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.
Key characteristics
| GC=F | BZ=F | |
|---|---|---|
| YTD Return | 30.52% | -2.39% |
| 1Y Return | 37.94% | -5.46% |
| 3Y Return (Ann) | 12.28% | -3.18% |
| 5Y Return (Ann) | 11.50% | 3.58% |
| 10Y Return (Ann) | 7.74% | -0.87% |
| Sharpe Ratio | 2.34 | -0.10 |
| Sortino Ratio | 3.02 | 0.04 |
| Omega Ratio | 1.43 | 1.00 |
| Calmar Ratio | 5.89 | -0.05 |
| Martin Ratio | 13.56 | -0.21 |
| Ulcer Index | 2.40% | 11.23% |
| Daily Std Dev | 13.97% | 25.71% |
| Max Drawdown | -44.36% | -86.77% |
| Current Drawdown | -3.46% | -48.52% |
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.
Performance
GC=F vs. BZ=F - Performance Comparison
In the year-to-date period, GC=F achieves a 30.52% return, which is significantly higher than BZ=F's -2.39% return. Over the past 10 years, GC=F has outperformed BZ=F with an annualized return of 7.74%, while BZ=F has yielded a comparatively lower -0.87% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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 4.26%, while Crude Oil Brent (BZ=F) has a volatility of 9.45%. 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.