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Performance
CL=F Performance Chart
Crude Oil WTI (CL=F) is up 62.6% since the beginning of the year. CL=F is currently trading at $93 per share. Investors who bought $1,000 worth of CL=F shares 5 years ago would now be looking at an investment worth $1,361.
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Returns By Period
Crude Oil WTI (CL=F) has returned 62.64% so far this year and 49.38% over the past 12 months. Over the last ten years, CL=F has returned 6.75% per year, falling short of the S&P 500 Index benchmark, which averaged 13.75% annually.
Crude Oil WTI
- 1D
- 1.33%
- 1M
- -8.39%
- YTD
- 62.64%
- 6M
- 59.26%
- 1Y
- 49.38%
- 3Y*
- 9.14%
- 5Y*
- 6.36%
- 10Y*
- 6.75%
Benchmark (S&P 500 Index)
- 1D
- 0.13%
- 1M
- 5.25%
- YTD
- 11.16%
- 6M
- 11.43%
- 1Y
- 28.20%
- 3Y*
- 21.12%
- 5Y*
- 12.66%
- 10Y*
- 13.75%
CL=F Monthly Returns History
Based on dividend-adjusted daily data since Mar 30, 1983, CL=F's average daily return is +0.04%, while the average monthly return is +0.73%. At this rate, an investment would double in approximately 7.9 years.
Historically, 54% of months were positive and 46% were negative. The best month was May 2020 with a return of +64.0%, while the worst month was Mar 2020 at -45.5%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 7 months.
On a daily basis, CL=F closed higher 49% of trading days. The best single day was Apr 22, 2020 with a return of +78.8%, while the worst single day was Apr 21, 2020 at -43.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 13.57% | 2.78% | 51.27% | 3.64% | -16.86% | 6.90% | 62.64% | ||||||
| 2025 | 1.80% | -3.82% | 2.47% | -18.56% | 4.43% | 7.11% | 6.37% | -7.58% | -2.56% | -2.23% | -2.57% | -3.35% | -19.41% |
| 2024 | 5.39% | 2.30% | 6.42% | -1.38% | -5.60% | 5.10% | -4.71% | -5.45% | -6.72% | 1.53% | -1.58% | 5.21% | -0.82% |
| 2023 | -1.59% | -2.50% | -1.80% | 1.07% | -10.93% | 3.72% | 14.89% | 2.02% | 7.04% | -9.35% | -5.53% | -5.54% | -10.70% |
| 2022 | 15.50% | 8.10% | 5.37% | 4.49% | 8.71% | -7.87% | -6.16% | -7.98% | -11.58% | 8.49% | -5.55% | -0.26% | 7.44% |
| 2021 | 7.09% | 17.57% | -3.35% | 7.27% | 5.48% | 8.68% | 0.63% | -6.79% | 9.43% | 9.48% | -19.48% | 13.71% | 53.98% |
Benchmark Metrics
Crude Oil WTI has an annualized alpha of 8.36%, beta of 0.24, and R2 of 0.01 versus S&P 500 Index. Calculated based on daily prices since March 31, 1983.
- This asset participated in 25.67% of S&P 500 Index downside but only 20.37% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.24 may look defensive, but with R2 of 0.01 this asset is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this asset's risk.
- R2 of 0.01 means this asset moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 8.36%
- Beta
- 0.24
- R²
- 0.01
- Upside Capture
- 20.37%
- Downside Capture
- 25.67%
Return for Risk
Risk / Return Rank
CL=F ranks 29 for risk / return — below 29% of futures on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Crude Oil WTI (CL=F) and compare them to S&P 500 Index.
| CL=F | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.89 | 2.39 | -1.50 |
Sortino ratioReturn per unit of downside risk | 1.38 | 3.25 | -1.87 |
Omega ratioGain probability vs. loss probability | 1.21 | 1.43 | -0.22 |
Calmar ratioReturn relative to maximum drawdown | 1.62 | 3.11 | -1.49 |
Martin ratioReturn relative to average drawdown | 2.65 | 14.38 | -11.73 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Crude Oil WTI. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Crude Oil WTI was 92.04%, occurring on Apr 21, 2020. The portfolio has not yet recovered.
The current Crude Oil WTI drawdown is 35.72%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -92.04%Apr 2020 | 11y 9mo | — | 17y 11moJul 2008 - now |
1998 bear market1998 | -73.48%Dec 1998 | 8y 2mo | 5y 5mo | 13y 7moOct 1990 - May 2004 |
1986 bear market1986 | -67.64%Mar 1986 | 2y 8mo | 4y 5mo | 7y 1moAug 1983 - Sep 1990 |
2007 bear market2007 | -34.47%Jan 2007 | 6mo 6d | 6mo 14d | 1y 15dJul 2006 - Jul 2007 |
2004 bear market2004 | -26.21%Dec 2004 | 1mo 14d | 3mo 6d | 4mo 20dOct 2004 - Mar 2005 |
Drawdown Indicators
| CL=F | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -92.04% | -56.78% | -35.26% |
Max Drawdown (1Y)Largest decline over 1 year | -27.07% | -9.10% | -17.97% |
Max Drawdown (3Y)Largest decline over 3 years | -39.46% | -18.90% | -20.56% |
Max Drawdown (5Y)Largest decline over 5 years | -53.86% | -25.43% | -28.43% |
Max Drawdown (10Y)Largest decline over 10 years | -84.82% | -33.92% | -50.90% |
Current DrawdownCurrent decline from peak | -35.72% | 0.00% | -35.72% |
Average DrawdownAverage peak-to-trough decline | -40.81% | -10.72% | -30.09% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 12.23% | 1.97% | +10.26% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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