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CNQ vs. USO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between CNQ and USO is 0.62, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

CNQ vs. USO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Canadian Natural Resources Limited (CNQ) and United States Oil Fund LP (USO). The values are adjusted to include any dividend payments, if applicable.

-100.00%0.00%100.00%200.00%300.00%JulyAugustSeptemberOctoberNovemberDecember
242.24%
-86.57%
CNQ
USO

Key characteristics

Sharpe Ratio

CNQ:

-0.11

USO:

0.23

Sortino Ratio

CNQ:

0.03

USO:

0.51

Omega Ratio

CNQ:

1.00

USO:

1.06

Calmar Ratio

CNQ:

-0.11

USO:

0.07

Martin Ratio

CNQ:

-0.25

USO:

0.75

Ulcer Index

CNQ:

11.89%

USO:

8.39%

Daily Std Dev

CNQ:

26.43%

USO:

27.01%

Max Drawdown

CNQ:

-81.11%

USO:

-98.19%

Current Drawdown

CNQ:

-25.54%

USO:

-92.22%

Returns By Period

In the year-to-date period, CNQ achieves a -5.45% return, which is significantly lower than USO's 9.68% return. Over the past 10 years, CNQ has outperformed USO with an annualized return of 11.56%, while USO has yielded a comparatively lower -8.02% annualized return.


CNQ

YTD

-5.45%

1M

-11.35%

6M

-12.11%

1Y

-4.53%

5Y*

19.97%

10Y*

11.56%

USO

YTD

9.68%

1M

-0.14%

6M

-7.06%

1Y

6.42%

5Y*

-6.39%

10Y*

-8.02%

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Risk-Adjusted Performance

CNQ vs. USO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Canadian Natural Resources Limited (CNQ) and United States Oil Fund LP (USO). 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.


Sharpe ratio
The chart of Sharpe ratio for CNQ, currently valued at -0.11, compared to the broader market-4.00-2.000.002.00-0.110.23
The chart of Sortino ratio for CNQ, currently valued at 0.03, compared to the broader market-4.00-2.000.002.004.000.030.51
The chart of Omega ratio for CNQ, currently valued at 1.00, compared to the broader market0.501.001.502.001.001.06
The chart of Calmar ratio for CNQ, currently valued at -0.11, compared to the broader market0.002.004.006.00-0.110.07
The chart of Martin ratio for CNQ, currently valued at -0.24, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.250.75
CNQ
USO

The current CNQ Sharpe Ratio is -0.11, which is lower than the USO Sharpe Ratio of 0.23. The chart below compares the historical Sharpe Ratios of CNQ and USO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
-0.11
0.23
CNQ
USO

Dividends

CNQ vs. USO - Dividend Comparison

CNQ's dividend yield for the trailing twelve months is around 5.22%, while USO has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
CNQ
Canadian Natural Resources Limited
5.22%4.17%6.31%3.70%5.15%3.42%5.92%2.34%2.19%3.22%2.60%1.62%
USO
United States Oil Fund LP
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

CNQ vs. USO - Drawdown Comparison

The maximum CNQ drawdown since its inception was -81.11%, smaller than the maximum USO drawdown of -98.19%. Use the drawdown chart below to compare losses from any high point for CNQ and USO. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-25.54%
-92.22%
CNQ
USO

Volatility

CNQ vs. USO - Volatility Comparison

Canadian Natural Resources Limited (CNQ) has a higher volatility of 7.94% compared to United States Oil Fund LP (USO) at 6.52%. This indicates that CNQ's price experiences larger fluctuations and is considered to be riskier than USO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
7.94%
6.52%
CNQ
USO
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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