Registered: Dec 2006
02-25-11 11:46 PM
You can never replicate the spot returns of a commodity. Unless you buy physical and store it at your house. And even that costs money (opportunity costs, transaction costs, storage, insurance etc.)
And in the futures world you always pay transaction costs, slippage and must account for the term structure.
Adjusted for contango and ETF costs, the crude oil fund USO had a net gain of 0% over the last 18 months while spot crude went from $70 to $100 over the same period.