PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
USL vs. XHB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between USL and XHB is 0.22, 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.


-0.50.00.51.00.2

Performance

USL vs. XHB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in United States 12 Month Oil Fund LP (USL) and SPDR S&P Homebuilders ETF (XHB). The values are adjusted to include any dividend payments, if applicable.

0.00%100.00%200.00%300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
-28.20%
504.59%
USL
XHB

Key characteristics

Sharpe Ratio

USL:

0.07

XHB:

0.53

Sortino Ratio

USL:

0.26

XHB:

0.93

Omega Ratio

USL:

1.03

XHB:

1.11

Calmar Ratio

USL:

0.03

XHB:

0.80

Martin Ratio

USL:

0.22

XHB:

2.40

Ulcer Index

USL:

7.27%

XHB:

5.51%

Daily Std Dev

USL:

22.54%

XHB:

24.79%

Max Drawdown

USL:

-89.06%

XHB:

-81.61%

Current Drawdown

USL:

-57.99%

XHB:

-15.57%

Returns By Period

In the year-to-date period, USL achieves a 5.13% return, which is significantly lower than XHB's 11.25% return. Over the past 10 years, USL has underperformed XHB with an annualized return of 3.03%, while XHB has yielded a comparatively higher 13.14% annualized return.


USL

YTD

5.13%

1M

-1.15%

6M

-8.07%

1Y

2.47%

5Y*

10.05%

10Y*

3.03%

XHB

YTD

11.25%

1M

-10.11%

6M

3.26%

1Y

11.32%

5Y*

19.49%

10Y*

13.14%

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. XHB - Expense Ratio Comparison

USL has a 0.88% expense ratio, which is higher than XHB's 0.35% 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 XHB: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

USL vs. XHB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for United States 12 Month Oil Fund LP (USL) and SPDR S&P Homebuilders ETF (XHB). 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 market0.002.004.000.070.53
The chart of Sortino ratio for USL, currently valued at 0.26, compared to the broader market-2.000.002.004.006.008.0010.000.260.93
The chart of Omega ratio for USL, currently valued at 1.03, compared to the broader market0.501.001.502.002.503.001.031.11
The chart of Calmar ratio for USL, currently valued at 0.03, compared to the broader market0.005.0010.0015.000.030.80
The chart of Martin ratio for USL, currently valued at 0.22, compared to the broader market0.0020.0040.0060.0080.00100.000.222.40
USL
XHB

The current USL Sharpe Ratio is 0.07, which is lower than the XHB Sharpe Ratio of 0.53. The chart below compares the historical Sharpe Ratios of USL and XHB, 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.07
0.53
USL
XHB

Dividends

USL vs. XHB - Dividend Comparison

USL has not paid dividends to shareholders, while XHB's dividend yield for the trailing twelve months is around 0.42%.


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%
XHB
SPDR S&P Homebuilders ETF
0.42%0.77%1.06%0.50%0.73%0.89%1.25%0.71%0.67%0.50%0.78%0.29%

Drawdowns

USL vs. XHB - Drawdown Comparison

The maximum USL drawdown since its inception was -89.06%, which is greater than XHB's maximum drawdown of -81.61%. Use the drawdown chart below to compare losses from any high point for USL and XHB. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-57.99%
-15.57%
USL
XHB

Volatility

USL vs. XHB - Volatility Comparison

The current volatility for United States 12 Month Oil Fund LP (USL) is 5.23%, while SPDR S&P Homebuilders ETF (XHB) has a volatility of 8.18%. This indicates that USL experiences smaller price fluctuations and is considered to be less risky than XHB 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
5.23%
8.18%
USL
XHB
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab