CL=F vs. BZ=F
Compare and contrast key facts about Crude Oil WTI (CL=F) and Crude Oil Brent (BZ=F).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CL=F or BZ=F.
Key characteristics
| CL=F | BZ=F | |
|---|---|---|
| YTD Return | -4.97% | -6.57% |
| 1Y Return | -13.00% | -12.72% |
| 3Y Return (Ann) | -4.90% | -4.04% |
| 5Y Return (Ann) | 2.96% | 2.48% |
| 10Y Return (Ann) | -0.94% | -0.94% |
| Sharpe Ratio | -0.29 | -0.35 |
| Sortino Ratio | -0.22 | -0.32 |
| Omega Ratio | 0.97 | 0.96 |
| Calmar Ratio | -0.15 | -0.16 |
| Martin Ratio | -0.71 | -0.75 |
| Ulcer Index | 11.37% | 11.55% |
| Daily Std Dev | 28.57% | 25.80% |
| Max Drawdown | -93.11% | -86.77% |
| Current Drawdown | -53.14% | -50.73% |
Correlation
The correlation between CL=F and BZ=F is 0.78, 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.
Performance
CL=F vs. BZ=F - Performance Comparison
In the year-to-date period, CL=F achieves a -4.97% return, which is significantly higher than BZ=F's -6.57% return. Over a longer period, both investments have demonstrated similar performance, with their 10-year annualized returns being quite close: CL=F at -0.94% and BZ=F at -0.94%. 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
CL=F vs. BZ=F - Risk-Adjusted Performance 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.
Drawdowns
CL=F vs. BZ=F - Drawdown Comparison
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.
Volatility
CL=F vs. BZ=F - Volatility Comparison
Crude Oil WTI (CL=F) has a higher volatility of 10.02% compared to Crude Oil Brent (BZ=F) at 8.83%. 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.