BZ=F vs. HG=F
Compare and contrast key facts about Crude Oil Brent (BZ=F) and Copper (HG=F).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: BZ=F or HG=F.
Performance
BZ=F vs. HG=F - Performance Comparison
Returns By Period
In the year-to-date period, BZ=F achieves a -4.79% return, which is significantly lower than HG=F's 6.65% return. Over the past 10 years, BZ=F has underperformed HG=F with an annualized return of -0.88%, while HG=F has yielded a comparatively higher 3.14% annualized return.
BZ=F
-4.79%
0.92%
-12.38%
-9.27%
3.12%
-0.88%
HG=F
6.65%
-4.77%
-18.65%
10.73%
9.18%
3.14%
Key characteristics
| BZ=F | HG=F | |
|---|---|---|
| Sharpe Ratio | -0.18 | 0.34 |
| Sortino Ratio | -0.08 | 0.62 |
| Omega Ratio | 0.99 | 1.08 |
| Calmar Ratio | -0.09 | 0.30 |
| Martin Ratio | -0.38 | 0.64 |
| Ulcer Index | 11.84% | 11.76% |
| Daily Std Dev | 25.38% | 22.18% |
| Max Drawdown | -86.77% | -62.54% |
| Current Drawdown | -49.79% | -19.15% |
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Correlation
The correlation between BZ=F and HG=F is 0.35, 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.
Risk-Adjusted Performance
BZ=F vs. HG=F - Risk-Adjusted Performance 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.
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 -62.54%. Use the drawdown chart below to compare losses from any high point for BZ=F and HG=F. For additional features, visit the drawdowns tool.
Volatility
BZ=F vs. HG=F - Volatility Comparison
Crude Oil Brent (BZ=F) has a higher volatility of 9.23% compared to Copper (HG=F) at 8.59%. 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.