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.
Key characteristics
| BZ=F | ^GSPC | |
|---|---|---|
| YTD Return | 8.20% | 9.47% |
| 1Y Return | 12.39% | 26.61% |
| 3Y Return (Ann) | 6.35% | 7.78% |
| 5Y Return (Ann) | 2.93% | 12.90% |
| 10Y Return (Ann) | -2.64% | 10.79% |
| Sharpe Ratio | 0.34 | 2.28 |
| Daily Std Dev | 26.68% | 11.58% |
| Max Drawdown | -86.77% | -56.78% |
| Current Drawdown | -42.94% | -0.63% |
Correlation
The correlation between BZ=F and ^GSPC is 0.13, 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.
Performance
BZ=F vs. ^GSPC - Performance Comparison
In the year-to-date period, BZ=F achieves a 8.20% return, which is significantly lower than ^GSPC's 9.47% return. Over the past 10 years, BZ=F has underperformed ^GSPC with an annualized return of -2.64%, while ^GSPC has yielded a comparatively higher 10.79% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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 6.12% compared to S&P 500 (^GSPC) at 3.22%. 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.