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 | 11.74% | 9.01% |
| 1Y Return | 11.41% | 10.70% |
| 3Y Return (Ann) | 6.02% | 6.59% |
| 5Y Return (Ann) | 4.26% | 2.95% |
| 10Y Return (Ann) | -2.14% | -2.56% |
| Sharpe Ratio | 0.26 | 0.52 |
| Daily Std Dev | 27.48% | 26.52% |
| Max Drawdown | -93.11% | -86.77% |
| Current Drawdown | -44.90% | -42.51% |
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 11.74% return, which is significantly higher than BZ=F's 9.01% return. Over the past 10 years, CL=F has outperformed BZ=F with an annualized return of -2.14%, while BZ=F has yielded a comparatively lower -2.56% 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
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
The current volatility for Crude Oil WTI (CL=F) is 5.20%, while Crude Oil Brent (BZ=F) has a volatility of 6.09%. 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.