CL=F vs. SLB
Compare and contrast key facts about Crude Oil WTI (CL=F) and Schlumberger Limited (SLB).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CL=F or SLB.
Key characteristics
| CL=F | SLB | |
|---|---|---|
| YTD Return | -4.97% | -14.67% |
| 1Y Return | -13.00% | -17.90% |
| 3Y Return (Ann) | -4.90% | 12.13% |
| 5Y Return (Ann) | 2.96% | 6.78% |
| 10Y Return (Ann) | -0.94% | -4.94% |
| Sharpe Ratio | -0.29 | -0.64 |
| Sortino Ratio | -0.22 | -0.77 |
| Omega Ratio | 0.97 | 0.91 |
| Calmar Ratio | -0.15 | -0.31 |
| Martin Ratio | -0.71 | -1.17 |
| Ulcer Index | 11.37% | 14.80% |
| Daily Std Dev | 28.57% | 27.15% |
| Max Drawdown | -93.11% | -87.63% |
| Current Drawdown | -53.14% | -51.08% |
Correlation
The correlation between CL=F and SLB is 0.33, 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. SLB - Performance Comparison
In the year-to-date period, CL=F achieves a -4.97% return, which is significantly higher than SLB's -14.67% return. Over the past 10 years, CL=F has outperformed SLB with an annualized return of -0.94%, while SLB has yielded a comparatively lower -4.94% 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. SLB - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Crude Oil WTI (CL=F) and Schlumberger Limited (SLB). 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. SLB - Drawdown Comparison
The maximum CL=F drawdown since its inception was -93.11%, which is greater than SLB's maximum drawdown of -87.63%. Use the drawdown chart below to compare losses from any high point for CL=F and SLB. For additional features, visit the drawdowns tool.
Volatility
CL=F vs. SLB - Volatility Comparison
The current volatility for Crude Oil WTI (CL=F) is 10.21%, while Schlumberger Limited (SLB) has a volatility of 10.79%. This indicates that CL=F experiences smaller price fluctuations and is considered to be less risky than SLB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.