Yup. I use to long crude by buying CAD. It was over 90% correlated back in the day. Now it's pretty much at 0. I'm not a big fan of buying the stocks in lieu of commodities either.
Yeah, I agree. If you want to buy oil, buy it directly. CAD has other factors at work besides the petro-correlation that can mess you up. Even with 90% correlation that 10% can ruin your day. Back in 2006, I remember hearing about Dennis Gartman, who runs a pretty respected newsletter, wanting to be short copper so he shorted one of the copper mining companies instead. They announced a merger in November 2006 and the stock spiked up blowing his whole profits for the year. Copper remained down for the rest of the year.