CL=F vs. NQ=F

Last updated Apr 3, 2026

Compare and contrast key facts about Crude Oil WTI (CL=F) and E-Mini Nasdaq 100 Futures (NQ=F).

Performance

CL=F vs. NQ=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Crude Oil WTI (CL=F) and E-Mini Nasdaq 100 Futures (NQ=F). The values are adjusted to include any dividend payments, if applicable.

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

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CL=F Crude Oil WTI	95.16%	-19.41%	-0.82%	-10.70%	7.44%	53.98%	-19.98%	32.92%	-24.35%	12.51%
NQ=F E-Mini Nasdaq 100 Futures	-4.86%	19.93%	24.69%	54.45%	-32.46%	26.66%	47.22%	38.20%	-1.18%	31.76%

Returns By Period

In the year-to-date period, CL=F achieves a 95.16% return, which is significantly higher than NQ=F's -4.86% return. Over the past 10 years, CL=F has underperformed NQ=F with an annualized return of 12.12%, while NQ=F has yielded a comparatively higher 18.33% annualized return.

CL=F

• 1D: 11.93%
• 1M: 50.30%
• YTD: 95.16%
• 6M: 85.28%
• 1Y: 56.27%
• 3Y*: 11.68%
• 5Y*: 12.76%
• 10Y*: 12.12%

NQ=F

• 1D: 0.10%
• 1M: -2.17%
• YTD: -4.86%
• 6M: -3.55%
• 1Y: 22.58%
• 3Y*: 22.21%
• 5Y*: 12.71%
• 10Y*: 18.33%

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

Return for Risk

CL=F vs. NQ=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: 65
CL=F Sharpe Ratio Rank: 64
CL=F Sortino Ratio Rank: 69
CL=F Omega Ratio Rank: 61
CL=F Calmar Ratio Rank: 90
CL=F Martin Ratio Rank: 42

NQ=F

NQ=F Risk / Return Rank: 61
NQ=F Sharpe Ratio Rank: 57
NQ=F Sortino Ratio Rank: 59
NQ=F Omega Ratio Rank: 57
NQ=F Calmar Ratio Rank: 58
NQ=F Martin Ratio Rank: 75

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. NQ=F - Risk-Adjusted Trends 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.

	CL=F	NQ=F	Difference
Sharpe ratio Return per unit of total volatility	1.15	0.98	+0.17
Sortino ratio Return per unit of downside risk	1.74	1.55	+0.19
Omega ratio Gain probability vs. loss probability	1.24	1.22	+0.02
Calmar ratio Return relative to maximum drawdown	2.91	2.35	+0.56
Martin ratio Return relative to average drawdown	4.83	8.67	-3.84
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. NQ=F - Sharpe Ratio Comparison

The current CL=F Sharpe Ratio is 1.15, which is comparable to the NQ=F Sharpe Ratio of 0.98. The chart below compares the historical Sharpe Ratios of CL=F and NQ=F, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	CL=F	NQ=F	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.15	0.98	+0.17
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.33	0.56	-0.24
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.24	0.82	-0.59
Sharpe Ratio (All Time) Calculated using the full available price history	0.08	0.90	-0.83

Correlation

The correlation between CL=F and NQ=F is 0.17, 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.

Drawdowns

CL=F vs. NQ=F - Drawdown Comparison

The maximum CL=F drawdown since its inception was -92.04%, 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.

Drawdown Indicators

	CL=F	NQ=F	Difference
Max Drawdown Largest peak-to-trough decline	-92.04%	-35.28%	-56.76%
Max Drawdown (1Y) Largest decline over 1 year	-27.07%	-11.89%	-15.18%
Max Drawdown (5Y) Largest decline over 5 years	-53.86%	-35.28%	-18.58%
Max Drawdown (10Y) Largest decline over 10 years	-84.82%	-35.28%	-49.54%
Current Drawdown Current decline from peak	-22.87%	-7.78%	-15.09%
Average Drawdown Average peak-to-trough decline	-40.84%	-5.15%	-35.69%
Ulcer Index Depth and duration of drawdowns from previous peaks	16.32%	3.22%	+13.10%

Volatility

CL=F vs. NQ=F - Volatility Comparison

Crude Oil WTI (CL=F) has a higher volatility of 28.87% compared to E-Mini Nasdaq 100 Futures (NQ=F) at 6.01%. 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.

Volatility by Period

	CL=F	NQ=F	Difference
Volatility (1M) Calculated over the trailing 1-month period	28.87%	6.01%	+22.86%
Volatility (6M) Calculated over the trailing 6-month period	34.98%	12.59%	+22.39%
Volatility (1Y) Calculated over the trailing 1-year period	42.54%	22.18%	+20.36%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	36.87%	22.47%	+14.40%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	48.84%	22.24%	+26.60%