HG=F vs. BZ=F
Compare and contrast key facts about Copper (HG=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: HG=F or BZ=F.
Performance
HG=F vs. BZ=F - Performance Comparison
Returns By Period
In the year-to-date period, HG=F achieves a 7.43% return, which is significantly higher than BZ=F's -4.85% return. Over the past 10 years, HG=F has outperformed BZ=F with an annualized return of 3.21%, while BZ=F has yielded a comparatively lower -0.88% annualized return.
HG=F
7.43%
-4.07%
-18.56%
9.35%
9.56%
3.21%
BZ=F
-4.85%
0.16%
-11.56%
-10.96%
2.62%
-0.88%
Key characteristics
| HG=F | BZ=F | |
|---|---|---|
| Sharpe Ratio | 0.31 | -0.22 |
| Sortino Ratio | 0.59 | -0.13 |
| Omega Ratio | 1.07 | 0.98 |
| Calmar Ratio | 0.28 | -0.10 |
| Martin Ratio | 0.59 | -0.45 |
| Ulcer Index | 11.82% | 11.90% |
| Daily Std Dev | 22.11% | 25.33% |
| Max Drawdown | -62.54% | -86.77% |
| Current Drawdown | -18.56% | -49.82% |
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 HG=F and BZ=F is 0.35, 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
HG=F vs. BZ=F - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Copper (HG=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
HG=F vs. BZ=F - Drawdown Comparison
The maximum HG=F drawdown since its inception was -62.54%, smaller than the maximum BZ=F drawdown of -86.77%. Use the drawdown chart below to compare losses from any high point for HG=F and BZ=F. For additional features, visit the drawdowns tool.
Volatility
HG=F vs. BZ=F - Volatility Comparison
The current volatility for Copper (HG=F) is 8.63%, while Crude Oil Brent (BZ=F) has a volatility of 9.20%. This indicates that HG=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.