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

Correlation

The correlation between USL and COP is 0.59, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

USL vs. COP - Performance Comparison

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

0.00%50.00%100.00%150.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
-28.20%
170.17%
USL
COP

Key characteristics

Sharpe Ratio

USL:

0.07

COP:

-0.72

Sortino Ratio

USL:

0.26

COP:

-0.93

Omega Ratio

USL:

1.03

COP:

0.89

Calmar Ratio

USL:

0.03

COP:

-0.59

Martin Ratio

USL:

0.22

COP:

-1.17

Ulcer Index

USL:

7.27%

COP:

13.81%

Daily Std Dev

USL:

22.54%

COP:

22.54%

Max Drawdown

USL:

-89.06%

COP:

-70.66%

Current Drawdown

USL:

-57.99%

COP:

-27.28%

Returns By Period

In the year-to-date period, USL achieves a 5.13% return, which is significantly higher than COP's -15.75% return. Over the past 10 years, USL has underperformed COP with an annualized return of 3.03%, while COP has yielded a comparatively higher 6.33% annualized return.


USL

YTD

5.13%

1M

-1.15%

6M

-8.07%

1Y

2.47%

5Y*

10.05%

10Y*

3.03%

COP

YTD

-15.75%

1M

-16.14%

6M

-13.35%

1Y

-16.30%

5Y*

12.44%

10Y*

6.33%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

USL vs. COP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for United States 12 Month Oil Fund LP (USL) and ConocoPhillips Company (COP). 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 market0.002.004.000.07-0.72
The chart of Sortino ratio for USL, currently valued at 0.26, compared to the broader market-2.000.002.004.006.008.0010.000.26-0.93
The chart of Omega ratio for USL, currently valued at 1.03, compared to the broader market0.501.001.502.002.503.001.030.89
The chart of Calmar ratio for USL, currently valued at 0.03, compared to the broader market0.005.0010.0015.000.03-0.59
The chart of Martin ratio for USL, currently valued at 0.22, compared to the broader market0.0020.0040.0060.0080.00100.000.22-1.17
USL
COP

The current USL Sharpe Ratio is 0.07, which is higher than the COP Sharpe Ratio of -0.72. The chart below compares the historical Sharpe Ratios of USL and COP, 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
-0.72
USL
COP

Dividends

USL vs. COP - Dividend Comparison

USL has not paid dividends to shareholders, while COP's dividend yield for the trailing twelve months is around 3.28%.


TTM20232022202120202019201820172016201520142013
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%0.00%
COP
ConocoPhillips Company
3.28%3.37%4.20%2.70%4.23%2.05%1.86%1.93%1.99%6.30%4.11%3.82%

Drawdowns

USL vs. COP - Drawdown Comparison

The maximum USL drawdown since its inception was -89.06%, which is greater than COP's maximum drawdown of -70.66%. Use the drawdown chart below to compare losses from any high point for USL and COP. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-57.99%
-27.28%
USL
COP

Volatility

USL vs. COP - Volatility Comparison

The current volatility for United States 12 Month Oil Fund LP (USL) is 5.23%, while ConocoPhillips Company (COP) has a volatility of 6.52%. This indicates that USL experiences smaller price fluctuations and is considered to be less risky than COP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.23%
6.52%
USL
COP
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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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