Public service message from someone who went down this road before: it's worth studying up on the futures market. In particular, there's a nasty little thing called "contango" that effectively makes your investment worth less and less every month that you hold it and oil prices don't go up. Think of it as a rental fee for the tanks where they keep the oil held by investors.
The upshot is that you can lose money on oil futures even if prices don't go any lower, and you may lose money even if prices go up, if it takes a long time for that to happen.
tl;dr -- there's no clear way to make an investment that cleanly tracks the price of oil, like there is for the Dow or the S&P 500 or the Japanese Yen.
With all due respect, you're jumbling a bunch of parameters w.r.t. contango, and its implications. Contango structure can exceed cost of carry even if crude oil prices stay flat. There are lots of dynamics, which you allude to.
Fully agree -- it's more complicated than that, more than can be explained in a HN comment. I think you agree with my main point, which is that buying an oil ETF (or usually actually an ETN) doesn't mean your money will track the spot price of crude.
An integrated oil company like Exxon has activities that lose money when the price of oil goes down (drilling, exploitation) and others that make more (refining, retail). The price of oil dropped by about half during the past few months; Exxon barely budged.
A better proxy for oil price could be drillers (Diamond Offshore Drilling for example) but they're very far from perfect either. In general, it is very hard to track an asset which price is expected to be mean-reverting like the price of oil.
The upshot is that you can lose money on oil futures even if prices don't go any lower, and you may lose money even if prices go up, if it takes a long time for that to happen.
tl;dr -- there's no clear way to make an investment that cleanly tracks the price of oil, like there is for the Dow or the S&P 500 or the Japanese Yen.