The Claymore MACROshares Up Oil contract (UCR) is designed to track the price of crude oil; the iPath Crude Oil ETN (OIL) is also designed to track the price of crude oil; so is the United States Oil Fund (USO). And yet, so far this year, the various products have performed very differently.

Through July 10, the up oil Macro has dramatically outpaced the other two funds, rising 21.0% versus 5.7% for USO and 6.1% for OIL. The varying performances has market-watchers somewhat scratching their heads; while the products do capture the oil market in different ways, few expected such variable performance. Interestingly, the differing performance may say something about what investors expect from the future of the oil market.

USO and OIL are substantially similar. Both products are designed to track the value of a fully collateralized rolling position in the near-month WTI crude oil contract. Each contract effectively purchases the near-month futures contract and then rolls into the next contract as the previous contract expires. Meanwhile, both products invest collateral cash in T-bills to earn interest. The products reflect the traditional three components of commodities returns: the change in the spot price; the “roll yield,” reflecting the difference in value between near-month contracts and out-month contracts; and the interest income from collateralized cash.

The two products differ primarily in structure: USO actually owns the underlying futures, while OIL is an exchange-traded note (ETN), which is actually a debt product. For OIL, Barclays Bank promises to pay you an amount based on what the returns of a rolling and fully collateralized futures position in crude oil contracts would be worth. The ETN conveys certain tax advantages, but comes with the attendant credit risk.

The Macro, however, is substantially is different. Macros are launched in pairs – there is a “down” oil Macro (DCR) that is paired against the up oil Macro (UCR). The two products are intimately linked: There is an agreement to transfer assets between the up and down Macros based on the price of crude futures. When prices go up, assets transfer from DCR to UCR, and vice-versa.

So why haven’t the Macros matched the returns of OIL and USO? Two reasons. For starters, Macros can only be created and redeemed in pairs. As a result, there are an equal number of shares of UCR and DCR. However, investor demand for the two products is variable. Currently, there appears to be more demand for UCR, which has forced UCR shares to trade at a premium (5.24% as of July 10) and DCR at a discount (7.27% as of July 10) against the net asset value (NAV) of the portfolio.

Not all of that premium, however, can be explained by investor demand; part has to do with the structure of the Macros product. Macros are effectively long-term contracts on the price of oil. Unlike OIL and USO, which physically roll futures contracts each and every month, the Macros price in investor expectations for the long-term trends in crude. After all, the contracts do not end at each roll yield; instead, they just keep going, and going, and going. As a result, the Macros do not just price in the current month roll yield and price, but also what will happen in August, September, October, November, etc.

So what does the recent outperformance of the Macros mean? It appears to mean that investors believe the long-term value of a rolling futures position in crude oil futures is becoming more valuable than a month-to-month position. That suggests that investors believe the price of crude will rise, or the vicious contango in the crude oil market will disappear, or both. It is interesting to watch…