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 | 11.74% | 11.74% |
1Y Return | 11.41% | 28.12% |
3Y Return (Ann) | 6.02% | 10.36% |
5Y Return (Ann) | 4.26% | 14.97% |
10Y Return (Ann) | -2.14% | 12.97% |
Sharpe Ratio | 0.26 | 2.56 |
Daily Std Dev | 27.48% | 11.48% |
Max Drawdown | -93.11% | -55.19% |
Current Drawdown | -44.90% | -0.06% |
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
As of year-to-date, both investments have demonstrated similar returns, with CL=F at 11.74% and SPY at 11.74%. Over the past 10 years, CL=F has underperformed SPY with an annualized return of -2.14%, while SPY has yielded a comparatively higher 12.97% 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 5.26% compared to SPDR S&P 500 ETF (SPY) at 3.11%. 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.