VFMF vs. USL

Last updated Jun 4, 2026

VFMF (Vanguard U.S. Multifactor ETF) and USL (United States 12 Month Oil Fund LP) are both exchange-traded funds - VFMF is a Multi-factor fund managed by Vanguard, while USL is a Oil & Gas fund tracking the 12 Month Light Sweet Crude Oil. Over the past 5 years, VFMF returned 12.93%/yr vs 17.41%/yr for USL. At a 0.27 correlation, their price movements are largely independent. VFMF charges 0.18%/yr vs 0.88%/yr for USL.

Performance

VFMF vs. USL - Performance Comparison

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

Returns By Period

In the year-to-date period, VFMF achieves a 14.86% return, which is significantly lower than USL's 63.07% return.

VFMF

• 1D: -0.44%
• 1M: 3.05%
• YTD: 14.86%
• 6M: 16.06%
• 1Y: 33.52%
• 3Y*: 22.34%
• 5Y*: 12.93%
• 10Y*: —

USL

• 1D: 1.55%
• 1M: -1.61%
• YTD: 63.07%
• 6M: 59.66%
• 1Y: 57.86%
• 3Y*: 18.42%
• 5Y*: 17.41%
• 10Y*: 10.91%

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

VFMF vs. USL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
VFMF Vanguard U.S. Multifactor ETF	14.86%	17.38%	15.60%	18.52%	-5.70%	30.05%	4.99%	22.34%	-11.29%
USL United States 12 Month Oil Fund LP	63.07%	-12.37%	8.30%	-1.11%	27.10%	62.48%	-25.23%	28.01%	-14.52%

Correlation

The correlation between VFMF and USL is -0.22, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.22
Correlation (3Y) Calculated over the trailing 3-year period	0.04
Correlation (5Y) Calculated over the trailing 5-year period	0.21
Correlation (All Time) Calculated using the full available price history since Feb 16, 2018	0.27

The correlation between VFMF and USL shifts across timeframes, from -0.22 (1 year) to 0.27 (all time), reflecting how their relationship changes across market environments.

VFMF vs. USL - Sectors Allocation Comparison

Sectors	VFMF	USL
Financial Services	24.6%	4.5%
Healthcare	16.9%	-
Consumer Cyclical	13.6%	-
Technology	12.7%	-
Industrials	9.0%	-
Energy	7.3%	-
Consumer Defensive	6.8%	-
Communication Services	5.0%	-
Basic Materials	3.4%	-
Real Estate	0.3%	-
Utilities	0.2%	-

Return for Risk

VFMF vs. USL — Risk / Return Rank

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

VFMF

VFMF Risk / Return Rank: 80
VFMF Sharpe Ratio Rank: 77
VFMF Sortino Ratio Rank: 81
VFMF Omega Ratio Rank: 75
VFMF Calmar Ratio Rank: 85
VFMF Martin Ratio Rank: 85

USL

USL Risk / Return Rank: 56
USL Sharpe Ratio Rank: 59
USL Sortino Ratio Rank: 53
USL Omega Ratio Rank: 54
USL Calmar Ratio Rank: 69
USL Martin Ratio Rank: 43

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.

VFMF vs. USL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Multifactor ETF (VFMF) and United States 12 Month Oil Fund LP (USL). 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.

	VFMF	USL	Difference
Sharpe ratio: Return per unit of total volatility	2.57	2.04	+0.53
Sortino ratio: Return per unit of downside risk	3.68	2.58	+1.10
Omega ratio: Gain probability vs. loss probability	1.45	1.34	+0.12
Calmar ratio: Return relative to maximum drawdown	4.76	3.47	+1.29
Martin ratio: Return relative to average drawdown	17.87	7.02	+10.85
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

VFMF vs. USL - Sharpe Ratio Comparison

The current VFMF Sharpe Ratio is 2.57, which is comparable to the USL Sharpe Ratio of 2.04. The chart below compares the historical Sharpe Ratios of VFMF and USL, 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

	VFMF	USL	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.57	2.04	+0.53
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.72	0.58	+0.14
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.34	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.57	0.01	+0.57

Drawdowns

VFMF vs. USL - Drawdown Comparison

The maximum VFMF drawdown since its inception was -41.34%, smaller than the maximum USL drawdown of -89.06%. Use the drawdown chart below to compare losses from any high point for VFMF and USL.

Drawdown Indicators

	VFMF	USL	Difference
Max Drawdown Largest peak-to-trough decline	-41.34%	-89.06%	+47.72%
Max Drawdown (1Y) Largest decline over 1 year	-7.08%	-16.76%	+9.68%
Max Drawdown (3Y) Largest decline over 3 years	-20.57%	-23.33%	+2.76%
Max Drawdown (5Y) Largest decline over 5 years	-20.57%	-33.82%	+13.25%
Max Drawdown (10Y) Largest decline over 10 years	—	-66.02%	—
Current Drawdown Current decline from peak	-0.44%	-38.16%	+37.72%
Average Drawdown Average peak-to-trough decline	-5.74%	-61.46%	+55.72%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.88%	8.27%	-6.39%

Volatility

VFMF vs. USL - Volatility Comparison

The current volatility for Vanguard U.S. Multifactor ETF (VFMF) is 2.97%, while United States 12 Month Oil Fund LP (USL) has a volatility of 10.53%. This indicates that VFMF experiences smaller price fluctuations and is considered to be less risky than USL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	VFMF	USL	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.97%	10.53%	-7.56%
Volatility (6M) Calculated over the trailing 6-month period	9.07%	23.33%	-14.26%
Volatility (1Y) Calculated over the trailing 1-year period	13.14%	28.54%	-15.40%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.10%	30.08%	-11.98%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.15%	32.35%	-11.20%

VFMF vs. USL - Expense Ratio Comparison

VFMF has a 0.18% expense ratio, which is lower than USL's 0.88% expense ratio.

Dividends

VFMF vs. USL - Dividend Comparison

VFMF's dividend yield for the trailing twelve months is around 1.37%, while USL has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
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%
VFMF Vanguard U.S. Multifactor ETF	1.37%	1.54%	1.60%	1.78%	2.21%	1.39%	1.56%	1.61%	1.22%

Frequently Asked Questions

Can I hold both VFMF and USL in my portfolio?

VFMF and USL have a correlation of -0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, VFMF or USL?

USL has higher volatility (10.53%) compared to VFMF (2.97%). In terms of maximum drawdown, VFMF dropped -41.34% vs USL's -89.06%.

Which ETF is better, VFMF or USL?

On 5-year performance, USL leads with 17.41% vs 12.93% for VFMF. On fees, VFMF is cheaper at 0.18% per year. On volatility, VFMF has been the lower-risk option at 2.97%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, VFMF or USL?

Over the 5-year period, USL has performed better with a 17.41% return vs 12.93%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, VFMF or USL?

VFMF is cheaper with a 0.18% expense ratio, compared with 0.88% for USL.

Which ETF pays a higher dividend yield, VFMF or USL?

VFMF has the higher dividend yield at 1.37%, compared with 0.00% for USL.

What is the main difference between VFMF and USL?

VFMF is categorized as Multi-factor, while USL is Oil & Gas. They also come from different issuers: Vanguard and Concierge Technologies. Their fees differ too: 0.18% for VFMF and 0.88% for USL.

Which has better risk-adjusted returns?

VFMF currently has the higher Sharpe Ratio (2.57 vs 2.04), 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.