United States 12 Month Oil Fund, LP (USL US) – Portfolio Construction Methodology

The investment strategy governing the actively managed United States 12 Month Oil Fund, LP seeks to match daily percentage moves in light, sweet crude oil by holding an equal-weight ladder of 12 consecutive NYMEX WTI crude oil futures, from the front month through the following eleven delivery months. Positions are rolled systematically each month to maintain a constant 12-month exposure profile, reducing concentration in the nearest contract and smoothing term-structure effects versus a single-front-month approach. The portfolio is implemented through fully collateralized long futures, with collateral held in short-term USD instruments, and it does not employ structural leverage. Exposure may be adjusted across contract months or supplemented with other exchange-traded oil futures or economically similar OTC instruments when exchange position limits, liquidity, or risk controls require. Day-to-day management focuses on maintaining the target ladder, managing roll execution and margin, and preserving capacity within exchange and intermediary risk limits.

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