2009 may not have been quite the crazy commodities barnburner 2008 was, but it's safe to say that commodities investors did, in general, just fine. And there's little doubt that "commodities investor" is increasingly becoming synonymous with "ETF investor."

By the end of 2009, 924 exchange-traded products had hit the market, with assets under management swelling to $791 billion, up from $539 billion in 2008. Not half bad for a "recovery" year.

But what's really astonishing is the commodity story. Although commodity ETFs still make up less than 10 percent of total ETF assets under management, all told, these funds had a phenomenal year, with assets more than doubling in 2009, from $36.1 billion to $73.7 billion at year end.

Going Long During Contango

From the perspective of cash flows, investors poured $30.1 billion of new cash into commodity products in 2009, up from just $13.3 billion in 2008.

Of course, this is still small potatoes compared with assets in U.S. equities ETFs ($379 billion) or international stock ETFs ($210 billion). But given these funds flows, investors have clearly become increasingly convinced in the value of a commodities allocation.

The sad news is that not all those dollars flowing into commodities ETFs were necessarily well spent.

Many commodity ETFs are futures-based. Some, like natural gas poster boy United States Natural Gas Fund (NYSE Arca: UNG), hold just the front-month contract, while others, like UNG's sister product, the U.S. 12-Month Natural Gas Fund (NYSE Arca: UNL), hold contracts of varying months out up to a year. Regardless of the time frame of the underlying contracts, these funds hold their futures until just before expiration, when they sell the expiring contracts and purchase ones with a further-out delivery date.

In times of backwardation, when the price of a futures contract with a later delivery date is cheaper than the one with an upcoming delivery date, this structure works wonders. Essentially, it's a free lunch: The fund buys the lower-priced next-month contract, sells the higher-priced current contract and pockets the premium.

But 2009 was not a time of backwardation. Almost across the board, most commodities markets were in contango last year, which meant that current-month futures contracts became cheaper than those with delivery dates further away. Thus, every time a futures-based fund rolled over their contracts, it sold low and bought high, chipping away at returns every rollover period.

And yet, as mentioned before, investors continued to plow more money into funds structurally designed to lose money during times of contango. Consider the aforementioned UNG: Although the fund attracted more than $5.59 billion in new net inflows in 2009, it ended the year with only $4.63 billion in assets, all in a year where the price of natural gas ended up close to flat.

In fact, rollover losses hit futures-based commodities ETFs so hard that they tended to lag behind their equities-based counterparts. The PowerShares DB Agriculture ETF (NYSEArca: DBA), for example, returned just 1 percent in 2009. The Van Eck Market Vectors Agribusiness ETF (NYSEArca: MOO), which invests in the stocks of companies in the same sector, rose 59 percent.

Several fund providers attempt to deal with the contango issue by releasing new products and revamping old ones. USCF debuted its 12-month natural gas product, which invested in a "strip" of 12 months' worth of futures contracts, matching the similar strategy of the existing US 12-Month Oil Fund (NYSE Arca: USL). Several products in the PowerShares lineup follow "optimum yield" indexes that eschew front-month contracts in favor of those its algorithm suggest will minimize the effects of contango.

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