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USL vs. COMT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between USL and COMT is 0.89, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.9

Performance

USL vs. COMT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in United States 12 Month Oil Fund LP (USL) and iShares Commodities Select Strategy ETF (COMT). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-3.02%
3.75%
USL
COMT

Key characteristics

Sharpe Ratio

USL:

0.07

COMT:

0.18

Sortino Ratio

USL:

0.26

COMT:

0.35

Omega Ratio

USL:

1.03

COMT:

1.04

Calmar Ratio

USL:

0.03

COMT:

0.10

Martin Ratio

USL:

0.22

COMT:

0.56

Ulcer Index

USL:

7.27%

COMT:

4.67%

Daily Std Dev

USL:

22.54%

COMT:

14.28%

Max Drawdown

USL:

-89.06%

COMT:

-51.89%

Current Drawdown

USL:

-57.99%

COMT:

-22.34%

Returns By Period

In the year-to-date period, USL achieves a 5.13% return, which is significantly higher than COMT's 3.90% return. Over the past 10 years, USL has outperformed COMT with an annualized return of 3.03%, while COMT has yielded a comparatively lower 1.98% annualized return.


USL

YTD

5.13%

1M

-1.15%

6M

-8.07%

1Y

2.47%

5Y*

10.05%

10Y*

3.03%

COMT

YTD

3.90%

1M

-0.31%

6M

-4.37%

1Y

2.27%

5Y*

5.50%

10Y*

1.98%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


USL vs. COMT - Expense Ratio Comparison

USL has a 0.88% expense ratio, which is higher than COMT's 0.48% expense ratio.


USL
United States 12 Month Oil Fund LP
Expense ratio chart for USL: current value at 0.88% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.88%
Expense ratio chart for COMT: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%

Risk-Adjusted Performance

USL vs. COMT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for United States 12 Month Oil Fund LP (USL) and iShares Commodities Select Strategy ETF (COMT). 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 USL, currently valued at 0.07, compared to the broader market0.002.004.000.070.18
The chart of Sortino ratio for USL, currently valued at 0.26, compared to the broader market-2.000.002.004.006.008.0010.000.260.35
The chart of Omega ratio for USL, currently valued at 1.03, compared to the broader market0.501.001.502.002.503.001.031.04
The chart of Calmar ratio for USL, currently valued at 0.07, compared to the broader market0.005.0010.0015.000.070.10
The chart of Martin ratio for USL, currently valued at 0.22, compared to the broader market0.0020.0040.0060.0080.00100.000.220.56
USL
COMT

The current USL Sharpe Ratio is 0.07, which is lower than the COMT Sharpe Ratio of 0.18. The chart below compares the historical Sharpe Ratios of USL and COMT, 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-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
0.07
0.18
USL
COMT

Dividends

USL vs. COMT - Dividend Comparison

USL has not paid dividends to shareholders, while COMT's dividend yield for the trailing twelve months is around 5.00%.


TTM2023202220212020201920182017201620152014
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%0.00%
COMT
iShares Commodities Select Strategy ETF
5.00%5.19%29.79%17.79%0.36%2.61%11.65%5.16%0.52%1.44%0.56%

Drawdowns

USL vs. COMT - Drawdown Comparison

The maximum USL drawdown since its inception was -89.06%, which is greater than COMT's maximum drawdown of -51.89%. Use the drawdown chart below to compare losses from any high point for USL and COMT. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-18.72%
-22.34%
USL
COMT

Volatility

USL vs. COMT - Volatility Comparison

United States 12 Month Oil Fund LP (USL) has a higher volatility of 5.23% compared to iShares Commodities Select Strategy ETF (COMT) at 3.26%. This indicates that USL's price experiences larger fluctuations and is considered to be riskier than COMT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.23%
3.26%
USL
COMT
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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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