BZ=F vs. HG=F

Last updated Jun 3, 2026

BZ=F (Crude Oil Brent) and HG=F (Copper) are both assets. Over the past 10 years, BZ=F returned 6.79%/yr vs 12.18%/yr for HG=F. At a 0.20 correlation, their price movements are largely independent.

Performance

BZ=F vs. HG=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Crude Oil Brent (BZ=F) and Copper (HG=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 HG=F's 18.61% return. Over the past 10 years, BZ=F has underperformed HG=F with an annualized return of 6.79%, while HG=F has yielded a comparatively higher 12.18% 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%

HG=F

• 1D: 2.35%
• 1M: 12.57%
• YTD: 18.61%
• 6M: 27.36%
• 1Y: 37.44%
• 3Y*: 21.37%
• 5Y*: 8.38%
• 10Y*: 12.18%

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

BZ=F vs. HG=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%
HG=F Copper	18.61%	39.82%	3.50%	2.10%	-14.63%	26.84%	25.81%	6.31%	-20.28%	31.73%

Correlation

The correlation between BZ=F and HG=F is -0.12, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.12
Correlation (3Y) Calculated over the trailing 3-year period	0.09
Correlation (5Y) Calculated over the trailing 5-year period	0.22
Correlation (10Y) Calculated over the trailing 10-year period	0.22
Correlation (All Time) Calculated using the full available price history since Aug 2, 1988	0.20

The correlation between BZ=F and HG=F shifts across timeframes, from -0.12 (1 year) to 0.22 (10 years), reflecting how their relationship changes across market environments.

Return for Risk

BZ=F vs. HG=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

HG=F

HG=F Risk / Return Rank: 27
HG=F Sharpe Ratio Rank: 34
HG=F Sortino Ratio Rank: 19
HG=F Omega Ratio Rank: 39
HG=F Calmar Ratio Rank: 22
HG=F Martin Ratio Rank: 22

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. HG=F - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Crude Oil Brent (BZ=F) and Copper (HG=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	HG=F	Difference
Sharpe ratio Return per unit of total volatility	0.89	0.93	-0.03
Sortino ratio Return per unit of downside risk	1.35	1.30	+0.05
Omega ratio Gain probability vs. loss probability	1.20	1.23	-0.03
Calmar ratio Return relative to maximum drawdown	1.75	1.31	+0.44
Martin ratio Return relative to average drawdown	3.64	2.70	+0.94
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. HG=F - Sharpe Ratio Comparison

The current BZ=F Sharpe Ratio is 0.89, which is comparable to the HG=F Sharpe Ratio of 0.93. The chart below compares the historical Sharpe Ratios of BZ=F and HG=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	HG=F	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.89	0.93	-0.03
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.16	0.29	-0.14
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.17	0.49	-0.32
Sharpe Ratio (All Time) Calculated using the full available price history	0.13	0.21	-0.08

Drawdowns

BZ=F vs. HG=F - Drawdown Comparison

The maximum BZ=F drawdown since its inception was -86.77%, which is greater than HG=F's maximum drawdown of -68.86%. Use the drawdown chart below to compare losses from any high point for BZ=F and HG=F.

Drawdown Indicators

	BZ=F	HG=F	Difference
Max Drawdown Largest peak-to-trough decline	-86.77%	-68.86%	-17.91%
Max Drawdown (1Y) Largest decline over 1 year	-23.63%	-25.17%	+1.54%
Max Drawdown (3Y) Largest decline over 3 years	-38.97%	-25.17%	-13.80%
Max Drawdown (5Y) Largest decline over 5 years	-53.96%	-34.96%	-19.00%
Max Drawdown (10Y) Largest decline over 10 years	-77.60%	-36.54%	-41.06%
Current Drawdown Current decline from peak	-34.43%	0.00%	-34.43%
Average Drawdown Average peak-to-trough decline	-40.98%	-29.58%	-11.40%
Ulcer Index Depth and duration of drawdowns from previous peaks	11.34%	12.17%	-0.83%

Volatility

BZ=F vs. HG=F - Volatility Comparison

Crude Oil Brent (BZ=F) has a higher volatility of 16.99% compared to Copper (HG=F) at 8.83%. This indicates that BZ=F's price experiences larger fluctuations and is considered to be riskier than HG=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	BZ=F	HG=F	Difference
Volatility (1M) Calculated over the trailing 1-month period	16.99%	8.83%	+8.16%
Volatility (6M) Calculated over the trailing 6-month period	45.63%	21.91%	+23.72%
Volatility (1Y) Calculated over the trailing 1-year period	47.56%	35.53%	+12.03%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	37.42%	26.89%	+10.53%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	39.20%	23.67%	+15.53%

Frequently Asked Questions

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

BZ=F and HG=F have a correlation of -0.12, 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 HG=F?

BZ=F has higher volatility (16.99%) compared to HG=F (8.83%). In terms of maximum drawdown, BZ=F dropped -86.77% vs HG=F's -68.86%.

Which has better risk-adjusted returns?

HG=F currently has the higher Sharpe Ratio (0.93 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.