Commodity futures returns change based on inventory levels, as predicted by the Theory of Storage. A study of 31 commodities from 1969 to 2006 found that the convenience yield decreases as inventories increase. Factors like futures basis, past returns, and inventory levels can help predict risk premiums. Strategies like Spot and Futures Momentum work better when inventories are low. Market participants' positions are linked to prices and inventory signals, but not a major factor in risk premiums.