BZ=F vs. ^GSPC
Compare and contrast key facts about Crude Oil Brent (BZ=F) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: BZ=F or ^GSPC.
Performance
BZ=F vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, BZ=F achieves a -4.79% return, which is significantly lower than ^GSPC's 23.56% return. Over the past 10 years, BZ=F has underperformed ^GSPC with an annualized return of -0.88%, while ^GSPC has yielded a comparatively higher 11.10% annualized return.
BZ=F
-4.79%
0.92%
-12.38%
-9.27%
3.12%
-0.88%
^GSPC
23.56%
0.49%
11.03%
30.56%
13.70%
11.10%
Key characteristics
| BZ=F | ^GSPC | |
|---|---|---|
| Sharpe Ratio | -0.18 | 2.51 |
| Sortino Ratio | -0.08 | 3.36 |
| Omega Ratio | 0.99 | 1.47 |
| Calmar Ratio | -0.09 | 3.62 |
| Martin Ratio | -0.38 | 16.12 |
| Ulcer Index | 11.84% | 1.91% |
| Daily Std Dev | 25.38% | 12.27% |
| Max Drawdown | -86.77% | -56.78% |
| Current Drawdown | -49.79% | -1.80% |
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Correlation
The correlation between BZ=F and ^GSPC is 0.12, 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. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Crude Oil Brent (BZ=F) and S&P 500 (^GSPC). 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. ^GSPC - Drawdown Comparison
The maximum BZ=F drawdown since its inception was -86.77%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for BZ=F and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
BZ=F vs. ^GSPC - Volatility Comparison
Crude Oil Brent (BZ=F) has a higher volatility of 9.23% compared to S&P 500 (^GSPC) at 3.93%. This indicates that BZ=F's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.