CL=F vs. CVX
Compare and contrast key facts about Crude Oil WTI (CL=F) and Chevron Corporation (CVX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CL=F or CVX.
Key characteristics
| CL=F | CVX | |
|---|---|---|
| YTD Return | -4.97% | 9.87% |
| 1Y Return | -13.00% | 14.17% |
| 3Y Return (Ann) | -4.90% | 16.09% |
| 5Y Return (Ann) | 2.96% | 10.25% |
| 10Y Return (Ann) | -0.94% | 7.56% |
| Sharpe Ratio | -0.29 | 0.79 |
| Sortino Ratio | -0.22 | 1.19 |
| Omega Ratio | 0.97 | 1.15 |
| Calmar Ratio | -0.15 | 0.70 |
| Martin Ratio | -0.71 | 2.48 |
| Ulcer Index | 11.37% | 6.05% |
| Daily Std Dev | 28.57% | 18.88% |
| Max Drawdown | -93.11% | -55.77% |
| Current Drawdown | -53.14% | -9.30% |
Correlation
The correlation between CL=F and CVX is 0.39, 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. CVX - Performance Comparison
In the year-to-date period, CL=F achieves a -4.97% return, which is significantly lower than CVX's 9.87% return. Over the past 10 years, CL=F has underperformed CVX with an annualized return of -0.94%, while CVX has yielded a comparatively higher 7.56% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Risk-Adjusted Performance
CL=F vs. CVX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Crude Oil WTI (CL=F) and Chevron Corporation (CVX). 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. CVX - Drawdown Comparison
The maximum CL=F drawdown since its inception was -93.11%, which is greater than CVX's maximum drawdown of -55.77%. Use the drawdown chart below to compare losses from any high point for CL=F and CVX. For additional features, visit the drawdowns tool.
Volatility
CL=F vs. CVX - Volatility Comparison
Crude Oil WTI (CL=F) has a higher volatility of 10.21% compared to Chevron Corporation (CVX) at 4.94%. This indicates that CL=F's price experiences larger fluctuations and is considered to be riskier than CVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.