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SLB vs. CL=F
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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.


-0.50.00.51.00.3

Performance

SLB vs. CL=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schlumberger Limited (SLB) and Crude Oil WTI (CL=F). The values are adjusted to include any dividend payments, if applicable.

-20.00%-15.00%-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-18.30%
-13.96%
SLB
CL=F

Key characteristics

Sharpe Ratio

SLB:

-1.06

CL=F:

-0.43

Sortino Ratio

SLB:

-1.44

CL=F:

-0.44

Omega Ratio

SLB:

0.83

CL=F:

0.95

Calmar Ratio

SLB:

-0.48

CL=F:

-0.22

Martin Ratio

SLB:

-1.71

CL=F:

-0.91

Ulcer Index

SLB:

16.43%

CL=F:

13.07%

Daily Std Dev

SLB:

26.65%

CL=F:

27.59%

Max Drawdown

SLB:

-87.63%

CL=F:

-93.11%

Current Drawdown

SLB:

-58.41%

CL=F:

-52.19%

Returns By Period

In the year-to-date period, SLB achieves a -27.44% return, which is significantly lower than CL=F's -3.06% return. Over the past 10 years, SLB has underperformed CL=F with an annualized return of -5.67%, while CL=F has yielded a comparatively higher 1.74% annualized return.


SLB

YTD

-27.44%

1M

-15.88%

6M

-18.30%

1Y

-28.87%

5Y*

0.16%

10Y*

-5.67%

CL=F

YTD

-3.06%

1M

0.86%

6M

-13.96%

1Y

-6.00%

5Y*

2.49%

10Y*

1.74%

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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.


Sharpe ratio
The chart of Sharpe ratio for SLB, currently valued at -1.13, compared to the broader market-4.00-2.000.002.00-1.13-0.43
The chart of Sortino ratio for SLB, currently valued at -1.57, compared to the broader market-4.00-2.000.002.004.00-1.57-0.44
The chart of Omega ratio for SLB, currently valued at 0.80, compared to the broader market0.501.001.502.000.800.95
The chart of Calmar ratio for SLB, currently valued at -0.49, compared to the broader market0.002.004.006.00-0.49-0.22
The chart of Martin ratio for SLB, currently valued at -1.69, compared to the broader market-5.000.005.0010.0015.0020.0025.00-1.69-0.91
SLB
CL=F

The current SLB Sharpe Ratio is -1.06, which is lower than the CL=F Sharpe Ratio of -0.43. The chart below compares the historical Sharpe Ratios of SLB and CL=F, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.00JulyAugustSeptemberOctoberNovemberDecember
-1.13
-0.43
SLB
CL=F

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.


-60.00%-55.00%-50.00%-45.00%JulyAugustSeptemberOctoberNovemberDecember
-58.41%
-52.19%
SLB
CL=F

Volatility

SLB vs. CL=F - Volatility Comparison

The current volatility for Schlumberger Limited (SLB) is 6.08%, while Crude Oil WTI (CL=F) has a volatility of 6.86%. This indicates that SLB 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.


4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
6.08%
6.86%
SLB
CL=F
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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