ETF Securities is adding a fourteenth exchange-traded commodity to track the oil market.

The ETFS Forward Crude Oil (LSE: FCRU) ETC will track the DJ-UBS Crude Oil 3 month forward sub-index (sm). This index represents a passive long position in the oil futures market, rolling every two months between the fourth and sixth month NYMEX WTI contracts.

According to ETF Securities, exposure to WTI futures between the fourth and sixth months allows investors to gain when the futures curve is in backwardation while cushioning the roll yield when the futures curve is in contango, providing a good compromise between short-dated exposure to oil futures with the greatest sensitivity to news events and longer-dated exposure that may be less affected by the shape of the futures curve.

All passive oil trackers have been affected this year by the record contango in the futures market, which has eaten into investment returns and prevented oil ETFs/ETCs from achieving more than 40% of the spot price movement over the year to date.

The ETF Securities Crude Oil ETC, Europe’s largest oil market tracker with US$440 million invested, has been one of the ETCs worst affected by contango. Its policy, based on rolling every two months from the expiring near month contract to the third month oil contract has resulted in a return of 5.2% over the 10 months to end-October, well short of the 72.5% increase in NYMEX WTI spot crude over the same period.

Other European oil trackers have returned between 7.2% and 33.1% over the same period, depending on the maturity segment(s) of the oil curve to which they are exposed.

In a company press release, ETF Securities points out that an index based on a policy of switching between the fourth and sixth month NYMEX WTI contracts (the policy underlying the new ETFS Forward Crude Oil ETC) would have resulted in a 30.2% gain over the year to date and an average annual return of 24.4% over the last 10 years.

Concerns over the impact of contango have also prompted new tracker product releases by other issuers. Last week, Source launched its S&P GSCI crude oil enhanced T-ETC, which chooses between the next month and six-month contracts when rolling its futures market positions, depending on the steepness of the oil forward curve.

The ETFS Forward Crude Oil ETC will be listed in the ETC segment of the London Stock Exchange and will carry a management charge of 0.49% per annum. The ETC will be collateralised by up to 110% of the outstanding value. Trading in the ETC is expected to begin on Thursday 12 November 2009.