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:
-0.02
ES=F:
1.30
CL=F:
0.17
ES=F:
1.86
CL=F:
1.02
ES=F:
1.26
CL=F:
-0.01
ES=F:
1.92
CL=F:
-0.03
ES=F:
7.43
CL=F:
13.76%
ES=F:
2.26%
CL=F:
27.20%
ES=F:
12.62%
CL=F:
-93.11%
ES=F:
-57.11%
CL=F:
-46.49%
ES=F:
-3.49%
Returns By Period
In the year-to-date period, CL=F achieves a 8.41% return, which is significantly higher than ES=F's -0.83% return. Over the past 10 years, CL=F has underperformed ES=F with an annualized return of 4.21%, while ES=F has yielded a comparatively higher 10.50% annualized return.
CL=F
8.41%
9.06%
-3.73%
6.81%
5.13%
4.21%
ES=F
-0.83%
-2.79%
2.96%
22.41%
10.99%
10.50%
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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 6.05% compared to S&P 500 E-Mini Futures (ES=F) at 4.56%. 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.