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.
Key characteristics
| ES=F | CL=F | |
|---|---|---|
| YTD Return | 23.86% | -4.93% |
| 1Y Return | 31.91% | -11.14% |
| 3Y Return (Ann) | 7.42% | -4.92% |
| 5Y Return (Ann) | 12.49% | 2.97% |
| 10Y Return (Ann) | 10.50% | -0.92% |
| Sharpe Ratio | 1.97 | -0.18 |
| Sortino Ratio | 2.75 | -0.06 |
| Omega Ratio | 1.39 | 0.99 |
| Calmar Ratio | 2.71 | -0.09 |
| Martin Ratio | 11.14 | -0.44 |
| Ulcer Index | 2.12% | 11.45% |
| Daily Std Dev | 11.57% | 28.52% |
| Max Drawdown | -57.11% | -93.11% |
| Current Drawdown | -1.17% | -53.11% |
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
In the year-to-date period, ES=F achieves a 23.86% return, which is significantly higher than CL=F's -4.93% return. Over the past 10 years, ES=F has outperformed CL=F with an annualized return of 10.50%, while CL=F has yielded a comparatively lower -0.92% 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
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 3.83%, while Crude Oil WTI (CL=F) has a volatility of 10.05%. 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.