NQ=F vs. CL=F

Last updated Jun 5, 2026

NQ=F (E-Mini Nasdaq 100 Futures) and CL=F (Crude Oil WTI) are both assets. Over the past 10 years, NQ=F returned 20.98%/yr vs 6.46%/yr for CL=F. At a 0.16 correlation, their price movements are largely independent.

Performance

NQ=F vs. CL=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in E-Mini Nasdaq 100 Futures (NQ=F) and Crude Oil WTI (CL=F). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, NQ=F achieves a 19.42% return, which is significantly lower than CL=F's 61.81% return. Over the past 10 years, NQ=F has outperformed CL=F with an annualized return of 20.98%, while CL=F has yielded a comparatively lower 6.46% annualized return.

NQ=F

• 1D: -0.76%
• 1M: 5.86%
• YTD: 19.42%
• 6M: 18.14%
• 1Y: 40.85%
• 3Y*: 27.73%
• 5Y*: 17.17%
• 10Y*: 20.98%

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)

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

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
NQ=F E-Mini Nasdaq 100 Futures	19.42%	19.93%	24.69%	54.45%	-32.46%	26.66%	47.22%	38.20%	-1.18%	31.76%
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 NQ=F and CL=F is -0.20, 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	-0.20
Correlation (3Y) Calculated over the trailing 3-year period	-0.06
Correlation (5Y) Calculated over the trailing 5-year period	0.02
Correlation (10Y) Calculated over the trailing 10-year period	0.10
Correlation (All Time) Calculated using the full available price history since Apr 26, 2009	0.16

The correlation between NQ=F and CL=F shifts across timeframes, from -0.20 (1 year) to 0.16 (all time), reflecting how their relationship changes across market environments.

Return for Risk

NQ=F vs. CL=F — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

NQ=F

NQ=F Risk / Return Rank: 92
NQ=F Sharpe Ratio Rank: 93
NQ=F Sortino Ratio Rank: 93
NQ=F Omega Ratio Rank: 93
NQ=F Calmar Ratio Rank: 93
NQ=F Martin Ratio Rank: 88

CL=F

CL=F Risk / Return Rank: 24
CL=F Sharpe Ratio Rank: 21
CL=F Sortino Ratio Rank: 29
CL=F Omega Ratio Rank: 21
CL=F Calmar Ratio Rank: 27
CL=F Martin Ratio Rank: 20

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.

NQ=F vs. CL=F - Risk-Adjusted Trends 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.

	NQ=F	CL=F	Difference
Sharpe ratio: Return per unit of total volatility	2.44	0.86	+1.58
Sortino ratio: Return per unit of downside risk	3.26	1.35	+1.91
Omega ratio: Gain probability vs. loss probability	1.43	1.20	+0.22
Calmar ratio: Return relative to maximum drawdown	3.20	1.57	+1.63
Martin ratio: Return relative to average drawdown	11.68	2.56	+9.12
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

NQ=F vs. CL=F - Sharpe Ratio Comparison

The current NQ=F Sharpe Ratio is 2.44, which is higher than the CL=F Sharpe Ratio of 0.86. The chart below compares the historical Sharpe Ratios of NQ=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.

Sharpe Ratios by Period

	NQ=F	CL=F	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.44	0.86	+1.58
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.76	0.15	+0.62
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.94	0.12	+0.82
Sharpe Ratio (All Time) Calculated using the full available price history	0.97	0.06	+0.91

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.

Drawdown Indicators

	NQ=F	CL=F	Difference
Max Drawdown Largest peak-to-trough decline	-35.28%	-92.04%	+56.76%
Max Drawdown (1Y) Largest decline over 1 year	-11.89%	-27.07%	+15.18%
Max Drawdown (3Y) Largest decline over 3 years	-23.05%	-39.46%	+16.41%
Max Drawdown (5Y) Largest decline over 5 years	-35.28%	-53.86%	+18.58%
Max Drawdown (10Y) Largest decline over 10 years	-35.28%	-84.82%	+49.54%
Current Drawdown Current decline from peak	-1.02%	-36.05%	+35.03%
Average Drawdown Average peak-to-trough decline	-5.11%	-40.80%	+35.69%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.31%	12.32%	-9.01%

Volatility

NQ=F vs. CL=F - Volatility Comparison

The current volatility for E-Mini Nasdaq 100 Futures (NQ=F) is 4.05%, while Crude Oil WTI (CL=F) has a volatility of 15.67%. 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.

Volatility by Period

	NQ=F	CL=F	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.05%	15.67%	-11.62%
Volatility (6M) Calculated over the trailing 6-month period	11.89%	46.59%	-34.70%
Volatility (1Y) Calculated over the trailing 1-year period	15.61%	49.35%	-33.74%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.43%	38.92%	-16.49%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.28%	49.55%	-27.27%

Frequently Asked Questions

Can I hold both NQ=F and CL=F in my portfolio?

NQ=F and CL=F have a correlation of -0.20, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, NQ=F or CL=F?

CL=F has higher volatility (15.67%) compared to NQ=F (4.05%). In terms of maximum drawdown, NQ=F dropped -35.28% vs CL=F's -92.04%.

Which has better risk-adjusted returns?

NQ=F currently has the higher Sharpe Ratio (2.44 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.