ES=F vs. CL=F

Last updated Aug 5, 2026

ES=F (E-mini S&P 500 Futures) and CL=F (Crude Oil WTI) are both assets. Their -0.03 correlation means they have often moved in opposite directions in the past.

Performance

ES=F vs. CL=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in E-mini S&P 500 Futures (ES=F) and Crude Oil WTI (CL=F). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

ES=F

• 1D: 2.02%
• 1M: 3.37%
• 6M: 12.11%
• YTD: 12.91%
• 1Y: 22.44%
• 3Y*: 20.05%
• 5Y*: 11.97%
• 10Y*: 13.59%
• ALL TIME*: 6.61%

CL=F

• 1D: —
• 1M: —
• 6M: —
• YTD: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
ES=F E-mini S&P 500 Futures	$10.85B	$10.18B	$11.22B

ES=F vs. CL=F - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
ES=F E-mini S&P 500 Futures	12.91%	16.12%	23.15%	24.84%	-12.71%
CL=F Crude Oil WTI	0.00%	0.00%	0.00%	0.00%	18.11%

Correlation

The correlation between ES=F and CL=F is -0.03, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.

	Correlation
Correlation (All Time) Calculated using the full available price history since Jan 31, 2022	-0.03

Return for Risk

ES=F vs. CL=F — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

ES=F

ES=F Risk / Return Rank: 100
ES=F Sharpe Ratio Rank: 100
ES=F Sortino Ratio Rank: 100
ES=F Omega Ratio Rank: 100
ES=F Calmar Ratio Rank: 100
ES=F Martin Ratio Rank: 100

CL=F

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

ES=F vs. CL=F - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for E-mini S&P 500 Futures (ES=F) and Crude Oil WTI (CL=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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	ES=F	CL=F	Difference
Sharpe ratio: Return per unit of total volatility	1.75	—	—
Sortino ratio: Return per unit of downside risk	2.45	—	—
Omega ratio: Gain probability vs. loss probability	1.32	—	—
Calmar ratio: Return relative to maximum drawdown	2.52	—	—
Martin ratio: Return relative to average drawdown	10.39	—	—

Drawdowns

Drawdown Indicators

	ES=F	CL=F	Difference
Max Drawdown Largest peak-to-trough decline	-57.11%	—	—
Max Drawdown (1Y) Largest decline over 1 year	-8.95%	—	—
Max Drawdown (3Y) Largest decline over 3 years	-18.54%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-25.02%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-34.45%	—	—
Current Drawdown Current decline from peak	0.00%	—	—
Average Drawdown Average peak-to-trough decline	-12.62%	—	—
Ulcer Index Depth and duration of drawdowns from previous peaks	2.17%	—	—

Volatility

Volatility by Period

	ES=F	CL=F	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.22%	—	—
Volatility (6M) Calculated over the trailing 6-month period	10.15%	—	—
Volatility (1Y) Calculated over the trailing 1-year period	12.94%	—	—
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.13%	—	—
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.11%	—	—

Frequently Asked Questions

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

ES=F and CL=F have a correlation of -0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.