PortfoliosLab logoPortfoliosLab logo
CL=F vs. ES=F
Performance
Return for Risk
Drawdowns
Volatility

Performance

CL=F vs. ES=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Crude Oil WTI (CL=F) and S&P 500 E-Mini Futures (ES=F). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, CL=F achieves a 67.54% return, which is significantly higher than ES=F's 9.50% return. Over the past 10 years, CL=F has underperformed ES=F with an annualized return of 7.06%, while ES=F has yielded a comparatively higher 13.66% annualized return.


CL=F

1D
2.60%
1M
-9.60%
YTD
67.54%
6M
63.19%
1Y
51.71%
3Y*
10.22%
5Y*
6.75%
10Y*
7.06%

ES=F

1D
-1.00%
1M
4.39%
YTD
9.50%
6M
9.99%
1Y
26.18%
3Y*
20.74%
5Y*
12.29%
10Y*
13.66%
*Multi-year figures are annualized to reflect compound growth (CAGR)

CL=F vs. ES=F - Yearly Performance Comparison


2026 (YTD)202520242023202220212020201920182017
CL=F
Crude Oil WTI
67.54%-19.41%-0.82%-10.70%7.44%53.98%-19.98%32.92%-24.35%12.51%
ES=F
S&P 500 E-Mini Futures
9.50%16.12%23.15%24.84%-18.86%26.94%16.02%28.97%-6.38%19.66%

Correlation

The correlation between CL=F and ES=F is -0.26, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.


Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

-0.26

Correlation (3Y)
Calculated over the trailing 3-year period

-0.07

Correlation (5Y)
Calculated over the trailing 5-year period

0.06

Correlation (10Y)
Calculated over the trailing 10-year period

0.16

Correlation (All Time)
Calculated using the full available price history since Sep 11, 1997

0.13

The correlation between CL=F and ES=F shifts across timeframes, from -0.26 (1 year) to 0.15 (10 years), reflecting how their relationship changes across market environments.

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Return for Risk

CL=F vs. ES=F — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CL=F
CL=F Risk / Return Rank: 3535
Overall Rank
CL=F Sharpe Ratio Rank: 3535
Sharpe Ratio Rank
CL=F Sortino Ratio Rank: 3838
Sortino Ratio Rank
CL=F Omega Ratio Rank: 3030
Omega Ratio Rank
CL=F Calmar Ratio Rank: 5050
Calmar Ratio Rank
CL=F Martin Ratio Rank: 2222
Martin Ratio Rank

ES=F
ES=F Risk / Return Rank: 8585
Overall Rank
ES=F Sharpe Ratio Rank: 8282
Sharpe Ratio Rank
ES=F Sortino Ratio Rank: 8484
Sortino Ratio Rank
ES=F Omega Ratio Rank: 8080
Omega Ratio Rank
ES=F Calmar Ratio Rank: 8585
Calmar Ratio Rank
ES=F Martin Ratio Rank: 9393
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CL=F vs. ES=F - Risk-Adjusted Trends 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.


CL=FES=FDifference

Sharpe ratio

Return per unit of total volatility

0.93

2.08

-1.15

Sortino ratio

Return per unit of downside risk

1.42

2.91

-1.49

Omega ratio

Gain probability vs. loss probability

1.22

1.38

-0.17

Calmar ratio

Return relative to maximum drawdown

1.70

2.61

-0.91

Martin ratio

Return relative to average drawdown

2.77

11.71

-8.95

CL=F vs. ES=F - Sharpe Ratio Comparison

The current CL=F Sharpe Ratio is 0.93, which is lower than the ES=F Sharpe Ratio of 2.08. The chart below compares the historical Sharpe Ratios of CL=F and ES=F, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.


Loading charts...

Sharpe Ratios by Period


CL=FES=FDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

0.93

2.08

-1.15

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.16

0.71

-0.55

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.14

0.74

-0.60

Sharpe Ratio (All Time)

Calculated using the full available price history

0.07

0.38

-0.32

Drawdowns

CL=F vs. ES=F - Drawdown Comparison

The maximum CL=F drawdown since its inception was -92.04%, 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.


Loading charts...

Drawdown Indicators


CL=FES=FDifference

Max Drawdown

Largest peak-to-trough decline

-92.04%

-57.11%

-34.93%

Max Drawdown (1Y)

Largest decline over 1 year

-27.07%

-8.95%

-18.12%

Max Drawdown (3Y)

Largest decline over 3 years

-39.46%

-18.54%

-20.92%

Max Drawdown (5Y)

Largest decline over 5 years

-53.86%

-25.02%

-28.84%

Max Drawdown (10Y)

Largest decline over 10 years

-84.82%

-34.45%

-50.37%

Current Drawdown

Current decline from peak

-33.79%

-1.00%

-32.79%

Average Drawdown

Average peak-to-trough decline

-40.81%

-12.50%

-28.31%

Ulcer Index

Depth and duration of drawdowns from previous peaks

12.27%

2.09%

+10.18%

Volatility

CL=F vs. ES=F - Volatility Comparison

Crude Oil WTI (CL=F) has a higher volatility of 17.01% compared to S&P 500 E-Mini Futures (ES=F) at 2.89%. This indicates that CL=F's price experiences larger fluctuations and is considered to be riskier than ES=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


Loading charts...

Volatility by Period


CL=FES=FDifference

Volatility (1M)

Calculated over the trailing 1-month period

17.01%

2.89%

+14.12%

Volatility (6M)

Calculated over the trailing 6-month period

46.49%

8.77%

+37.72%

Volatility (1Y)

Calculated over the trailing 1-year period

49.26%

11.25%

+38.01%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

38.90%

16.50%

+22.40%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

49.55%

17.63%

+31.92%

Frequently Asked Questions


CL=F and ES=F have a correlation of -0.26, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

CL=F has higher volatility (17.01%) compared to ES=F (2.89%). In terms of maximum drawdown, CL=F dropped -92.04% vs ES=F's -57.11%.

ES=F currently has the higher Sharpe Ratio (2.08 vs 0.93), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

Portfolio Optimizer

Find the right allocation for CL=F and ES=F

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer