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ES=F vs. CL=F
Performance
Return for Risk
Drawdowns
Volatility

ES=F vs. CL=F

Last updated Jun 5, 2026

ES=F (S&P 500 E-Mini Futures) and CL=F (Crude Oil WTI) are both assets. Over the past 10 years, ES=F returned 13.66%/yr vs 6.46%/yr for CL=F. At a 0.13 correlation, their price movements are largely independent.

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.

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Returns By Period

In the year-to-date period, ES=F achieves a 10.09% return, which is significantly lower than CL=F's 61.81% return. Over the past 10 years, ES=F has outperformed CL=F with an annualized return of 13.66%, while CL=F has yielded a comparatively lower 6.46% annualized return.

ES=F

1D
0.21%
1M
2.68%
YTD
10.09%
6M
10.32%
1Y
27.61%
3Y*
21.02%
5Y*
12.41%
10Y*
13.66%

CL=F

1D
-3.24%
1M
-2.28%
YTD
61.81%
6M
54.64%
1Y
46.62%
3Y*
8.74%
5Y*
6.01%
10Y*
6.46%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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

2026 (YTD)202520242023202220212020201920182017
ES=F
S&P 500 E-Mini Futures		10.09%16.12%23.15%24.84%-18.86%26.94%16.02%28.97%-6.38%19.66%
CL=F
Crude Oil WTI		61.81%-19.41%-0.82%-10.70%7.44%53.98%-19.98%32.92%-24.35%12.51%

Correlation

The correlation between ES=F and CL=F is -0.26, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

-0.26

Correlation (3Y)
Calculated over the trailing 3-year period

-0.07

Correlation (5Y)
Calculated over the trailing 5-year period

0.06

Correlation (10Y)
Calculated over the trailing 10-year period

0.15

Correlation (All Time)
Calculated using the full available price history since Sep 11, 1997

0.13

The correlation between ES=F and CL=F shifts across timeframes, from -0.26 (1 year) to 0.15 (10 years), reflecting how their relationship changes across market environments.

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S&P 500 E-Mini Futures

Crude Oil WTI

Often compared with ES=F:
ES=F vs. NQ=FES=F vs. SPYES=F vs. ^GSPCES=F vs. ^FVXES=F vs. GC=FES=F vs. ^TYXES=F vs. SPXT
Often compared with CL=F:
CL=F vs. BZ=FCL=F vs. CVXCL=F vs. NQ=FCL=F vs. SLBCL=F vs. SPYCL=F vs. FANGCL=F vs. AR

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: 8989
Overall Rank
ES=F Sharpe Ratio Rank: 8686
Sharpe Ratio Rank
ES=F Sortino Ratio Rank: 8787
Sortino Ratio Rank
ES=F Omega Ratio Rank: 8787
Omega Ratio Rank
ES=F Calmar Ratio Rank: 8484
Calmar Ratio Rank
ES=F Martin Ratio Rank: 100100
Martin Ratio Rank
CL=F
CL=F Risk / Return Rank: 2424
Overall Rank
CL=F Sharpe Ratio Rank: 2121
Sharpe Ratio Rank
CL=F Sortino Ratio Rank: 2929
Sortino Ratio Rank
CL=F Omega Ratio Rank: 2121
Omega Ratio Rank
CL=F Calmar Ratio Rank: 2727
Calmar Ratio Rank
CL=F Martin Ratio Rank: 2020
Martin Ratio Rank
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=FCL=FDifference
Sharpe ratioReturn per unit of total volatility
2.14
0.86

+1.28

Sortino ratioReturn per unit of downside risk
2.99
1.35

+1.63

Omega ratioGain probability vs. loss probability

1.39

1.20

+0.19

Calmar ratioReturn relative to maximum drawdown

2.68

1.57

+1.11

Martin ratioReturn relative to average drawdown

12.02

2.56

+9.46

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 2.14, which is higher than the CL=F Sharpe Ratio of 0.86. The chart below compares the historical Sharpe Ratios of ES=F and CL=F, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Sharpe Ratios by Period

ES=FCL=FDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.14

0.86

+1.28

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.72

0.15

+0.57

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.74

0.12

+0.62

Sharpe Ratio (All Time)

Calculated using the full available price history

0.38

0.06

+0.32

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.

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Drawdown Indicators

ES=FCL=FDifference

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 (3Y)

Largest decline over 3 years

-18.54%

-39.46%

+20.92%

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

-0.47%

-36.05%

+35.58%

Average Drawdown

Average peak-to-trough decline

-12.49%

-40.80%

+28.31%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.09%

12.32%

-10.23%

Volatility

ES=F vs. CL=F - Volatility Comparison

The current volatility for S&P 500 E-Mini Futures (ES=F) is 2.46%, while Crude Oil WTI (CL=F) has a volatility of 15.67%. 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.

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Volatility by Period

ES=FCL=FDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.46%

15.67%

-13.21%

Volatility (6M)

Calculated over the trailing 6-month period

8.67%

46.59%

-37.92%

Volatility (1Y)

Calculated over the trailing 1-year period

11.22%

49.35%

-38.13%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.49%

38.92%

-22.43%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.62%

49.55%

-31.93%

Frequently Asked Questions

ES=F and CL=F have a correlation of -0.26, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

CL=F has higher volatility (15.67%) compared to ES=F (2.46%). In terms of maximum drawdown, ES=F dropped -57.11% vs CL=F's -92.04%.

ES=F currently has the higher Sharpe Ratio (2.14 vs 0.86), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

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