I am not sure, if got your post right, but UGAZ is selling front month futures and buying forward month futures, which means eg. yesterday front month 2 and forward month 2.2. So with same kind of money under management, when you sell front month for 2 and buy forward month for 2.2, you are going to own less natgas futures, because the price is higher (= you cant buy the same amount of futures as the price is higher). therefore its loosing trade.
Do i get it right or wrong?
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