NGAS.L vs. CL=F
Compare and contrast key facts about WisdomTree Natural Gas ETF (NGAS.L) and Crude Oil WTI (CL=F).
NGAS.L is a passively managed fund by WisdomTree that tracks the performance of the Bloomberg Natural Gas Sub Total Return Index. It was launched on Sep 22, 2006.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: NGAS.L or CL=F.
Key characteristics
| NGAS.L | CL=F | |
|---|---|---|
| YTD Return | -40.17% | -4.93% |
| 1Y Return | -54.34% | -11.14% |
| 3Y Return (Ann) | -43.40% | -4.92% |
| 5Y Return (Ann) | -32.12% | 2.97% |
| 10Y Return (Ann) | -29.48% | -0.92% |
| Sharpe Ratio | -1.14 | -0.18 |
| Sortino Ratio | -1.90 | -0.06 |
| Omega Ratio | 0.80 | 0.99 |
| Calmar Ratio | -0.53 | -0.09 |
| Martin Ratio | -1.38 | -0.44 |
| Ulcer Index | 38.11% | 11.45% |
| Daily Std Dev | 46.14% | 28.52% |
| Max Drawdown | -99.89% | -93.11% |
| Current Drawdown | -99.89% | -53.11% |
Correlation
The correlation between NGAS.L and CL=F is 0.09, 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
NGAS.L vs. CL=F - Performance Comparison
In the year-to-date period, NGAS.L achieves a -40.17% return, which is significantly lower than CL=F's -4.93% return. Over the past 10 years, NGAS.L has underperformed CL=F with an annualized return of -29.48%, while CL=F has yielded a comparatively higher -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
NGAS.L vs. CL=F - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Natural Gas ETF (NGAS.L) 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
NGAS.L vs. CL=F - Drawdown Comparison
The maximum NGAS.L drawdown since its inception was -99.89%, which is greater than CL=F's maximum drawdown of -93.11%. Use the drawdown chart below to compare losses from any high point for NGAS.L and CL=F. For additional features, visit the drawdowns tool.
Volatility
NGAS.L vs. CL=F - Volatility Comparison
WisdomTree Natural Gas ETF (NGAS.L) has a higher volatility of 11.03% compared to Crude Oil WTI (CL=F) at 10.05%. This indicates that NGAS.L's price experiences larger fluctuations and is considered to be riskier than CL=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.