SLB vs. CL=F
Compare and contrast key facts about Schlumberger Limited (SLB) and Crude Oil WTI (CL=F).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SLB or CL=F.
Performance
SLB vs. CL=F - Performance Comparison
Returns By Period
In the year-to-date period, SLB achieves a -15.47% return, which is significantly lower than CL=F's -6.91% return. Over the past 10 years, SLB has underperformed CL=F with an annualized return of -5.03%, while CL=F has yielded a comparatively higher -1.10% annualized return.
SLB
-15.47%
-1.14%
-9.98%
-15.18%
6.57%
-5.03%
CL=F
-6.91%
-3.64%
-16.69%
-12.11%
3.40%
-1.10%
Key characteristics
| SLB | CL=F | |
|---|---|---|
| Sharpe Ratio | -0.65 | -0.25 |
| Sortino Ratio | -0.79 | -0.16 |
| Omega Ratio | 0.90 | 0.98 |
| Calmar Ratio | -0.32 | -0.13 |
| Martin Ratio | -1.20 | -0.60 |
| Ulcer Index | 14.78% | 11.53% |
| Daily Std Dev | 27.13% | 27.91% |
| Max Drawdown | -87.63% | -93.11% |
| Current Drawdown | -51.54% | -54.09% |
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Correlation
The correlation between SLB and CL=F is 0.33, 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
SLB vs. CL=F - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Schlumberger Limited (SLB) 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
SLB vs. CL=F - Drawdown Comparison
The maximum SLB drawdown since its inception was -87.63%, smaller than the maximum CL=F drawdown of -93.11%. Use the drawdown chart below to compare losses from any high point for SLB and CL=F. For additional features, visit the drawdowns tool.
Volatility
SLB vs. CL=F - Volatility Comparison
Schlumberger Limited (SLB) and Crude Oil WTI (CL=F) have volatilities of 9.54% and 9.87%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.