC=F have a correlation of -0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, BZ=F or GC=F?

BZ=F has higher volatility (16.99%) compared to GC=F (5.37%). In terms of maximum drawdown, BZ=F dropped -86.77% vs GC=F's -44.36%.

Which has better risk-adjusted returns?

GC=F currently has the higher Sharpe Ratio (1.25 vs 0.89), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.