I love the S&P reports. They always focus the mind. The latest one, covering commodities, focused it on two unlikely candidates—lead and natural gas. Guess which one smells worse?

This was the chart that grabbed me from the latest S&P GSCI report, which comes out quarterly covering the commodities markets:

This chart shows in stark, stark detail the craziness that is being a commodities investor. It looks at the total return of a fully collateralized position in a particular futures market (dark blue bar) vs. that same return minus the spot return (light blue bar). If the bars are the same length (as it nearly is in live cattle), that means that the spot return—the actual price of cows on the hoof—was completely flat, and the only return investors had (negative, in the case of Bessie) was from the combination of roll yield (the cost or benefit of contango or backwardation in the futures contracts), and the minimal interest earned on a notional collateral position. If the bars are unequal (like lead, for instance), the difference between the two represents gains in spot price. In the case of lead, the 120 percent year-to-date windfall has been almost entirely due to spot prices.

But the way I like to look at this chart is to think of it as the cost (or benefit) of being a futures investor, regardless of spot prices. That’s what those light blue bars represent. So in the case of crude oil, playing crude through futures costs you almost 60 percent. Spot crude has essentially doubled this year, moving from the low $30s per barrel to a recent holding pattern around $70.

Futures investors missed out on that entire run, thanks to having to roll their positions each month.

But the biggest goat by far here has to be natural gas. While in “what if” terms crude oil investors got robbed, the reality is they’ve essentially stayed even, maybe even up a few percent, depending on when you got in.

Natural gas investors have had absolutely the worst of all worlds. Not only has the spot price just been slaughtered this year—from around $6/MMBTU at the beginning of the year to around $3 now—the contango in the natural gas market has been crippling, meaning not only were you an idiot for being in natural gas, you were even more of an idiot for being in natural gas futures.

Don’t take that the wrong way—the market doesn’t mince words. Every trade has a hero and a goat. Maybe you were a genius because you were short natural gas futures.

What’s the relevance to ETF investors? Well, for the first time in history, there’s a very real chance you could have participated in this craziness directly with your Aunt Mildred’s retirement account or your daughter’s college fund. Every one of the commodities I’ve mentioned has a futures-based ETF available (you can even invest in live cattle if you’ve got access to London, with the ETF Securities Live Cattle ETF (London: CATL).

That run in lead could be had with the iPath Lead ETN (NYSEArca: LD), and we all know the big players in oil and gas (NYSEArca: USO and NYSEArca: UNG, respectively).

But there’s a deeper lesson under the hood in natural gas. I can tell you stories about how it’s classically seasonal, and how people make a killing trading it. I can even spin you a yarn about how it’s the cleanest of the fossil fuels, and how its eventual scarcity will make longs rich. But the futures market trumps all.

I can’t possibly say it better than S&P’s GSCI team did in this month’s report:

“Natural gas is probably the best demonstration of the ‘no free lunch’ law in commodity indexing, as evidenced by the S&P GSCI Natural Gas Index which commenced at 100 in January of 1994, ended September at 2.63. Over the same period, the natural gas future has increased about 125%. While 2008 served as a strong reminder ‘to know what you own,’ 2009 has reminded investors ‘to know how to be properly exposed to commodities.’”

100 to 2.63 in 15 years. Now that’s podracing.