CL=F vs. BTC-USD
Compare and contrast key facts about Crude Oil WTI (CL=F) and Bitcoin (BTC-USD).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CL=F or BTC-USD.
Key characteristics
| CL=F | BTC-USD | |
|---|---|---|
| YTD Return | -4.97% | 114.32% |
| 1Y Return | -13.00% | 154.90% |
| 3Y Return (Ann) | -4.90% | 11.43% |
| 5Y Return (Ann) | 2.96% | 60.55% |
| 10Y Return (Ann) | -0.94% | 72.52% |
| Sharpe Ratio | -0.29 | 1.07 |
| Sortino Ratio | -0.22 | 1.78 |
| Omega Ratio | 0.97 | 1.17 |
| Calmar Ratio | -0.15 | 0.91 |
| Martin Ratio | -0.71 | 4.39 |
| Ulcer Index | 11.37% | 13.18% |
| Daily Std Dev | 28.57% | 44.55% |
| Max Drawdown | -93.11% | -93.07% |
| Current Drawdown | -53.14% | 0.00% |
Correlation
The correlation between CL=F and BTC-USD is 0.02, 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.
Performance
CL=F vs. BTC-USD - Performance Comparison
In the year-to-date period, CL=F achieves a -4.97% return, which is significantly lower than BTC-USD's 114.32% return. Over the past 10 years, CL=F has underperformed BTC-USD with an annualized return of -0.94%, while BTC-USD has yielded a comparatively higher 72.52% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
CL=F vs. BTC-USD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Crude Oil WTI (CL=F) and Bitcoin (BTC-USD). 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
CL=F vs. BTC-USD - Drawdown Comparison
The maximum CL=F drawdown since its inception was -93.11%, roughly equal to the maximum BTC-USD drawdown of -93.07%. Use the drawdown chart below to compare losses from any high point for CL=F and BTC-USD. For additional features, visit the drawdowns tool.
Volatility
CL=F vs. BTC-USD - Volatility Comparison
The current volatility for Crude Oil WTI (CL=F) is 10.15%, while Bitcoin (BTC-USD) has a volatility of 15.73%. This indicates that CL=F experiences smaller price fluctuations and is considered to be less risky than BTC-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.