In this research piece, we take an objective look at futures-based commodity strategies in the current environment and focus on three key questions. First, what has been the cause of such poor performance? Second, might this performance be the result of a permanent change in the commodity markets? Third, why do we invest in commodities and what are the tradeoffs involved? In conclusion, a better understanding of commodity returns allows us to see that recent poor performance is perhaps not surprising, given the market environment.