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.
Key characteristics
| CL=F | ES=F | |
|---|---|---|
| YTD Return | -4.97% | 24.86% |
| 1Y Return | -13.00% | 33.21% |
| 3Y Return (Ann) | -4.90% | 7.68% |
| 5Y Return (Ann) | 2.96% | 12.67% |
| 10Y Return (Ann) | -0.94% | 10.59% |
| Sharpe Ratio | -0.29 | 2.03 |
| Sortino Ratio | -0.22 | 2.83 |
| Omega Ratio | 0.97 | 1.40 |
| Calmar Ratio | -0.15 | 2.79 |
| Martin Ratio | -0.71 | 11.47 |
| Ulcer Index | 11.37% | 2.12% |
| Daily Std Dev | 28.57% | 11.54% |
| Max Drawdown | -93.11% | -57.11% |
| Current Drawdown | -53.14% | -0.38% |
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
In the year-to-date period, CL=F achieves a -4.97% return, which is significantly lower than ES=F's 24.86% return. Over the past 10 years, CL=F has underperformed ES=F with an annualized return of -0.94%, while ES=F has yielded a comparatively higher 10.59% 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. 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
Crude Oil WTI (CL=F) has a higher volatility of 10.21% compared to S&P 500 E-Mini Futures (ES=F) at 3.76%. 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.