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CL=F vs. NQ=F
Performance
Return for Risk
Drawdowns
Volatility

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.

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Returns By Period

In the year-to-date period, CL=F achieves a 62.64% return, which is significantly higher than NQ=F's 20.77% return. Over the past 10 years, CL=F has underperformed NQ=F with an annualized return of 6.75%, while NQ=F has yielded a comparatively higher 21.16% annualized return.


CL=F

1D
1.33%
1M
-8.39%
YTD
62.64%
6M
59.26%
1Y
49.38%
3Y*
9.14%
5Y*
6.36%
10Y*
6.75%

NQ=F

1D
0.58%
1M
10.44%
YTD
20.77%
6M
20.06%
1Y
42.76%
3Y*
28.25%
5Y*
17.84%
10Y*
21.16%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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


2026 (YTD)202520242023202220212020201920182017
CL=F
Crude Oil WTI
62.64%-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
20.77%19.93%24.69%54.45%-32.46%26.66%47.22%38.20%-1.18%31.76%

Correlation

The correlation between CL=F and NQ=F is -0.20, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.


Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

-0.20

Correlation (3Y)
Calculated over the trailing 3-year period

-0.06

Correlation (5Y)
Calculated over the trailing 5-year period

0.02

Correlation (10Y)
Calculated over the trailing 10-year period

0.10

Correlation (All Time)
Calculated using the full available price history since Apr 26, 2009

0.16

The correlation between CL=F and NQ=F shifts across timeframes, from -0.20 (1 year) to 0.16 (all time), reflecting how their relationship changes across market environments.

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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: 2828
Overall Rank
CL=F Sharpe Ratio Rank: 2222
Sharpe Ratio Rank
CL=F Sortino Ratio Rank: 3434
Sortino Ratio Rank
CL=F Omega Ratio Rank: 2424
Omega Ratio Rank
CL=F Calmar Ratio Rank: 3030
Calmar Ratio Rank
CL=F Martin Ratio Rank: 3232
Martin Ratio Rank

NQ=F
NQ=F Risk / Return Rank: 9797
Overall Rank
NQ=F Sharpe Ratio Rank: 9494
Sharpe Ratio Rank
NQ=F Sortino Ratio Rank: 9494
Sortino Ratio Rank
NQ=F Omega Ratio Rank: 9494
Omega Ratio Rank
NQ=F Calmar Ratio Rank: 100100
Calmar Ratio Rank
NQ=F Martin Ratio Rank: 100100
Martin Ratio Rank
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=FNQ=FDifference

Sharpe ratio

Return per unit of total volatility

0.89

2.63

-1.74

Sortino ratio

Return per unit of downside risk

1.38

3.48

-2.10

Omega ratio

Gain probability vs. loss probability

1.21

1.46

-0.25

Calmar ratio

Return relative to maximum drawdown

1.49

3.54

-2.04

Martin ratio

Return relative to average drawdown

3.14

12.68

-9.54

CL=F vs. NQ=F - Sharpe Ratio Comparison

The current CL=F Sharpe Ratio is 0.89, which is lower than the NQ=F Sharpe Ratio of 2.63. The chart below compares the historical Sharpe Ratios of CL=F and NQ=F, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.


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Sharpe Ratios by Period


CL=FNQ=FDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

0.89

2.63

-1.74

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.16

0.79

-0.64

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.13

0.95

-0.82

Sharpe Ratio (All Time)

Calculated using the full available price history

0.06

0.97

-0.91

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.


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Drawdown Indicators


CL=FNQ=FDifference

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 (3Y)

Largest decline over 3 years

-39.46%

-23.05%

-16.41%

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

-35.72%

0.00%

-35.72%

Average Drawdown

Average peak-to-trough decline

-40.81%

-5.11%

-35.70%

Ulcer Index

Depth and duration of drawdowns from previous peaks

12.23%

3.32%

+8.91%

Volatility

CL=F vs. NQ=F - Volatility Comparison

Crude Oil WTI (CL=F) has a higher volatility of 17.06% compared to E-Mini Nasdaq 100 Futures (NQ=F) at 4.29%. 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.


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Volatility by Period


CL=FNQ=FDifference

Volatility (1M)

Calculated over the trailing 1-month period

17.06%

4.29%

+12.77%

Volatility (6M)

Calculated over the trailing 6-month period

46.43%

11.86%

+34.57%

Volatility (1Y)

Calculated over the trailing 1-year period

49.20%

15.60%

+33.60%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

38.88%

22.45%

+16.43%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

49.55%

22.29%

+27.26%

Frequently Asked Questions


CL=F and NQ=F have a correlation of -0.20, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

CL=F has higher volatility (17.06%) compared to NQ=F (4.29%). In terms of maximum drawdown, CL=F dropped -92.04% vs NQ=F's -35.28%.

NQ=F currently has the higher Sharpe Ratio (2.63 vs 0.89), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

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