CL=F vs. ES=F
Compare and contrast key facts about Crude Oil WTI (CL=F) and S&P 500 E-Mini Futures (ES=F).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CL=F or ES=F.
Correlation
The correlation between CL=F and ES=F is 0.14, 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. ES=F - Performance Comparison
Key characteristics
CL=F:
-0.53
ES=F:
-0.01
CL=F:
-0.56
ES=F:
0.13
CL=F:
0.93
ES=F:
1.02
CL=F:
-0.27
ES=F:
-0.01
CL=F:
-1.09
ES=F:
-0.04
CL=F:
14.59%
ES=F:
4.59%
CL=F:
29.08%
ES=F:
18.72%
CL=F:
-93.11%
ES=F:
-57.11%
CL=F:
-55.48%
ES=F:
-13.80%
Returns By Period
In the year-to-date period, CL=F achieves a -9.22% return, which is significantly higher than ES=F's -10.50% return. Over the past 10 years, CL=F has underperformed ES=F with an annualized return of 1.40%, while ES=F has yielded a comparatively higher 9.04% annualized return.
CL=F
-9.22%
-3.69%
-6.56%
-21.82%
24.92%
1.40%
ES=F
-10.50%
-7.28%
-10.04%
5.22%
11.74%
9.04%
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Risk-Adjusted Performance
CL=F vs. ES=F — Risk-Adjusted Performance Rank
CL=F
ES=F
CL=F vs. ES=F - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Crude Oil WTI (CL=F) and S&P 500 E-Mini Futures (ES=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.
Drawdowns
CL=F vs. ES=F - Drawdown Comparison
The maximum CL=F drawdown since its inception was -93.11%, which is greater than ES=F's maximum drawdown of -57.11%. Use the drawdown chart below to compare losses from any high point for CL=F and ES=F. For additional features, visit the drawdowns tool.
Volatility
CL=F vs. ES=F - Volatility Comparison
The current volatility for Crude Oil WTI (CL=F) is 13.72%, while S&P 500 E-Mini Futures (ES=F) has a volatility of 14.45%. This indicates that CL=F experiences smaller price fluctuations and is considered to be less risky than ES=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.