It’s time for our monthly look at how the long-only commodity ETFs are performing versus simply holding the December futures contract and rolling annually.

Last month crude oil wiped out most of August’s gains with a big drop in the middle of the month, and corn was in fairly consistent decline, bouncing back with an end-of-the-month rally that clawed back some (but not all) of September’s losses. On the other hand, natural gas surged, nearly bringing the December futures contract back to even on the year. ETF underperformance against the December futures contract was flat for crude oil, expanded slightly for natural gas, and narrowed slightly for corn.

Futures trading is complicated, presents a risk of loss, and isn’t for everyone – especially since past market performance doesn’t necessarily indicate future results – but given the numbers, we’re left scratching our heads. Ultimately, we prefer a commodities investment strategy that can benefit from both rising and falling prices (like managed futures). But if you’re going to adopt a long-only strategy… we’ve yet to receive a good answer to the question: why invest in an ETF when you can just roll December futures contracts annually?

Read ‘em and weep:

Disclaimer: past performance is not necessarily indicative of future results.