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GC=F vs. BZ=F
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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.


-0.50.00.51.0
Correlation: 0.1

Performance

GC=F vs. BZ=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Gold (GC=F) and Crude Oil Brent (BZ=F). The values are adjusted to include any dividend payments, if applicable.

-15.00%-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%NovemberDecember2025FebruaryMarchApril
17.88%
-13.36%
GC=F
BZ=F

Key characteristics

Sharpe Ratio

GC=F:

2.41

BZ=F:

-0.78

Sortino Ratio

GC=F:

3.02

BZ=F:

-0.97

Omega Ratio

GC=F:

1.42

BZ=F:

0.88

Calmar Ratio

GC=F:

4.46

BZ=F:

-0.37

Martin Ratio

GC=F:

11.57

BZ=F:

-1.51

Ulcer Index

GC=F:

3.08%

BZ=F:

13.33%

Daily Std Dev

GC=F:

14.85%

BZ=F:

24.92%

Max Drawdown

GC=F:

-44.36%

BZ=F:

-86.77%

Current Drawdown

GC=F:

-0.67%

BZ=F:

-54.07%

Returns By Period

In the year-to-date period, GC=F achieves a 18.62% return, which is significantly higher than BZ=F's -10.12% return. Over the past 10 years, GC=F has outperformed BZ=F with an annualized return of 8.74%, while BZ=F has yielded a comparatively lower 1.39% annualized return.


GC=F

YTD

18.62%

1M

7.19%

6M

17.38%

1Y

35.93%

5Y*

12.05%

10Y*

8.74%

BZ=F

YTD

-10.12%

1M

-5.56%

6M

-12.99%

1Y

-24.91%

5Y*

13.63%

10Y*

1.39%

*Annualized

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Risk-Adjusted Performance

GC=F vs. BZ=F — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

GC=F
The Risk-Adjusted Performance Rank of GC=F is 9797
Overall Rank
The Sharpe Ratio Rank of GC=F is 9494
Sharpe Ratio Rank
The Sortino Ratio Rank of GC=F is 9494
Sortino Ratio Rank
The Omega Ratio Rank of GC=F is 100100
Omega Ratio Rank
The Calmar Ratio Rank of GC=F is 9494
Calmar Ratio Rank
The Martin Ratio Rank of GC=F is 100100
Martin Ratio Rank

BZ=F
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for GC=F, currently valued at 2.37, compared to the broader market-0.500.000.501.001.502.00
GC=F: 2.37
BZ=F: -0.68
The chart of Sortino ratio for GC=F, currently valued at 2.99, compared to the broader market0.001.002.00
GC=F: 2.99
BZ=F: -0.82
The chart of Omega ratio for GC=F, currently valued at 1.44, compared to the broader market0.901.001.101.201.30
GC=F: 1.44
BZ=F: 0.90
The chart of Calmar ratio for GC=F, currently valued at 4.20, compared to the broader market0.001.002.003.004.00
GC=F: 4.20
BZ=F: -0.32
The chart of Martin ratio for GC=F, currently valued at 12.02, compared to the broader market0.002.004.006.008.0010.00
GC=F: 12.02
BZ=F: -1.32

The current GC=F Sharpe Ratio is 2.41, which is higher than the BZ=F Sharpe Ratio of -0.78. The chart below compares the historical Sharpe Ratios of GC=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.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00NovemberDecember2025FebruaryMarchApril
2.37
-0.68
GC=F
BZ=F

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.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-0.67%
-54.07%
GC=F
BZ=F

Volatility

GC=F vs. BZ=F - Volatility Comparison

The current volatility for Gold (GC=F) is 3.29%, while Crude Oil Brent (BZ=F) has a volatility of 9.34%. 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.


2.00%4.00%6.00%8.00%10.00%12.00%NovemberDecember2025FebruaryMarchApril
3.29%
9.34%
GC=F
BZ=F