Timing Indicators for Structural Positions in Crude Oil Futures Contracts

8 Pages Posted: 11 Jun 2016

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 7, 2016

Abstract

This article argues that it is plausible that there are two fundamental metrics that could be useful for deciding upon crude oil futures positions: (1) whether there are ample inventories or not; and (2) whether spare capacity is at pinch-point levels or not. The article will further argue that a dynamic allocation strategy alone is not sufficient for holding the line against losses in a crude-oil-dominated strategy.

Keywords: Crude oil futures, spare capacity, structural positions, futures contracts, contango, backwardation, asset allocation

JEL Classification: G11, Q41

Suggested Citation

Till, Hilary, Timing Indicators for Structural Positions in Crude Oil Futures Contracts (June 7, 2016). Available at SSRN: https://ssrn.com/abstract=2792238 or http://dx.doi.org/10.2139/ssrn.2792238

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

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