(Harvest) Can you make money in commodities? Some will say no if you cannot get the roll or income carry working for you. A recent paper in the Financial Analyst Journal “Conquering Misconceptions about Commodity Futures Investing” describes the abject failure of commodity index investing over the last decade.
Billions may have been lost by investors that bought a commodity index basket as a inflation hedge or a form of asset class investment. This was based on a correlation with inflation that was not very strong and on the believe that the roll yield from backwardation would always exist
