The ability of oil investment vehicles to perfectly track spot oil has always been challenging; however, recently many vehicles have underperformed spot oil. We study the behavior of oil futures and exchange-traded products that invest in oil futures to document and understand the source of this tracking error. The primary reason why oil investment vehicles have underperformed spot oil is an increase in contango in oil futures markets that we find might be related to investment crowding and the financialization of commodity markets. We show that from 2006 to 2017, oil futures investing underperformed spot oil and the market was in contango most of the time. Proxies for crowding, such as the concentration of major oil investors and changes in assets under management and fund flows of major oil exchange-traded products, are associated with contango in the futures markets and the divergence between futures and spot returns. We also provide evidence of an impact of the financialization on oil futures prices.

石油投资工具完美追踪现货石油的能力一直具有挑战性；然而，最近许多车辆的表现不及现货石油。我们研究了石油期货和投资于石油期货的交易所交易产品的行为，以记录和了解这种跟踪误差的来源。石油投资工具表现逊于现货石油的主要原因是石油期货市场的期货溢价增加，我们发现这可能与投资拥挤和商品市场的金融化有关。我们表明，从 2006 年到 2017 年，石油期货投资表现逊于现货石油，市场大部分时间处于期货溢价。拥挤的代理，例如主要石油投资者的集中度以及主要石油交易所交易产品的管理资产和资金流动的变化，与期货市场的正价差以及期货和现货回报之间的背离有关。我们还提供了金融化对石油期货价格影响的证据。