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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Crude Oil WTI, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
Crude Oil WTI (CL=F) has returned 76.87% so far this year and 42.08% over the past 12 months. Over the last ten years, CL=F has returned 10.69% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
Crude Oil WTI
- 1D
- -1.28%
- 1M
- 51.54%
- YTD
- 76.87%
- 6M
- 62.83%
- 1Y
- 42.08%
- 3Y*
- 10.24%
- 5Y*
- 10.56%
- 10Y*
- 10.69%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
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 +0.75%. At this rate, your investment would double in approximately 7.7 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% | 51.54% | 76.87% | |||||||||
| 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 8.48%, 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 25.64% of S&P 500 Index downside but only 21.39% 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
- 8.48%
- Beta
- 0.24
- R²
- 0.01
- Upside Capture
- 21.39%
- Downside Capture
- 25.64%
Return for Risk
Risk / Return Rank
CL=F ranks 43 for risk / return — on par with similar futures. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Crude Oil WTI (CL=F) and compare them to a chosen benchmark (S&P 500 Index).
| CL=F | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.90 | 0.90 | 0.00 |
Sortino ratioReturn per unit of downside risk | 1.42 | 1.39 | +0.04 |
Omega ratioGain probability vs. loss probability | 1.20 | 1.21 | -0.01 |
Calmar ratioReturn relative to maximum drawdown | 2.40 | 1.40 | +1.00 |
Martin ratioReturn relative to average drawdown | 3.98 | 6.61 | -2.63 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore CL=F risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
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 30.10%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -92.04% | Jul 6, 2008 | 3202 | Apr 21, 2020 | — | — | — |
| -73.48% | Oct 12, 1990 | 2051 | Dec 10, 1998 | 1498 | May 12, 2004 | 3549 |
| -67.64% | Aug 4, 1983 | 664 | Mar 31, 1986 | 1124 | Sep 17, 1990 | 1788 |
| -34.47% | Jul 16, 2006 | 149 | Jan 18, 2007 | 156 | Jul 31, 2007 | 305 |
| -26.21% | Oct 27, 2004 | 33 | Dec 10, 2004 | 68 | Mar 16, 2005 | 101 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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