CL=F vs. NQ=F
Compare and contrast key facts about Crude Oil WTI (CL=F) and E-Mini Nasdaq 100 Futures (NQ=F).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CL=F or NQ=F.
Key characteristics
| CL=F | NQ=F | |
|---|---|---|
| YTD Return | -4.97% | 23.95% |
| 1Y Return | -13.00% | 32.88% |
| 3Y Return (Ann) | -4.90% | 8.85% |
| 5Y Return (Ann) | 2.96% | 19.96% |
| 10Y Return (Ann) | -0.94% | 17.25% |
| Sharpe Ratio | -0.29 | 1.74 |
| Sortino Ratio | -0.22 | 2.35 |
| Omega Ratio | 0.97 | 1.33 |
| Calmar Ratio | -0.15 | 2.13 |
| Martin Ratio | -0.71 | 7.26 |
| Ulcer Index | 11.37% | 4.12% |
| Daily Std Dev | 28.57% | 16.94% |
| Max Drawdown | -93.11% | -35.28% |
| Current Drawdown | -53.14% | -0.61% |
Correlation
The correlation between CL=F and NQ=F is 0.18, 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. NQ=F - Performance Comparison
In the year-to-date period, CL=F achieves a -4.97% return, which is significantly lower than NQ=F's 23.95% return. Over the past 10 years, CL=F has underperformed NQ=F with an annualized return of -0.94%, while NQ=F has yielded a comparatively higher 17.25% 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. NQ=F - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Crude Oil WTI (CL=F) and E-Mini Nasdaq 100 Futures (NQ=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. NQ=F - Drawdown Comparison
The maximum CL=F drawdown since its inception was -93.11%, which is greater than NQ=F's maximum drawdown of -35.28%. Use the drawdown chart below to compare losses from any high point for CL=F and NQ=F. For additional features, visit the drawdowns tool.
Volatility
CL=F vs. NQ=F - Volatility Comparison
Crude Oil WTI (CL=F) has a higher volatility of 10.21% compared to E-Mini Nasdaq 100 Futures (NQ=F) at 4.92%. This indicates that CL=F's price experiences larger fluctuations and is considered to be riskier than NQ=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.