ES=F vs. CL=F

Last updated Apr 3, 2026

Compare and contrast key facts about S&P 500 E-Mini Futures (ES=F) and Crude Oil WTI (CL=F).

Performance

ES=F vs. CL=F - Performance Comparison

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

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

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ES=F S&P 500 E-Mini Futures	-3.90%	16.12%	23.15%	24.84%	-18.86%	26.94%	16.02%	28.97%	-6.38%	19.66%
CL=F Crude Oil WTI	95.16%	-19.41%	-0.82%	-10.70%	7.44%	53.98%	-19.98%	32.92%	-24.35%	12.51%

Returns By Period

In the year-to-date period, ES=F achieves a -3.90% return, which is significantly lower than CL=F's 95.16% return. Both investments have delivered pretty close results over the past 10 years, with ES=F having a 12.40% annualized return and CL=F not far behind at 12.12%.

ES=F

• 1D: 0.09%
• 1M: -2.94%
• YTD: -3.90%
• 6M: -2.11%
• 1Y: 15.96%
• 3Y*: 16.83%
• 5Y*: 10.24%
• 10Y*: 12.40%

CL=F

• 1D: 11.93%
• 1M: 50.30%
• YTD: 95.16%
• 6M: 85.28%
• 1Y: 56.27%
• 3Y*: 11.68%
• 5Y*: 12.76%
• 10Y*: 12.12%

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

Return for Risk

ES=F vs. CL=F — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ES=F

ES=F Risk / Return Rank: 34
ES=F Sharpe Ratio Rank: 33
ES=F Sortino Ratio Rank: 33
ES=F Omega Ratio Rank: 35
ES=F Calmar Ratio Rank: 22
ES=F Martin Ratio Rank: 48

CL=F

CL=F Risk / Return Rank: 65
CL=F Sharpe Ratio Rank: 64
CL=F Sortino Ratio Rank: 69
CL=F Omega Ratio Rank: 61
CL=F Calmar Ratio Rank: 90
CL=F Martin Ratio Rank: 42

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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

This table presents a comparison of risk-adjusted performance metrics for S&P 500 E-Mini 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.

	ES=F	CL=F	Difference
Sharpe ratio Return per unit of total volatility	0.83	1.15	-0.32
Sortino ratio Return per unit of downside risk	1.28	1.74	-0.46
Omega ratio Gain probability vs. loss probability	1.20	1.24	-0.04
Calmar ratio Return relative to maximum drawdown	1.36	2.91	-1.55
Martin ratio Return relative to average drawdown	6.06	4.83	+1.24
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ES=F vs. CL=F - Sharpe Ratio Comparison

The current ES=F Sharpe Ratio is 0.83, which is comparable to the CL=F Sharpe Ratio of 1.15. The chart below compares the historical Sharpe Ratios of ES=F and CL=F, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	ES=F	CL=F	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.83	1.15	-0.32
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.60	0.33	+0.27
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.67	0.24	+0.44
Sharpe Ratio (All Time) Calculated using the full available price history	0.36	0.08	+0.28

Correlation

The correlation between ES=F and CL=F is 0.14, 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.

Drawdowns

ES=F vs. CL=F - Drawdown Comparison

The maximum ES=F drawdown since its inception was -57.11%, smaller than the maximum CL=F drawdown of -92.04%. Use the drawdown chart below to compare losses from any high point for ES=F and CL=F.

Drawdown Indicators

	ES=F	CL=F	Difference
Max Drawdown Largest peak-to-trough decline	-57.11%	-92.04%	+34.93%
Max Drawdown (1Y) Largest decline over 1 year	-8.95%	-27.07%	+18.12%
Max Drawdown (5Y) Largest decline over 5 years	-25.02%	-53.86%	+28.84%
Max Drawdown (10Y) Largest decline over 10 years	-34.45%	-84.82%	+50.37%
Current Drawdown Current decline from peak	-5.59%	-22.87%	+17.28%
Average Drawdown Average peak-to-trough decline	-12.56%	-40.84%	+28.28%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.01%	16.32%	-14.31%

Volatility

ES=F vs. CL=F - Volatility Comparison

The current volatility for S&P 500 E-Mini Futures (ES=F) is 5.00%, while Crude Oil WTI (CL=F) has a volatility of 28.87%. This indicates that ES=F experiences smaller price fluctuations and is considered to be less risky than CL=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ES=F	CL=F	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.00%	28.87%	-23.87%
Volatility (6M) Calculated over the trailing 6-month period	8.75%	34.98%	-26.23%
Volatility (1Y) Calculated over the trailing 1-year period	17.09%	42.54%	-25.45%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.48%	36.87%	-20.39%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.61%	48.84%	-31.23%