Structural Positions in Crude Oil Futures Contracts

23 Pages Posted: 29 Oct 2015

See all articles by Hilary Till

Hilary Till

Premia Research LLC; EDHEC-Risk Institute; J.P. Morgan Center for Commodities, University of Colorado Denver Business School; Global Commodities Applied Research Digest

Date Written: June 12, 2015

Abstract

Should an investor enter into long-term positions in oil futures contracts? In answering this question, this paper will cover the following three considerations: (1) the case for structural positions in crude oil futures contracts; (2) useful indicators for avoiding crash risk; and (3) financial asset diversification for downside hedging of oil price risk. The paper will conclude by noting the conditions under which one might consider including oil futures contracts in an investment portfolio.

Keywords: crude oil futures, returns, backwardation, contango, spare capacity

JEL Classification: G1, G11

Suggested Citation

Till, Hilary, Structural Positions in Crude Oil Futures Contracts (June 12, 2015). Available at SSRN: https://ssrn.com/abstract=2682689 or http://dx.doi.org/10.2139/ssrn.2682689

Hilary Till (Contact Author)

Premia Research LLC ( email )

United States
312-583-1137 (Phone)
312-873-3914 (Fax)

HOME PAGE: http://customindices.spindices.com/custom-index-calculations/premia/all

EDHEC-Risk Institute

Nice
France

HOME PAGE: http://risk.edhec.edu/

J.P. Morgan Center for Commodities, University of Colorado Denver Business School ( email )

1475 Lawrence St.
Denver, CO 80202
United States

HOME PAGE: http://www.business.ucdenver.edu/commodities

Global Commodities Applied Research Digest ( email )

J.P. Morgan Center for Commodities
1475 Lawrence Street
Denver, CO 80202
United States

HOME PAGE: http://www.jpmcc-gcard.com/hilary-till

Register to save articles to
your library

Register

Paper statistics

Downloads
106
Abstract Views
599
rank
254,839
PlumX Metrics