Understanding Roll Yield in Commodity Futures

Michael is a portfolio manager considering an allocation to commodity futures as a part of his clients' asset diversification strategy. He is particularly focused on understanding the operational implications of trading commodity futures compared to other investment vehicles. Specifically, he is interested in the implications of margin requirements in futures trading, the treatment of roll yield, and how storage costs affect the performance of commodity futures compared to direct ownership of the underlying assets.

Which of the following statements best illustrates a key characteristic of commodity futures investments?