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

Correlation

The correlation between HG=F and BZ=F is 0.29, 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: 0.3

Performance

HG=F vs. BZ=F - Performance Comparison

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

0.00%20.00%40.00%60.00%80.00%100.00%120.00%NovemberDecember2025FebruaryMarchApril
96.95%
7.87%
HG=F
BZ=F

Key characteristics

Sharpe Ratio

HG=F:

0.13

BZ=F:

-0.65

Sortino Ratio

HG=F:

0.34

BZ=F:

-0.76

Omega Ratio

HG=F:

1.05

BZ=F:

0.91

Calmar Ratio

HG=F:

0.14

BZ=F:

-0.31

Martin Ratio

HG=F:

0.36

BZ=F:

-1.18

Ulcer Index

HG=F:

8.73%

BZ=F:

14.82%

Daily Std Dev

HG=F:

25.56%

BZ=F:

26.26%

Max Drawdown

HG=F:

-62.54%

BZ=F:

-86.77%

Current Drawdown

HG=F:

-7.25%

BZ=F:

-54.86%

Returns By Period

In the year-to-date period, HG=F achieves a 20.20% return, which is significantly higher than BZ=F's -11.66% return. Over the past 10 years, HG=F has outperformed BZ=F with an annualized return of 5.61%, while BZ=F has yielded a comparatively lower 0.19% annualized return.


HG=F

YTD

20.20%

1M

-7.25%

6M

11.53%

1Y

5.90%

5Y*

15.14%

10Y*

5.61%

BZ=F

YTD

-11.66%

1M

-10.64%

6M

-12.81%

1Y

-25.92%

5Y*

23.58%

10Y*

0.19%

*Annualized

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Risk-Adjusted Performance

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

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

HG=F
The Risk-Adjusted Performance Rank of HG=F is 4141
Overall Rank
The Sharpe Ratio Rank of HG=F is 4141
Sharpe Ratio Rank
The Sortino Ratio Rank of HG=F is 4141
Sortino Ratio Rank
The Omega Ratio Rank of HG=F is 4040
Omega Ratio Rank
The Calmar Ratio Rank of HG=F is 4343
Calmar Ratio Rank
The Martin Ratio Rank of HG=F is 4141
Martin Ratio Rank

BZ=F
The Risk-Adjusted Performance Rank of BZ=F is 1010
Overall Rank
The Sharpe Ratio Rank of BZ=F is 99
Sharpe Ratio Rank
The Sortino Ratio Rank of BZ=F is 99
Sortino Ratio Rank
The Omega Ratio Rank of BZ=F is 66
Omega Ratio Rank
The Calmar Ratio Rank of BZ=F is 1212
Calmar Ratio Rank
The Martin Ratio Rank of BZ=F is 1313
Martin Ratio Rank
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.

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.


The chart of Sharpe ratio for HG=F, currently valued at 0.31, compared to the broader market0-0.500.000.501.001.502.00
HG=F: 0.31
BZ=F: -0.85
The chart of Sortino ratio for HG=F, currently valued at 0.58, compared to the broader market0-0.500.000.501.001.502.002.50
HG=F: 0.58
BZ=F: -1.08
The chart of Omega ratio for HG=F, currently valued at 1.08, compared to the broader market01.001.101.201.30
HG=F: 1.08
BZ=F: 0.87
The chart of Calmar ratio for HG=F, currently valued at 0.33, compared to the broader market00.001.002.003.004.00
HG=F: 0.33
BZ=F: -0.40
The chart of Martin ratio for HG=F, currently valued at 0.85, compared to the broader market00.002.004.006.008.0010.00
HG=F: 0.85
BZ=F: -1.49

The current HG=F Sharpe Ratio is 0.13, which is higher than the BZ=F Sharpe Ratio of -0.65. The chart below compares the historical Sharpe Ratios of HG=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-1.00-0.500.000.50NovemberDecember2025FebruaryMarchApril
0.31
-0.85
HG=F
BZ=F

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.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-7.25%
-54.86%
HG=F
BZ=F

Volatility

HG=F vs. BZ=F - Volatility Comparison

Copper (HG=F) has a higher volatility of 13.73% compared to Crude Oil Brent (BZ=F) at 12.95%. This indicates that HG=F's price experiences larger fluctuations and is considered to be riskier than BZ=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
13.73%
12.95%
HG=F
BZ=F