CL=F vs. BZ=F

The year-to-date returns for both stocks are quite close, with CL=F having a -14.36% return and BZ=F slightly lower at -14.38%. Over the past 10 years, CL=F has outperformed BZ=F with an annualized return of 0.08%, while BZ=F has yielded a comparatively lower -0.43% annualized return.

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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.

The current CL=F Sharpe Ratio is -0.70, which is comparable to the BZ=F Sharpe Ratio of -0.79. 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.

The maximum CL=F drawdown since its inception was -93.11%, 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. For additional features, visit the drawdowns tool.

Crude Oil WTI (CL=F) has a higher volatility of 11.30% compared to Crude Oil Brent (BZ=F) at 8.94%. This indicates that CL=F's price experiences larger fluctuations and is considered to be riskier than BZ=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.