CL=F vs. NQ=F

Last updated Jun 3, 2026

CL=F (Crude Oil WTI) and NQ=F (E-Mini Nasdaq 100 Futures) are both assets. Over the past 10 years, CL=F returned 6.75%/yr vs 21.16%/yr for NQ=F. At a 0.16 correlation, their price movements are largely independent.

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.

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)	2025	2024	2023	2022	2021	2020	2019	2018	2017
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.

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: 28
CL=F Sharpe Ratio Rank: 22
CL=F Sortino Ratio Rank: 34
CL=F Omega Ratio Rank: 24
CL=F Calmar Ratio Rank: 30
CL=F Martin Ratio Rank: 32

NQ=F

NQ=F Risk / Return Rank: 97
NQ=F Sharpe Ratio Rank: 94
NQ=F Sortino Ratio Rank: 94
NQ=F Omega Ratio Rank: 94
NQ=F Calmar Ratio Rank: 100
NQ=F Martin Ratio Rank: 100

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	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
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 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.

Sharpe Ratios by Period

	CL=F	NQ=F	Difference
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.

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 (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.

Volatility by Period

	CL=F	NQ=F	Difference
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

Can I hold both CL=F and NQ=F in my portfolio?

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.

Which is riskier, CL=F or NQ=F?

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%.

Which has better risk-adjusted returns?

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.