HG=F vs. BZ=F

Last updated Jun 4, 2026

HG=F (Copper) and BZ=F (Crude Oil Brent) are both assets. Over the past 10 years, HG=F returned 11.85%/yr vs 7.02%/yr for BZ=F. At a 0.20 correlation, their price movements are largely independent.

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.

Returns By Period

In the year-to-date period, HG=F achieves a 15.17% return, which is significantly lower than BZ=F's 60.82% return. Over the past 10 years, HG=F has outperformed BZ=F with an annualized return of 11.85%, while BZ=F has yielded a comparatively lower 7.02% annualized return.

HG=F

• 1D: -2.49%
• 1M: 11.89%
• YTD: 15.17%
• 6M: 20.32%
• 1Y: 34.13%
• 3Y*: 20.19%
• 5Y*: 7.43%
• 10Y*: 11.85%

BZ=F

• 1D: 1.94%
• 1M: -14.49%
• YTD: 60.82%
• 6M: 56.15%
• 1Y: 49.11%
• 3Y*: 8.73%
• 5Y*: 6.36%
• 10Y*: 7.02%

*Multi-year figures are annualized to reflect compound growth (CAGR)

HG=F vs. BZ=F - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
HG=F Copper	15.17%	39.82%	3.50%	2.10%	-14.63%	26.84%	25.81%	6.31%	-20.28%	31.73%
BZ=F Crude Oil Brent	60.82%	-18.48%	-3.12%	-10.32%	10.45%	50.15%	-21.52%	22.68%	-19.55%	17.69%

Correlation

The correlation between HG=F and BZ=F is -0.12, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.12
Correlation (3Y) Calculated over the trailing 3-year period	0.09
Correlation (5Y) Calculated over the trailing 5-year period	0.22
Correlation (10Y) Calculated over the trailing 10-year period	0.22
Correlation (All Time) Calculated using the full available price history since Aug 2, 1988	0.20

The correlation between HG=F and BZ=F shifts across timeframes, from -0.12 (1 year) to 0.22 (10 years), reflecting how their relationship changes across market environments.

Return for Risk

HG=F vs. BZ=F — Risk / Return Rank

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

HG=F

HG=F Risk / Return Rank: 18
HG=F Sharpe Ratio Rank: 16
HG=F Sortino Ratio Rank: 11
HG=F Omega Ratio Rank: 25
HG=F Calmar Ratio Rank: 19
HG=F Martin Ratio Rank: 21

BZ=F

BZ=F Risk / Return Rank: 34
BZ=F Sharpe Ratio Rank: 22
BZ=F Sortino Ratio Rank: 30
BZ=F Omega Ratio Rank: 21
BZ=F Calmar Ratio Rank: 58
BZ=F Martin Ratio Rank: 39

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

HG=F vs. BZ=F - Risk-Adjusted Trends 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.

	HG=F	BZ=F	Difference
Sharpe ratio Return per unit of total volatility	0.84	0.91	-0.07
Sortino ratio Return per unit of downside risk	1.22	1.37	-0.15
Omega ratio Gain probability vs. loss probability	1.22	1.21	+0.01
Calmar ratio Return relative to maximum drawdown	1.19	1.83	-0.64
Martin ratio Return relative to average drawdown	2.60	3.08	-0.48
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

HG=F vs. BZ=F - Sharpe Ratio Comparison

The current HG=F Sharpe Ratio is 0.84, which is comparable to the BZ=F Sharpe Ratio of 0.91. The chart below compares the historical Sharpe Ratios of HG=F and BZ=F, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	HG=F	BZ=F	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.84	0.91	-0.07
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.26	0.16	+0.10
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.48	0.17	+0.31
Sharpe Ratio (All Time) Calculated using the full available price history	0.21	0.14	+0.07

Drawdowns

HG=F vs. BZ=F - Drawdown Comparison

The maximum HG=F drawdown since its inception was -68.86%, 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.

Drawdown Indicators

	HG=F	BZ=F	Difference
Max Drawdown Largest peak-to-trough decline	-68.86%	-86.77%	+17.91%
Max Drawdown (1Y) Largest decline over 1 year	-25.17%	-23.63%	-1.54%
Max Drawdown (3Y) Largest decline over 3 years	-25.17%	-38.97%	+13.80%
Max Drawdown (5Y) Largest decline over 5 years	-34.96%	-53.96%	+19.00%
Max Drawdown (10Y) Largest decline over 10 years	-36.54%	-77.60%	+41.06%
Current Drawdown Current decline from peak	-2.49%	-33.01%	+30.52%
Average Drawdown Average peak-to-trough decline	-29.58%	-40.98%	+11.40%
Ulcer Index Depth and duration of drawdowns from previous peaks	12.17%	11.39%	+0.78%

Volatility

HG=F vs. BZ=F - Volatility Comparison

The current volatility for Copper (HG=F) is 9.08%, while Crude Oil Brent (BZ=F) has a volatility of 16.87%. 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.

Volatility by Period

	HG=F	BZ=F	Difference
Volatility (1M) Calculated over the trailing 1-month period	9.08%	16.87%	-7.79%
Volatility (6M) Calculated over the trailing 6-month period	22.03%	45.66%	-23.63%
Volatility (1Y) Calculated over the trailing 1-year period	35.56%	47.59%	-12.03%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	26.88%	37.43%	-10.55%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.67%	39.20%	-15.53%

Frequently Asked Questions

Can I hold both HG=F and BZ=F in my portfolio?

HG=F and BZ=F have a correlation of -0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, HG=F or BZ=F?

BZ=F has higher volatility (16.87%) compared to HG=F (9.08%). In terms of maximum drawdown, HG=F dropped -68.86% vs BZ=F's -86.77%.

Which has better risk-adjusted returns?

BZ=F currently has the higher Sharpe Ratio (0.91 vs 0.84), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.