NQ=F vs. CL=F
Compare and contrast key facts about E-Mini Nasdaq 100 Futures (NQ=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: NQ=F or CL=F.
Performance
NQ=F vs. CL=F - Performance Comparison
Returns By Period
In the year-to-date period, NQ=F achieves a 22.34% return, which is significantly higher than CL=F's -3.34% return. Over the past 10 years, NQ=F has outperformed CL=F with an annualized return of 17.03%, while CL=F has yielded a comparatively lower -0.87% annualized return.
NQ=F
22.34%
1.68%
10.79%
29.47%
19.78%
17.03%
CL=F
-3.34%
0.06%
-12.62%
-10.75%
3.00%
-0.87%
Key characteristics
| NQ=F | CL=F | |
|---|---|---|
| Sharpe Ratio | 1.39 | -0.06 |
| Sortino Ratio | 1.92 | 0.11 |
| Omega Ratio | 1.26 | 1.01 |
| Calmar Ratio | 1.72 | -0.03 |
| Martin Ratio | 5.84 | -0.14 |
| Ulcer Index | 4.13% | 11.65% |
| Daily Std Dev | 17.12% | 28.05% |
| Max Drawdown | -35.28% | -93.11% |
| Current Drawdown | -1.91% | -52.33% |
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Correlation
The correlation between NQ=F and CL=F is 0.18, 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.
Risk-Adjusted Performance
NQ=F vs. CL=F - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for E-Mini Nasdaq 100 Futures (NQ=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
NQ=F vs. CL=F - Drawdown Comparison
The maximum NQ=F drawdown since its inception was -35.28%, smaller than the maximum CL=F drawdown of -93.11%. Use the drawdown chart below to compare losses from any high point for NQ=F and CL=F. For additional features, visit the drawdowns tool.
Volatility
NQ=F vs. CL=F - Volatility Comparison
The current volatility for E-Mini Nasdaq 100 Futures (NQ=F) is 5.42%, while Crude Oil WTI (CL=F) has a volatility of 10.12%. This indicates that NQ=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.