USL vs. COP

Last updated Jun 6, 2026

USL (United States 12 Month Oil Fund LP) is Oil & Gas fund tracking the 12 Month Light Sweet Crude Oil, while COP (ConocoPhillips Company) is a stock. Over the past 10 years, USL returned 10.15%/yr vs 12.88%/yr for COP. A 0.60 correlation means they provide meaningful diversification when combined.

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.

Returns By Period

In the year-to-date period, USL achieves a 57.21% return, which is significantly higher than COP's 27.05% return. Over the past 10 years, USL has underperformed COP with an annualized return of 10.15%, while COP has yielded a comparatively higher 12.88% annualized return.

USL

• 1D: -2.09%
• 1M: 2.40%
• YTD: 57.21%
• 6M: 51.69%
• 1Y: 52.34%
• 3Y*: 17.22%
• 5Y*: 16.56%
• 10Y*: 10.15%

COP

• 1D: -1.75%
• 1M: -0.75%
• YTD: 27.05%
• 6M: 26.94%
• 1Y: 41.80%
• 3Y*: 8.25%
• 5Y*: 18.57%
• 10Y*: 12.88%

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

USL vs. COP - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
USL United States 12 Month Oil Fund LP	57.21%	-12.37%	8.30%	-1.11%	27.10%	62.48%	-25.23%	28.01%	-14.15%	2.55%
COP ConocoPhillips Company	27.05%	-2.34%	-12.02%	1.98%	71.69%	86.60%	-36.04%	6.63%	15.63%	11.95%

Correlation

The correlation between USL and COP is 0.64, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.64
Correlation (3Y) Calculated over the trailing 3-year period	0.63
Correlation (5Y) Calculated over the trailing 5-year period	0.64
Correlation (10Y) Calculated over the trailing 10-year period	0.62
Correlation (All Time) Calculated using the full available price history since Dec 7, 2007	0.60

The correlation between USL and COP has been stable across timeframes, ranging from 0.60 to 0.64 - a consistent structural relationship.

Return for Risk

USL vs. COP — Risk / Return Rank

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

USL

USL Risk / Return Rank: 53
USL Sharpe Ratio Rank: 56
USL Sortino Ratio Rank: 51
USL Omega Ratio Rank: 51
USL Calmar Ratio Rank: 65
USL Martin Ratio Rank: 41

COP

COP Risk / Return Rank: 77
COP Sharpe Ratio Rank: 80
COP Sortino Ratio Rank: 75
COP Omega Ratio Rank: 71
COP Calmar Ratio Rank: 81
COP Martin Ratio Rank: 79

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.

USL vs. COP - Risk-Adjusted Trends 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.

	USL	COP	Difference
Sharpe ratio: Return per unit of total volatility	1.84	1.44	+0.40
Sortino ratio: Return per unit of downside risk	2.38	2.00	+0.38
Omega ratio: Gain probability vs. loss probability	1.31	1.23	+0.07
Calmar ratio: Return relative to maximum drawdown	3.14	2.82	+0.32
Martin ratio: Return relative to average drawdown	6.33	6.35	-0.02
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

USL vs. COP - Sharpe Ratio Comparison

The current USL Sharpe Ratio is 1.84, which is comparable to the COP Sharpe Ratio of 1.44. The chart below compares the historical Sharpe Ratios of USL and COP, 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

	USL	COP	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.84	1.44	+0.40
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.55	0.57	-0.02
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.31	0.34	-0.03
Sharpe Ratio (All Time) Calculated using the full available price history	0.00	0.23	-0.22

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 -84.55%. Use the drawdown chart below to compare losses from any high point for USL and COP.

Drawdown Indicators

	USL	COP	Difference
Max Drawdown Largest peak-to-trough decline	-89.06%	-84.55%	-4.51%
Max Drawdown (1Y) Largest decline over 1 year	-16.76%	-14.90%	-1.86%
Max Drawdown (3Y) Largest decline over 3 years	-23.33%	-36.19%	+12.86%
Max Drawdown (5Y) Largest decline over 5 years	-33.82%	-36.19%	+2.37%
Max Drawdown (10Y) Largest decline over 10 years	-66.02%	-70.66%	+4.64%
Current Drawdown Current decline from peak	-40.38%	-11.80%	-28.58%
Average Drawdown Average peak-to-trough decline	-61.45%	-25.48%	-35.97%
Ulcer Index Depth and duration of drawdowns from previous peaks	8.29%	6.60%	+1.69%

Volatility

USL vs. COP - Volatility Comparison

United States 12 Month Oil Fund LP (USL) and ConocoPhillips Company (COP) have volatilities of 8.50% and 8.24%, 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.

Volatility by Period

	USL	COP	Difference
Volatility (1M) Calculated over the trailing 1-month period	8.50%	8.24%	+0.26%
Volatility (6M) Calculated over the trailing 6-month period	23.47%	22.71%	+0.76%
Volatility (1Y) Calculated over the trailing 1-year period	28.66%	29.21%	-0.55%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	30.09%	32.72%	-2.63%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	32.35%	37.66%	-5.31%

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 2.82%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
COP ConocoPhillips Company	2.82%	3.40%	3.35%	3.37%	4.23%	2.70%	4.23%	2.05%	1.86%	1.93%	1.99%	6.30%
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%

Frequently Asked Questions

Can I hold both USL and COP in my portfolio?

USL and COP have a correlation of 0.64, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, USL or COP?

USL has higher volatility (8.50%) compared to COP (8.24%). In terms of maximum drawdown, USL dropped -89.06% vs COP's -84.55%.

Which has better risk-adjusted returns?

USL currently has the higher Sharpe Ratio (1.84 vs 1.44), 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.