It's much easier to do this with Commodity ETFs and Futures. Doing it with equities or baskets of equities gets very complicated and if you read the prospectiv

It's much easier to do this with Commodity ETFs and Futures. Doing it with equities or baskets of equities gets very complicated and if you read the prospective of most ETFs pretty much all of them track the indexes within some margin of error. Commodity ETFs on the other hand have an underlying asset that will expire or require taking delivery. Most of these ETFs are managed by a group of less than 10 people. They simply do not have the resources to take delivery of an underlying asset. They don't deal with the hassle of storing / taking delivery unless things are really out of whack. Therefore, as a the underlying futures contracts approach maturity, they need to rebalance their portfolio, almost daily, and at minimum once every couple months. In a contango market, it is very easy to front run these funds compared to ETFs that track equity indexes. I should know, this was my primary trade 4 years ago before quantitative easing killed all volatility in the market. That being said, the Russell 2000 index is rebalanced only once per year. Opportunities to front run that index with the futures contracts are one of those trades that I miss dearly.