Does crude oil (an important part of commodity indexes) exhibit an exploitable price seasonality? To check, we examine three monthly series:
- Spot prices for West Texas Intermediate (WTI) Cushing, Oklahoma crude oil since the beginning of 1986 (34+ years).
- Nearest expiration futures prices for crude oil since April 1983 (37+ years).
- Prices for United States Oil (USO), an exchange-traded implementation of short-term crude oil futures since April 2006 (14+ years).
We focus on average monthly returns by calendar month and variabilities of same. Using monthly prices from respective inceptions of these series through October 2020, we find that:
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