OMFS vs. USL

Last updated Jun 4, 2026

OMFS (Invesco Russell 2000 Dynamic Multifactor ETF) and USL (United States 12 Month Oil Fund LP) are both exchange-traded funds - OMFS is a Small Cap Value Equities fund tracking the Russell 2000 Invesco Dynamic Multifactor Index, while USL is a Oil & Gas fund tracking the 12 Month Light Sweet Crude Oil. Both are passively managed. Over the past 5 years, OMFS returned 5.57%/yr vs 17.41%/yr for USL. At a 0.20 correlation, their price movements are largely independent. OMFS charges 0.39%/yr vs 0.88%/yr for USL.

Performance

OMFS vs. USL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and United States 12 Month Oil Fund LP (USL). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, OMFS achieves a 13.70% return, which is significantly lower than USL's 63.07% return.

OMFS

• 1D: -0.77%
• 1M: 1.99%
• YTD: 13.70%
• 6M: 12.83%
• 1Y: 28.51%
• 3Y*: 14.17%
• 5Y*: 5.57%
• 10Y*: —

USL

• 1D: 1.55%
• 1M: -1.61%
• YTD: 63.07%
• 6M: 59.66%
• 1Y: 57.86%
• 3Y*: 18.42%
• 5Y*: 17.41%
• 10Y*: 10.91%

*Multi-year figures are annualized to reflect compound growth (CAGR)

OMFS vs. USL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
OMFS Invesco Russell 2000 Dynamic Multifactor ETF	13.70%	13.34%	3.98%	15.12%	-17.29%	28.60%	15.02%	27.12%	-9.01%	3.71%
USL United States 12 Month Oil Fund LP	63.07%	-12.37%	8.30%	-1.11%	27.10%	62.48%	-25.23%	28.01%	-14.15%	4.60%

Correlation

The correlation between OMFS and USL is -0.25, 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	-0.25
Correlation (3Y) Calculated over the trailing 3-year period	0.01
Correlation (5Y) Calculated over the trailing 5-year period	0.14
Correlation (All Time) Calculated using the full available price history since Nov 13, 2017	0.20

The correlation between OMFS and USL shifts across timeframes, from -0.25 (1 year) to 0.20 (all time), reflecting how their relationship changes across market environments.

OMFS vs. USL - Sectors Allocation Comparison

Sectors	OMFS	USL
Financial Services	24.3%	4.5%
Industrials	14.7%	-
Technology	14.2%	-
Healthcare	13.2%	-
Real Estate	12.2%	-
Consumer Cyclical	8.4%	-
Energy	4.1%	-
Consumer Defensive	3.8%	-
Basic Materials	2.8%	-
Utilities	1.1%	-
Communication Services	1.1%	-

Return for Risk

OMFS vs. USL — Risk / Return Rank

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

OMFS

OMFS Risk / Return Rank: 52
OMFS Sharpe Ratio Rank: 46
OMFS Sortino Ratio Rank: 48
OMFS Omega Ratio Rank: 44
OMFS Calmar Ratio Rank: 62
OMFS Martin Ratio Rank: 59

USL

USL Risk / Return Rank: 56
USL Sharpe Ratio Rank: 59
USL Sortino Ratio Rank: 53
USL Omega Ratio Rank: 54
USL Calmar Ratio Rank: 69
USL Martin Ratio Rank: 43

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.

OMFS vs. USL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and United States 12 Month Oil Fund LP (USL). 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.

	OMFS	USL	Difference
Sharpe ratio: Return per unit of total volatility	1.62	2.04	-0.41
Sortino ratio: Return per unit of downside risk	2.41	2.58	-0.17
Omega ratio: Gain probability vs. loss probability	1.28	1.34	-0.06
Calmar ratio: Return relative to maximum drawdown	3.05	3.47	-0.41
Martin ratio: Return relative to average drawdown	10.48	7.02	+3.46
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

OMFS vs. USL - Sharpe Ratio Comparison

The current OMFS Sharpe Ratio is 1.62, which is comparable to the USL Sharpe Ratio of 2.04. The chart below compares the historical Sharpe Ratios of OMFS and USL, 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

	OMFS	USL	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.62	2.04	-0.41
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.26	0.58	-0.32
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.34	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.41	0.01	+0.40

Drawdowns

OMFS vs. USL - Drawdown Comparison

The maximum OMFS drawdown since its inception was -42.50%, smaller than the maximum USL drawdown of -89.06%. Use the drawdown chart below to compare losses from any high point for OMFS and USL.

Drawdown Indicators

	OMFS	USL	Difference
Max Drawdown Largest peak-to-trough decline	-42.50%	-89.06%	+46.56%
Max Drawdown (1Y) Largest decline over 1 year	-9.38%	-16.76%	+7.38%
Max Drawdown (3Y) Largest decline over 3 years	-22.35%	-23.33%	+0.98%
Max Drawdown (5Y) Largest decline over 5 years	-29.22%	-33.82%	+4.60%
Max Drawdown (10Y) Largest decline over 10 years	—	-66.02%	—
Current Drawdown Current decline from peak	-1.92%	-38.16%	+36.24%
Average Drawdown Average peak-to-trough decline	-10.49%	-61.46%	+50.97%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.73%	8.27%	-5.54%

Volatility

OMFS vs. USL - Volatility Comparison

The current volatility for Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) is 4.97%, while United States 12 Month Oil Fund LP (USL) has a volatility of 10.53%. This indicates that OMFS experiences smaller price fluctuations and is considered to be less risky than USL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	OMFS	USL	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.97%	10.53%	-5.56%
Volatility (6M) Calculated over the trailing 6-month period	12.44%	23.33%	-10.89%
Volatility (1Y) Calculated over the trailing 1-year period	17.64%	28.54%	-10.90%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.46%	30.08%	-8.62%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.31%	32.35%	-8.04%

OMFS vs. USL - Expense Ratio Comparison

OMFS has a 0.39% expense ratio, which is lower than USL's 0.88% expense ratio.

Dividends

OMFS vs. USL - Dividend Comparison

OMFS's dividend yield for the trailing twelve months is around 0.91%, while USL has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
OMFS Invesco Russell 2000 Dynamic Multifactor ETF	0.91%	0.80%	1.87%	1.27%	1.84%	0.66%	1.07%	1.29%	1.50%	0.34%
USL United States 12 Month Oil Fund LP	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both OMFS and USL in my portfolio?

OMFS and USL have a correlation of -0.25, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, OMFS or USL?

USL has higher volatility (10.53%) compared to OMFS (4.97%). In terms of maximum drawdown, OMFS dropped -42.50% vs USL's -89.06%.

Which ETF is better, OMFS or USL?

On 5-year performance, USL leads with 17.41% vs 5.57% for OMFS. On fees, OMFS is cheaper at 0.39% per year. On volatility, OMFS has been the lower-risk option at 4.97%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, OMFS or USL?

Over the 5-year period, USL has performed better with a 17.41% return vs 5.57%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, OMFS or USL?

OMFS is cheaper with a 0.39% expense ratio, compared with 0.88% for USL.

Which ETF pays a higher dividend yield, OMFS or USL?

OMFS has the higher dividend yield at 0.91%, compared with 0.00% for USL.

What is the main difference between OMFS and USL?

OMFS is categorized as Small Cap Value Equities, while USL is Oil & Gas. OMFS tracks Russell 2000 Invesco Dynamic Multifactor Index, while USL tracks 12 Month Light Sweet Crude Oil. They also come from different issuers: Invesco and Concierge Technologies. Their fees differ too: 0.39% for OMFS and 0.88% for USL.

Which has better risk-adjusted returns?

USL currently has the higher Sharpe Ratio (2.04 vs 1.62), 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.