ES=F vs. CL=F
Compare and contrast key facts about S&P 500 E-Mini Futures (ES=F) and Crude Oil WTI (CL=F).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ES=F or CL=F.
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.
Performance
ES=F vs. CL=F - Performance Comparison
Key characteristics
ES=F:
-0.17
CL=F:
-0.70
ES=F:
-0.11
CL=F:
-0.84
ES=F:
0.98
CL=F:
0.90
ES=F:
-0.15
CL=F:
-0.36
ES=F:
-0.75
CL=F:
-1.49
ES=F:
3.44%
CL=F:
13.70%
ES=F:
15.35%
CL=F:
28.07%
ES=F:
-57.11%
CL=F:
-93.11%
ES=F:
-17.08%
CL=F:
-57.11%
Returns By Period
In the year-to-date period, ES=F achieves a -13.91% return, which is significantly lower than CL=F's -12.53% return. Over the past 10 years, ES=F has outperformed CL=F with an annualized return of 8.76%, while CL=F has yielded a comparatively lower 1.27% annualized return.
ES=F
-13.91%
-12.66%
-11.89%
-1.67%
13.91%
8.76%
CL=F
-12.53%
-6.02%
-15.42%
-28.03%
16.55%
1.27%
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Risk-Adjusted Performance
ES=F vs. CL=F — Risk-Adjusted Performance Rank
ES=F
CL=F
ES=F vs. CL=F - Risk-Adjusted Performance 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.
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 -93.11%. Use the drawdown chart below to compare losses from any high point for ES=F and CL=F. For additional features, visit the drawdowns tool.
Volatility
ES=F vs. CL=F - Volatility Comparison
The current volatility for S&P 500 E-Mini Futures (ES=F) is 9.05%, while Crude Oil WTI (CL=F) has a volatility of 11.30%. 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.