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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.


-0.50.00.51.00.1

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.

200.00%400.00%600.00%800.00%1,000.00%JulyAugustSeptemberOctoberNovemberDecember
859.73%
132.59%
GC=F
BZ=F

Key characteristics

Sharpe Ratio

GC=F:

2.06

BZ=F:

-0.44

Sortino Ratio

GC=F:

2.59

BZ=F:

-0.46

Omega Ratio

GC=F:

1.37

BZ=F:

0.94

Calmar Ratio

GC=F:

3.78

BZ=F:

-0.20

Martin Ratio

GC=F:

10.45

BZ=F:

-0.80

Ulcer Index

GC=F:

2.89%

BZ=F:

13.37%

Daily Std Dev

GC=F:

14.53%

BZ=F:

24.38%

Max Drawdown

GC=F:

-44.36%

BZ=F:

-86.77%

Current Drawdown

GC=F:

-5.73%

BZ=F:

-50.07%

Returns By Period

In the year-to-date period, GC=F achieves a 27.46% return, which is significantly higher than BZ=F's -5.32% return. Over the past 10 years, GC=F has outperformed BZ=F with an annualized return of 7.37%, while BZ=F has yielded a comparatively lower 1.63% annualized return.


GC=F

YTD

27.46%

1M

-0.74%

6M

13.48%

1Y

28.91%

5Y*

10.83%

10Y*

7.37%

BZ=F

YTD

-5.32%

1M

0.62%

6M

-14.43%

1Y

-7.86%

5Y*

1.87%

10Y*

1.63%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


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.


Sharpe ratio
The chart of Sharpe ratio for GC=F, currently valued at 2.20, compared to the broader market00.000.501.001.502.002.20
The chart of Sortino ratio for GC=F, currently valued at 2.75, compared to the broader market00.000.501.001.502.002.502.75
The chart of Omega ratio for GC=F, currently valued at 1.41, compared to the broader market01.001.101.201.301.41
The chart of Calmar ratio for GC=F, currently valued at 3.99, compared to the broader market00.001.002.003.003.99
The chart of Martin ratio for GC=F, currently valued at 10.83, compared to the broader market0.002.004.006.008.0010.0010.83-0.89
GC=F
BZ=F

The current GC=F Sharpe Ratio is 2.06, which is higher than the BZ=F Sharpe Ratio of -0.44. 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
2.20
-0.49
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%JulyAugustSeptemberOctoberNovemberDecember
-5.73%
-50.07%
GC=F
BZ=F

Volatility

GC=F vs. BZ=F - Volatility Comparison

Gold (GC=F) and Crude Oil Brent (BZ=F) have volatilities of 5.48% and 5.50%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
5.48%
5.50%
GC=F
BZ=F
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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