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 | 11.74% | 9.47% |
| 1Y Return | 11.41% | 34.12% |
| 3Y Return (Ann) | 6.02% | 11.82% |
| 5Y Return (Ann) | 4.26% | 19.59% |
| 10Y Return (Ann) | -2.14% | 17.75% |
| Sharpe Ratio | 0.26 | 1.87 |
| Daily Std Dev | 27.48% | 16.40% |
| Max Drawdown | -93.11% | -35.28% |
| Current Drawdown | -44.90% | -0.30% |
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 11.74% return, which is significantly higher than NQ=F's 9.47% return. Over the past 10 years, CL=F has underperformed NQ=F with an annualized return of -2.14%, while NQ=F has yielded a comparatively higher 17.75% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
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 5.26% compared to E-Mini Nasdaq 100 Futures (NQ=F) at 4.12%. 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.