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^IXIC vs. BZ=F
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^IXIC and BZ=F is 0.13, 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: 0.1

Performance

^IXIC vs. BZ=F - Performance Comparison

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

0.00%1,000.00%2,000.00%3,000.00%4,000.00%5,000.00%6,000.00%NovemberDecember2025FebruaryMarchApril
4,962.24%
65.75%
^IXIC
BZ=F

Key characteristics

Sharpe Ratio

^IXIC:

0.43

BZ=F:

-0.60

Sortino Ratio

^IXIC:

0.77

BZ=F:

-0.68

Omega Ratio

^IXIC:

1.11

BZ=F:

0.92

Calmar Ratio

^IXIC:

0.46

BZ=F:

-0.28

Martin Ratio

^IXIC:

1.61

BZ=F:

-1.09

Ulcer Index

^IXIC:

6.90%

BZ=F:

14.74%

Daily Std Dev

^IXIC:

25.76%

BZ=F:

26.25%

Max Drawdown

^IXIC:

-77.93%

BZ=F:

-86.77%

Current Drawdown

^IXIC:

-14.91%

BZ=F:

-54.44%

Returns By Period

The year-to-date returns for both investments are quite close, with ^IXIC having a -11.11% return and BZ=F slightly higher at -10.84%. Over the past 10 years, ^IXIC has outperformed BZ=F with an annualized return of 13.03%, while BZ=F has yielded a comparatively lower 0.25% annualized return.


^IXIC

YTD

-11.11%

1M

-6.05%

6M

-6.78%

1Y

9.25%

5Y*

14.78%

10Y*

13.03%

BZ=F

YTD

-10.84%

1M

-8.86%

6M

-10.10%

1Y

-24.39%

5Y*

23.82%

10Y*

0.25%

*Annualized

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Risk-Adjusted Performance

^IXIC vs. BZ=F — Risk-Adjusted Performance Rank

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

^IXIC
The Risk-Adjusted Performance Rank of ^IXIC is 6969
Overall Rank
The Sharpe Ratio Rank of ^IXIC is 6767
Sharpe Ratio Rank
The Sortino Ratio Rank of ^IXIC is 6969
Sortino Ratio Rank
The Omega Ratio Rank of ^IXIC is 6868
Omega Ratio Rank
The Calmar Ratio Rank of ^IXIC is 7171
Calmar Ratio Rank
The Martin Ratio Rank of ^IXIC is 6868
Martin Ratio Rank

BZ=F
The Risk-Adjusted Performance Rank of BZ=F is 1515
Overall Rank
The Sharpe Ratio Rank of BZ=F is 1515
Sharpe Ratio Rank
The Sortino Ratio Rank of BZ=F is 1515
Sortino Ratio Rank
The Omega Ratio Rank of BZ=F is 1414
Omega Ratio Rank
The Calmar Ratio Rank of BZ=F is 1616
Calmar Ratio Rank
The Martin Ratio Rank of BZ=F is 1717
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.

^IXIC vs. BZ=F - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NASDAQ Composite (^IXIC) 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 ^IXIC, currently valued at 0.01, compared to the broader market-0.500.000.501.001.50
^IXIC: 0.01
BZ=F: -0.60
The chart of Sortino ratio for ^IXIC, currently valued at 0.19, compared to the broader market-1.000.001.002.00
^IXIC: 0.19
BZ=F: -0.68
The chart of Omega ratio for ^IXIC, currently valued at 1.03, compared to the broader market0.901.001.101.201.30
^IXIC: 1.03
BZ=F: 0.92
The chart of Calmar ratio for ^IXIC, currently valued at 0.01, compared to the broader market-0.500.000.501.00
^IXIC: 0.01
BZ=F: -0.28
The chart of Martin ratio for ^IXIC, currently valued at 0.03, compared to the broader market-2.000.002.004.006.00
^IXIC: 0.03
BZ=F: -1.09

The current ^IXIC Sharpe Ratio is 0.43, which is higher than the BZ=F Sharpe Ratio of -0.60. The chart below compares the historical Sharpe Ratios of ^IXIC 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-1.00-0.500.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
0.01
-0.60
^IXIC
BZ=F

Drawdowns

^IXIC vs. BZ=F - Drawdown Comparison

The maximum ^IXIC drawdown since its inception was -77.93%, smaller than the maximum BZ=F drawdown of -86.77%. Use the drawdown chart below to compare losses from any high point for ^IXIC 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
-14.91%
-54.44%
^IXIC
BZ=F

Volatility

^IXIC vs. BZ=F - Volatility Comparison

NASDAQ Composite (^IXIC) has a higher volatility of 16.92% compared to Crude Oil Brent (BZ=F) at 13.10%. This indicates that ^IXIC'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.


5.00%10.00%15.00%NovemberDecember2025FebruaryMarchApril
16.92%
13.10%
^IXIC
BZ=F