Many investors are looking for a way to express a long position in crude oil to coincide with the view that the current supply glut will be worked off over the remainder of the year. The best way to express this view is to buy USO, the $3 billion ETF which trades an average of 3 million shares a day, right? It’s a pure play on crude prices and is super liquid. What could be wrong with that? Well, if you care about your portfolio returns, a lot is wrong with such a strategy.