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 27.95% return, which is significantly higher than BZ=F's -4.85% return. Over the past 10 years, GC=F has outperformed BZ=F with an annualized return of 7.25%, while BZ=F has yielded a comparatively lower -0.88% annualized return.
GC=F
27.95%
-2.76%
8.97%
33.43%
11.09%
7.25%
BZ=F
-4.85%
0.16%
-11.56%
-10.96%
2.62%
-0.88%
Key characteristics
| GC=F | BZ=F | |
|---|---|---|
| Sharpe Ratio | 2.15 | -0.22 |
| Sortino Ratio | 2.76 | -0.13 |
| Omega Ratio | 1.39 | 0.98 |
| Calmar Ratio | 3.78 | -0.10 |
| Martin Ratio | 11.30 | -0.45 |
| Ulcer Index | 2.68% | 11.90% |
| Daily Std Dev | 14.23% | 25.33% |
| Max Drawdown | -44.36% | -86.77% |
| Current Drawdown | -5.36% | -49.82% |
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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 5.20%, while Crude Oil Brent (BZ=F) has a volatility of 9.20%. 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.