Correlation
The correlation between NQ=F and CL=F is 0.28, 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.
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
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Key characteristics
NQ=F:
0.58
CL=F:
-0.68
NQ=F:
0.92
CL=F:
-0.82
NQ=F:
1.13
CL=F:
0.90
NQ=F:
0.59
CL=F:
-0.35
NQ=F:
1.85
CL=F:
-1.23
NQ=F:
7.38%
CL=F:
17.40%
NQ=F:
25.54%
CL=F:
30.86%
NQ=F:
-35.28%
CL=F:
-92.04%
NQ=F:
-4.60%
CL=F:
-58.16%
Returns By Period
In the year-to-date period, NQ=F achieves a 0.71% return, which is significantly higher than CL=F's -14.68% return. Over the past 10 years, NQ=F has outperformed CL=F with an annualized return of 16.85%, while CL=F has yielded a comparatively lower -0.08% annualized return.
NQ=F
0.71%
8.74%
1.83%
14.89%
19.12%
17.46%
16.85%
CL=F
-14.68%
4.43%
-10.23%
-21.60%
-18.41%
11.15%
-0.08%
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Risk-Adjusted Performance
NQ=F vs. CL=F — Risk-Adjusted Performance Rank
NQ=F
CL=F
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.
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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 -92.04%. Use the drawdown chart below to compare losses from any high point for NQ=F and CL=F.
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Volatility
NQ=F vs. CL=F - Volatility Comparison
The current volatility for E-Mini Nasdaq 100 Futures (NQ=F) is 5.55%, while Crude Oil WTI (CL=F) has a volatility of 6.72%. 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.
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