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USOI vs. CVX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

USOI vs. CVX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Credit Suisse X-Links Crude Oil Shares Covered Call ETN (USOI) and Chevron Corporation (CVX). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
-1.22%
4.66%
USOI
CVX

Returns By Period

In the year-to-date period, USOI achieves a 10.64% return, which is significantly lower than CVX's 13.03% return.


USOI

YTD

10.64%

1M

1.07%

6M

-0.03%

1Y

4.47%

5Y (annualized)

-7.24%

10Y (annualized)

N/A

CVX

YTD

13.03%

1M

8.19%

6M

5.20%

1Y

16.81%

5Y (annualized)

11.25%

10Y (annualized)

7.75%

Key characteristics


USOICVX
Sharpe Ratio0.150.90
Sortino Ratio0.341.33
Omega Ratio1.041.17
Calmar Ratio0.060.79
Martin Ratio0.522.82
Ulcer Index5.99%6.05%
Daily Std Dev20.80%18.85%
Max Drawdown-77.42%-55.77%
Current Drawdown-45.38%-6.70%

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Correlation

-0.50.00.51.00.5

The correlation between USOI and CVX is 0.47, 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.

Risk-Adjusted Performance

USOI vs. CVX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Credit Suisse X-Links Crude Oil Shares Covered Call ETN (USOI) and Chevron Corporation (CVX). 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 USOI, currently valued at 0.15, compared to the broader market0.002.004.000.150.90
The chart of Sortino ratio for USOI, currently valued at 0.34, compared to the broader market-2.000.002.004.006.008.0010.000.341.33
The chart of Omega ratio for USOI, currently valued at 1.04, compared to the broader market0.501.001.502.002.503.001.041.17
The chart of Calmar ratio for USOI, currently valued at 0.06, compared to the broader market0.005.0010.0015.000.060.79
The chart of Martin ratio for USOI, currently valued at 0.52, compared to the broader market0.0020.0040.0060.0080.00100.000.522.82
USOI
CVX

The current USOI Sharpe Ratio is 0.15, which is lower than the CVX Sharpe Ratio of 0.90. The chart below compares the historical Sharpe Ratios of USOI and CVX, 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-0.500.000.501.00JuneJulyAugustSeptemberOctoberNovember
0.15
0.90
USOI
CVX

Dividends

USOI vs. CVX - Dividend Comparison

USOI's dividend yield for the trailing twelve months is around 20.76%, more than CVX's 4.03% yield.


TTM20232022202120202019201820172016201520142013
USOI
Credit Suisse X-Links Crude Oil Shares Covered Call ETN
20.76%26.72%42.78%20.48%67.99%17.11%13.08%6.31%0.00%0.00%0.00%0.00%
CVX
Chevron Corporation
4.03%4.05%3.16%4.52%6.11%3.95%4.12%3.45%3.64%4.76%3.75%3.12%

Drawdowns

USOI vs. CVX - Drawdown Comparison

The maximum USOI drawdown since its inception was -77.42%, which is greater than CVX's maximum drawdown of -55.77%. Use the drawdown chart below to compare losses from any high point for USOI and CVX. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%JuneJulyAugustSeptemberOctoberNovember
-45.38%
-6.70%
USOI
CVX

Volatility

USOI vs. CVX - Volatility Comparison

Credit Suisse X-Links Crude Oil Shares Covered Call ETN (USOI) has a higher volatility of 7.52% compared to Chevron Corporation (CVX) at 5.31%. This indicates that USOI's price experiences larger fluctuations and is considered to be riskier than CVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
7.52%
5.31%
USOI
CVX