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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 0.35, 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.


-0.50.00.51.00.4

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.

-15.00%-10.00%-5.00%0.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
-10.08%
-13.07%
HG=F
BZ=F

Key characteristics

Sharpe Ratio

HG=F:

0.30

BZ=F:

-0.44

Sortino Ratio

HG=F:

0.57

BZ=F:

-0.46

Omega Ratio

HG=F:

1.07

BZ=F:

0.94

Calmar Ratio

HG=F:

0.26

BZ=F:

-0.20

Martin Ratio

HG=F:

0.51

BZ=F:

-0.80

Ulcer Index

HG=F:

13.16%

BZ=F:

13.37%

Daily Std Dev

HG=F:

21.73%

BZ=F:

24.38%

Max Drawdown

HG=F:

-62.54%

BZ=F:

-86.77%

Current Drawdown

HG=F:

-21.06%

BZ=F:

-50.07%

Returns By Period

In the year-to-date period, HG=F achieves a 4.14% return, which is significantly higher than BZ=F's -5.32% return. Over the past 10 years, HG=F has outperformed BZ=F with an annualized return of 3.47%, while BZ=F has yielded a comparatively lower 1.63% annualized return.


HG=F

YTD

4.14%

1M

-2.47%

6M

-10.08%

1Y

3.39%

5Y*

7.43%

10Y*

3.47%

BZ=F

YTD

-5.32%

1M

0.62%

6M

-14.43%

1Y

-7.86%

5Y*

1.87%

10Y*

1.63%

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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.


Sharpe ratio
The chart of Sharpe ratio for HG=F, currently valued at 0.44, compared to the broader market00.000.501.001.502.000.44
The chart of Sortino ratio for HG=F, currently valued at 0.74, compared to the broader market00.000.501.001.502.002.500.74
The chart of Omega ratio for HG=F, currently valued at 1.10, compared to the broader market01.001.101.201.301.10
The chart of Calmar ratio for HG=F, currently valued at 0.38, compared to the broader market0.001.002.003.000.38-0.21
The chart of Martin ratio for HG=F, currently valued at 0.71, compared to the broader market0.002.004.006.008.0010.000.71-0.81
HG=F
BZ=F

The current HG=F Sharpe Ratio is 0.30, which is higher than the BZ=F Sharpe Ratio of -0.44. 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-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
0.44
-0.45
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.


-50.00%-40.00%-30.00%-20.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-21.06%
-50.07%
HG=F
BZ=F

Volatility

HG=F vs. BZ=F - Volatility Comparison

The current volatility for Copper (HG=F) is 4.19%, while Crude Oil Brent (BZ=F) has a volatility of 5.50%. 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.


4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
4.19%
5.50%
HG=F
BZ=F
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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