Timing Oil Futures With TWTI

The Royal Bank of Scotland (“RBS”) introduced the fourth member of its Trendpilot line of exchange-traded notes last week (9/15/11).  The RBS Oil Trendpilot ETN (TWTI) is linked to the performance of an index utilizing a systematic trend-following strategy to track oil futures when they are above their 100-day moving average and to provide Treasury Bill returns when oil futures are below their 100-day moving average. The “Benchmark Index” hypothetically constructs an investment in a series of twelve monthly light sweet crude oil (WTI) futures contracts.  A “positive trend” is established when the closing level of the Benchmark Index is at or above its historical 100-day simple moving average for five consecutive days.  A “negative trend” is when it is . . . → Read More: Timing Oil Futures With TWTI