Brad's Desktop
|
|
|
|
|
|
|
|
Written by Brad Zigler
|
|
August 07, 2008 5:10 PM EST |
|
|
As luck would have it, the new MacroShares oil portfolios debuted as crude prices zenithed and arced lower. Well, in reality, they're really the new version of the MacroShares portfolios (see "Gold Vs. Oil"). You'll remember from our previous screeds that MacroShares offers portfolios representing both upside (AMEX: UOY) and downside (AMEX: DOY) wagers on the oil market. Of particular interest to media and investors alike is the DOY downside portfolio. How much better, many wonder, would a long DOY position be compared with a short position in some of the other long-only (confusing, isn't it?) exchange-traded vehicles such as the United States Oil Fund (AMEX: USO), its contango-dampening sibling, the United States 12-Month Oil Fund (AMEX: USL), the PowerShares DB Oil Fund (AMEX: DBO) and the iPath S&P GSCI Crude Oil ETN (NYSEArca: OIL)? With a month of MacroShares trading now in our rearview mirror, we can now get a sense of MacroShares' relative performance characteristics. Trading Performance (July 7, 2008 - August 6, 2008) | Gain/ Loss | Annualized Volatility | Downside Variance | Correlation (NYMEX) | DOY | 42.2 | 78.1 | 39.7 | -75.3 | UOY | -23.3 | 48.1 | 30.6 | 89.7 | USO | -15.5 | 39.3 | 25.1 | 89.7 | USL | -17.9 | 42.1 | 25.3 | 96.7 | DBO | -17.6 | 43.2 | 25.3 | 94.9 | OIL | -17.0 | 41.4 | 24.9 | 97.9 | NYMEX Spot Crude | -16.1 | 38.9 | 24.7 | -- |
Like the previous iteration of MacroShares oil portfolios, the correlation to NYMEX front-month crude futures is weaker than that exhibited by the other oil-based vehicles. This, however, could be the petroleum version of making lemonade. Using that divergence - ordinarily considered something of a lemon - outsized gains could be obtained using DOY versus short positions in the other securities products (nothing, of course, beat the highly leveraged returns obtainable by shorting futures). Big gain potential, no margin requirement. Exchange-Traded Oil Vehicles Now THAT's the makings for a good summer's day: A little drive and a little lemonade ... er, crude oil. Happy driving.
|
Terms of Use
The HardAssetsInvestor.com message board and comment features are designed to facilitate thoughtful discussion of the biggest issues impacting commodity investors. All comments should be respectful. Insults and profanity are not permitted. The editor reserves the right to remove comments at his/her discretion.
Related Articles »
|
Commodities Data
March 17, 2010 04:23 PM EST
 Loading data ...
Weekly Commodities Poll
Related Articles »
|
