BZ=F vs. ^IXIC
Compare and contrast key facts about Crude Oil Brent (BZ=F) and NASDAQ Composite (^IXIC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: BZ=F or ^IXIC.
Performance
BZ=F vs. ^IXIC - Performance Comparison
Returns By Period
In the year-to-date period, BZ=F achieves a -8.01% return, which is significantly lower than ^IXIC's 24.44% return. Over the past 10 years, BZ=F has underperformed ^IXIC with an annualized return of -1.08%, while ^IXIC has yielded a comparatively higher 14.84% annualized return.
BZ=F
-8.01%
-2.49%
-15.61%
-12.08%
2.92%
-1.08%
^IXIC
24.44%
1.03%
11.95%
32.24%
16.92%
14.84%
Key characteristics
| BZ=F | ^IXIC | |
|---|---|---|
| Sharpe Ratio | -0.35 | 1.85 |
| Sortino Ratio | -0.33 | 2.45 |
| Omega Ratio | 0.96 | 1.33 |
| Calmar Ratio | -0.16 | 2.47 |
| Martin Ratio | -0.73 | 9.20 |
| Ulcer Index | 11.79% | 3.53% |
| Daily Std Dev | 25.19% | 17.51% |
| Max Drawdown | -86.77% | -77.93% |
| Current Drawdown | -51.49% | -3.21% |
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Correlation
The correlation between BZ=F and ^IXIC is 0.10, 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. ^IXIC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Crude Oil Brent (BZ=F) and NASDAQ Composite (^IXIC). 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. ^IXIC - Drawdown Comparison
The maximum BZ=F drawdown since its inception was -86.77%, which is greater than ^IXIC's maximum drawdown of -77.93%. Use the drawdown chart below to compare losses from any high point for BZ=F and ^IXIC. For additional features, visit the drawdowns tool.
Volatility
BZ=F vs. ^IXIC - Volatility Comparison
Crude Oil Brent (BZ=F) has a higher volatility of 8.58% compared to NASDAQ Composite (^IXIC) at 5.75%. This indicates that BZ=F's price experiences larger fluctuations and is considered to be riskier than ^IXIC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.