^GDAXI vs. BZ=F
Compare and contrast key facts about DAX Performance Index (^GDAXI) and Crude Oil Brent (BZ=F).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^GDAXI or BZ=F.
Performance
^GDAXI vs. BZ=F - Performance Comparison
Returns By Period
In the year-to-date period, ^GDAXI achieves a 14.55% return, which is significantly higher than BZ=F's -4.79% return. Over the past 10 years, ^GDAXI has outperformed BZ=F with an annualized return of 6.98%, while BZ=F has yielded a comparatively lower -0.88% annualized return.
^GDAXI
14.55%
-2.38%
2.24%
20.54%
7.76%
6.98%
BZ=F
-4.79%
0.92%
-12.38%
-9.27%
3.12%
-0.88%
Key characteristics
| ^GDAXI | BZ=F | |
|---|---|---|
| Sharpe Ratio | 1.71 | -0.18 |
| Sortino Ratio | 2.35 | -0.08 |
| Omega Ratio | 1.30 | 0.99 |
| Calmar Ratio | 2.50 | -0.09 |
| Martin Ratio | 9.36 | -0.38 |
| Ulcer Index | 2.16% | 11.84% |
| Daily Std Dev | 11.76% | 25.38% |
| Max Drawdown | -72.68% | -86.77% |
| Current Drawdown | -2.38% | -49.79% |
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Correlation
The correlation between ^GDAXI and BZ=F is 0.15, 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
^GDAXI vs. BZ=F - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DAX Performance Index (^GDAXI) 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
^GDAXI vs. BZ=F - Drawdown Comparison
The maximum ^GDAXI drawdown since its inception was -72.68%, smaller than the maximum BZ=F drawdown of -86.77%. Use the drawdown chart below to compare losses from any high point for ^GDAXI and BZ=F. For additional features, visit the drawdowns tool.
Volatility
^GDAXI vs. BZ=F - Volatility Comparison
The current volatility for DAX Performance Index (^GDAXI) is 5.46%, while Crude Oil Brent (BZ=F) has a volatility of 9.23%. This indicates that ^GDAXI 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.