蒼海泛舟
方顯英雄本色-- 股市投資探討
正文
I did some research on USO, USL, DBO, OIL and like to share with you here:
For USO, It could have "roll yield" loss under "Contango" market. USO uses near month contract and rolls to next month before last week of contract.
"Contango" means near month contract trade at a lower price then next month contract.
"Contango" may lead the total return of USOF’s NAV to vary significantly.
USL uses 12 months contract that will reduce the "roll yield" loss under "Contango"
But USL has disadvantage under opposite situation know as "backwardation"
"backwardation" means near month contract trade at a higher price then next month contract.
Performance comparison between DBO, USO, USL in two years.
USO will cash out under "backwardation" and enhance it's performance.
For short term trade, it may not has a big different between two. But near OE period, USO do have NAV loss due to "Contango" comparing USL.
DBO has advantage over both USO and USL, Because it does not use a fixed period contract for its indexes. Instead,
each Index Commodity of DBO rolls to the futures contract which generates the best possible ‘implied roll yield.’ The futures contract with a delivery month within the next thirteen months which generates the best possible implied roll yield will be included in each Index. As a result, each Index Commodity is able to potentially maximize the roll benefits in backwardated markets and minimize the losses from rolling in contangoed markets.
By the way, OIL is ETN (exchange traded note) not ETF.
With ETNs, you are an unsecured creditor of Barclays (the issuer of the note), so you have credit risk overlaid on the risk of the commodity.
Don't buy OIL.
Take care
- Waveplayer
For USO, It could have "roll yield" loss under "Contango" market. USO uses near month contract and rolls to next month before last week of contract.
"Contango" means near month contract trade at a lower price then next month contract.
"Contango" may lead the total return of USOF’s NAV to vary significantly.
USL uses 12 months contract that will reduce the "roll yield" loss under "Contango"
But USL has disadvantage under opposite situation know as "backwardation"
"backwardation" means near month contract trade at a higher price then next month contract.
Performance comparison between DBO, USO, USL in two years.
USO will cash out under "backwardation" and enhance it's performance.
For short term trade, it may not has a big different between two. But near OE period, USO do have NAV loss due to "Contango" comparing USL.
DBO has advantage over both USO and USL, Because it does not use a fixed period contract for its indexes. Instead,
each Index Commodity of DBO rolls to the futures contract which generates the best possible ‘implied roll yield.’ The futures contract with a delivery month within the next thirteen months which generates the best possible implied roll yield will be included in each Index. As a result, each Index Commodity is able to potentially maximize the roll benefits in backwardated markets and minimize the losses from rolling in contangoed markets.
By the way, OIL is ETN (exchange traded note) not ETF.
With ETNs, you are an unsecured creditor of Barclays (the issuer of the note), so you have credit risk overlaid on the risk of the commodity.
Don't buy OIL.
Take care
- Waveplayer
評論
bokchoy888
2009-02-09 21:46:28
回複
悄悄話
Thank you Lao Da, I saw a similar post in HuTong today. Yours has more detail and easy to understand!
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