GC=F vs. BZ=F
Compare and contrast key facts about Gold (GC=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: GC=F or BZ=F.
Performance
GC=F vs. BZ=F - Performance Comparison
Returns By Period
In the year-to-date period, GC=F achieves a 30.49% return, which is significantly higher than BZ=F's -3.54% return. Over the past 10 years, GC=F has outperformed BZ=F with an annualized return of 7.45%, while BZ=F has yielded a comparatively lower -0.67% annualized return.
GC=F
30.49%
-1.93%
15.26%
35.15%
11.47%
7.45%
BZ=F
-3.54%
-1.73%
-8.67%
-9.33%
3.07%
-0.67%
Key characteristics
| GC=F | BZ=F | |
|---|---|---|
| Sharpe Ratio | 2.29 | -0.20 |
| Sortino Ratio | 2.92 | -0.11 |
| Omega Ratio | 1.42 | 0.99 |
| Calmar Ratio | 4.04 | -0.09 |
| Martin Ratio | 11.98 | -0.41 |
| Ulcer Index | 2.69% | 12.02% |
| Daily Std Dev | 14.24% | 25.39% |
| Max Drawdown | -44.36% | -86.77% |
| Current Drawdown | -3.49% | -49.13% |
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Correlation
The correlation between GC=F and BZ=F is 0.07, 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
GC=F vs. BZ=F - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Gold (GC=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
GC=F vs. BZ=F - Drawdown Comparison
The maximum GC=F drawdown since its inception was -44.36%, smaller than the maximum BZ=F drawdown of -86.77%. Use the drawdown chart below to compare losses from any high point for GC=F and BZ=F. For additional features, visit the drawdowns tool.
Volatility
GC=F vs. BZ=F - Volatility Comparison
The current volatility for Gold (GC=F) is 5.41%, while Crude Oil Brent (BZ=F) has a volatility of 7.01%. This indicates that GC=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.