CL=F vs. ES=F

Last updated Jun 3, 2026

CL=F (Crude Oil WTI) and ES=F (S&P 500 E-Mini Futures) are both assets. Over the past 10 years, CL=F returned 6.75%/yr vs 13.78%/yr for ES=F. At a 0.13 correlation, their price movements are largely independent.

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.

Returns By Period

In the year-to-date period, CL=F achieves a 62.64% return, which is significantly higher than ES=F's 10.67% return. Over the past 10 years, CL=F has underperformed ES=F with an annualized return of 6.75%, while ES=F has yielded a comparatively higher 13.78% annualized return.

CL=F

• 1D: 1.33%
• 1M: -8.39%
• YTD: 62.64%
• 6M: 59.26%
• 1Y: 49.38%
• 3Y*: 9.14%
• 5Y*: 6.36%
• 10Y*: 6.75%

ES=F

• 1D: 0.20%
• 1M: 5.10%
• YTD: 10.67%
• 6M: 11.52%
• 1Y: 28.27%
• 3Y*: 21.17%
• 5Y*: 12.72%
• 10Y*: 13.78%

*Multi-year figures are annualized to reflect compound growth (CAGR)

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

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CL=F Crude Oil WTI	62.64%	-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	10.67%	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 -0.25, 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	-0.25
Correlation (3Y) Calculated over the trailing 3-year period	-0.06
Correlation (5Y) Calculated over the trailing 5-year period	0.07
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 -0.25 (1 year) to 0.16 (10 years), reflecting how their relationship changes across market environments.

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: 28
CL=F Sharpe Ratio Rank: 22
CL=F Sortino Ratio Rank: 34
CL=F Omega Ratio Rank: 24
CL=F Calmar Ratio Rank: 30
CL=F Martin Ratio Rank: 32

ES=F

ES=F Risk / Return Rank: 82
ES=F Sharpe Ratio Rank: 84
ES=F Sortino Ratio Rank: 86
ES=F Omega Ratio Rank: 84
ES=F Calmar Ratio Rank: 71
ES=F Martin Ratio Rank: 84

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=F	ES=F	Difference
Sharpe ratio Return per unit of total volatility	0.89	2.25	-1.36
Sortino ratio Return per unit of downside risk	1.38	3.13	-1.75
Omega ratio Gain probability vs. loss probability	1.21	1.42	-0.21
Calmar ratio Return relative to maximum drawdown	1.49	2.30	-0.81
Martin ratio Return relative to average drawdown	3.14	9.89	-6.74
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

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

The current CL=F Sharpe Ratio is 0.89, which is lower than the ES=F Sharpe Ratio of 2.25. 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.

Sharpe Ratios by Period

	CL=F	ES=F	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.89	2.25	-1.36
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.16	0.74	-0.58
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.13	0.75	-0.62
Sharpe Ratio (All Time) Calculated using the full available price history	0.06	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.

Drawdown Indicators

	CL=F	ES=F	Difference
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	-35.72%	0.00%	-35.72%
Average Drawdown Average peak-to-trough decline	-40.81%	-12.50%	-28.31%
Ulcer Index Depth and duration of drawdowns from previous peaks	12.23%	2.09%	+10.14%

Volatility

CL=F vs. ES=F - Volatility Comparison

Crude Oil WTI (CL=F) has a higher volatility of 17.06% compared to S&P 500 E-Mini Futures (ES=F) at 2.67%. 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.

Volatility by Period

	CL=F	ES=F	Difference
Volatility (1M) Calculated over the trailing 1-month period	17.06%	2.67%	+14.39%
Volatility (6M) Calculated over the trailing 6-month period	46.43%	8.72%	+37.71%
Volatility (1Y) Calculated over the trailing 1-year period	49.20%	11.23%	+37.97%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	38.88%	16.49%	+22.39%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	49.55%	17.63%	+31.92%

Frequently Asked Questions

Can I hold both CL=F and ES=F in my portfolio?

CL=F and ES=F have a correlation of -0.25, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CL=F or ES=F?

CL=F has higher volatility (17.06%) compared to ES=F (2.67%). In terms of maximum drawdown, CL=F dropped -92.04% vs ES=F's -57.11%.

Which has better risk-adjusted returns?

ES=F currently has the higher Sharpe Ratio (2.25 vs 0.89), 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.