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 0.13, 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:
1.29
CL=F:
-0.58
ES=F:
1.81
CL=F:
0.93
ES=F:
1.25
CL=F:
-0.26
ES=F:
1.88
CL=F:
-0.96
ES=F:
7.06
CL=F:
14.88%
ES=F:
2.33%
CL=F:
26.57%
ES=F:
12.75%
CL=F:
-93.11%
ES=F:
-57.11%
CL=F:
-50.58%
ES=F:
-0.17%
Returns By Period
In the year-to-date period, CL=F achieves a 0.77% return, which is significantly lower than ES=F's 3.53% return. Over the past 10 years, CL=F has underperformed ES=F with an annualized return of 3.17%, while ES=F has yielded a comparatively higher 10.47% annualized return.
CL=F
0.77%
-6.62%
-0.18%
-8.16%
5.34%
3.17%
ES=F
3.53%
1.27%
8.92%
23.11%
11.69%
10.47%
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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
Crude Oil WTI (CL=F) has a higher volatility of 5.03% 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.