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 0.15, 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:
0.27
CL=F:
-0.69
ES=F:
0.52
CL=F:
-0.81
ES=F:
1.08
CL=F:
0.90
ES=F:
0.26
CL=F:
-0.35
ES=F:
1.01
CL=F:
-1.34
ES=F:
5.27%
CL=F:
15.76%
ES=F:
19.03%
CL=F:
29.97%
ES=F:
-57.11%
CL=F:
-93.11%
ES=F:
-7.97%
CL=F:
-58.99%
Returns By Period
In the year-to-date period, ES=F achieves a -4.45% return, which is significantly higher than CL=F's -16.36% return. Over the past 10 years, ES=F has outperformed CL=F with an annualized return of 9.61%, while CL=F has yielded a comparatively lower 0.03% annualized return.
ES=F
-4.45%
15.43%
-2.42%
8.94%
12.98%
9.61%
CL=F
-16.36%
-3.87%
-17.22%
-24.07%
17.80%
0.03%
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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 5.40%, while Crude Oil WTI (CL=F) has a volatility of 10.16%. 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.