CL=F vs. BZ=F

Last updated Apr 3, 2026

Compare and contrast key facts about Crude Oil WTI (CL=F) and Crude Oil Brent (BZ=F).

Performance

CL=F vs. BZ=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Crude Oil WTI (CL=F) and Crude Oil Brent (BZ=F). The values are adjusted to include any dividend payments, if applicable.

CL=F vs. BZ=F - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CL=F Crude Oil WTI	95.16%	-19.41%	-0.82%	-10.70%	7.44%	53.98%	-19.98%	32.92%	-24.35%	12.51%
BZ=F Crude Oil Brent	79.21%	-18.48%	-3.12%	-10.32%	10.45%	50.15%	-21.52%	22.68%	-19.55%	17.69%

Returns By Period

In the year-to-date period, CL=F achieves a 95.16% return, which is significantly higher than BZ=F's 79.21% return. Over the past 10 years, CL=F has outperformed BZ=F with an annualized return of 12.12%, while BZ=F has yielded a comparatively lower 11.21% annualized return.

CL=F

• 1D: 11.93%
• 1M: 50.30%
• YTD: 95.16%
• 6M: 85.28%
• 1Y: 56.27%
• 3Y*: 11.68%
• 5Y*: 12.76%
• 10Y*: 12.12%

BZ=F

• 1D: 7.80%
• 1M: 33.97%
• YTD: 79.21%
• 6M: 70.10%
• 1Y: 45.50%
• 3Y*: 8.69%
• 5Y*: 10.95%
• 10Y*: 11.21%

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

Return for Risk

CL=F vs. BZ=F — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CL=F

CL=F Risk / Return Rank: 65
CL=F Sharpe Ratio Rank: 64
CL=F Sortino Ratio Rank: 69
CL=F Omega Ratio Rank: 61
CL=F Calmar Ratio Rank: 90
CL=F Martin Ratio Rank: 42

BZ=F

BZ=F Risk / Return Rank: 52
BZ=F Sharpe Ratio Rank: 46
BZ=F Sortino Ratio Rank: 45
BZ=F Omega Ratio Rank: 43
BZ=F Calmar Ratio Rank: 85
BZ=F Martin Ratio Rank: 41

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.

CL=F vs. BZ=F - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Crude Oil WTI (CL=F) and Crude Oil Brent (BZ=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.

	CL=F	BZ=F	Difference
Sharpe ratio Return per unit of total volatility	1.15	0.93	+0.22
Sortino ratio Return per unit of downside risk	1.74	1.42	+0.32
Omega ratio Gain probability vs. loss probability	1.24	1.21	+0.03
Calmar ratio Return relative to maximum drawdown	2.91	2.93	-0.02
Martin ratio Return relative to average drawdown	4.83	5.15	-0.32
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CL=F vs. BZ=F - Sharpe Ratio Comparison

The current CL=F Sharpe Ratio is 1.15, which is comparable to the BZ=F Sharpe Ratio of 0.93. The chart below compares the historical Sharpe Ratios of CL=F and BZ=F, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	CL=F	BZ=F	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.15	0.93	+0.22
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.33	0.29	+0.03
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.24	0.28	-0.04
Sharpe Ratio (All Time) Calculated using the full available price history	0.08	0.15	-0.07

Correlation

The correlation between CL=F and BZ=F is 0.80, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Drawdowns

CL=F vs. BZ=F - Drawdown Comparison

The maximum CL=F drawdown since its inception was -92.04%, which is greater than BZ=F's maximum drawdown of -86.77%. Use the drawdown chart below to compare losses from any high point for CL=F and BZ=F.

Drawdown Indicators

	CL=F	BZ=F	Difference
Max Drawdown Largest peak-to-trough decline	-92.04%	-86.77%	-5.27%
Max Drawdown (1Y) Largest decline over 1 year	-27.07%	-23.58%	-3.49%
Max Drawdown (5Y) Largest decline over 5 years	-53.86%	-53.96%	+0.10%
Max Drawdown (10Y) Largest decline over 10 years	-84.82%	-77.60%	-7.22%
Current Drawdown Current decline from peak	-22.87%	-25.35%	+2.48%
Average Drawdown Average peak-to-trough decline	-40.84%	-41.03%	+0.19%
Ulcer Index Depth and duration of drawdowns from previous peaks	16.32%	13.39%	+2.93%

Volatility

CL=F vs. BZ=F - Volatility Comparison

The current volatility for Crude Oil WTI (CL=F) is 28.87%, while Crude Oil Brent (BZ=F) has a volatility of 32.56%. This indicates that CL=F experiences smaller price fluctuations and is considered to be less risky than BZ=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CL=F	BZ=F	Difference
Volatility (1M) Calculated over the trailing 1-month period	28.87%	32.56%	-3.69%
Volatility (6M) Calculated over the trailing 6-month period	34.98%	37.42%	-2.44%
Volatility (1Y) Calculated over the trailing 1-year period	42.54%	42.56%	-0.02%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	36.87%	35.84%	+1.03%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	48.84%	38.61%	+10.23%