CL=F vs. SPY
Compare and contrast key facts about Crude Oil WTI (CL=F) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CL=F or SPY.
Key characteristics
| CL=F | SPY | |
|---|---|---|
| YTD Return | -4.93% | 26.83% |
| 1Y Return | -11.14% | 34.88% |
| 3Y Return (Ann) | -4.92% | 10.16% |
| 5Y Return (Ann) | 2.97% | 15.71% |
| 10Y Return (Ann) | -0.92% | 13.33% |
| Sharpe Ratio | -0.18 | 3.08 |
| Sortino Ratio | -0.06 | 4.10 |
| Omega Ratio | 0.99 | 1.58 |
| Calmar Ratio | -0.09 | 4.46 |
| Martin Ratio | -0.44 | 20.22 |
| Ulcer Index | 11.45% | 1.85% |
| Daily Std Dev | 28.52% | 12.18% |
| Max Drawdown | -93.11% | -55.19% |
| Current Drawdown | -53.11% | -0.26% |
Correlation
The correlation between CL=F and SPY is 0.11, 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. SPY - Performance Comparison
In the year-to-date period, CL=F achieves a -4.93% return, which is significantly lower than SPY's 26.83% return. Over the past 10 years, CL=F has underperformed SPY with an annualized return of -0.92%, while SPY has yielded a comparatively higher 13.33% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
CL=F vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Crude Oil WTI (CL=F) and SPDR S&P 500 ETF (SPY). 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. SPY - Drawdown Comparison
The maximum CL=F drawdown since its inception was -93.11%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CL=F and SPY. For additional features, visit the drawdowns tool.
Volatility
CL=F vs. SPY - Volatility Comparison
Crude Oil WTI (CL=F) has a higher volatility of 10.05% compared to SPDR S&P 500 ETF (SPY) at 3.75%. This indicates that CL=F's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.