EURUSD=X vs. BZ=F
Compare and contrast key facts about EUR/USD (EURUSD=X) and Crude Oil Brent (BZ=F).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EURUSD=X or BZ=F.
Performance
EURUSD=X vs. BZ=F - Performance Comparison
Returns By Period
In the year-to-date period, EURUSD=X achieves a -4.04% return, which is significantly higher than BZ=F's -4.85% return. Over the past 10 years, EURUSD=X has underperformed BZ=F with an annualized return of -1.49%, while BZ=F has yielded a comparatively higher -0.88% annualized return.
EURUSD=X
-4.04%
-2.52%
-2.43%
-3.18%
-0.81%
-1.49%
BZ=F
-4.85%
0.16%
-11.56%
-10.96%
2.62%
-0.88%
Key characteristics
| EURUSD=X | BZ=F | |
|---|---|---|
| Sharpe Ratio | -0.46 | -0.22 |
| Sortino Ratio | -0.58 | -0.13 |
| Omega Ratio | 0.93 | 0.98 |
| Calmar Ratio | -0.07 | -0.10 |
| Martin Ratio | -1.27 | -0.45 |
| Ulcer Index | 1.90% | 11.90% |
| Daily Std Dev | 5.45% | 25.33% |
| Max Drawdown | -57.54% | -86.77% |
| Current Drawdown | -33.76% | -49.82% |
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Correlation
The correlation between EURUSD=X and BZ=F is 0.11, 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
EURUSD=X vs. BZ=F - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for EUR/USD (EURUSD=X) 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
EURUSD=X vs. BZ=F - Drawdown Comparison
The maximum EURUSD=X drawdown since its inception was -57.54%, smaller than the maximum BZ=F drawdown of -86.77%. Use the drawdown chart below to compare losses from any high point for EURUSD=X and BZ=F. For additional features, visit the drawdowns tool.
Volatility
EURUSD=X vs. BZ=F - Volatility Comparison
The current volatility for EUR/USD (EURUSD=X) is 2.62%, while Crude Oil Brent (BZ=F) has a volatility of 6.72%. This indicates that EURUSD=X 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.