Yeguang, CEl-Jahel, LVu, T2025-08-222025-08-222025-07-21Journal of Futures Markets, ISSN: 0270-7314 (Print); 1096-9934 (Online), Wiley. doi: 10.1002/fut.700190270-73141096-9934http://hdl.handle.net/10292/19715We investigate the role of media news sentiment in commodity futures investing. The weekly rebalanced long-short portfolio sorted by news sentiment generates a significant average annualized return of around 8.3% after transaction costs. The time-series spanning test reveals that the abnormal return of the long-short portfolio sorted by news sentiment is statistically significant at above 7% even after controlling for various benchmark factors. The premium of the news sentiment factor is also significantly priced at above 8% in the cross-section of commodity futures returns. Furthermore, we show that news sentiment enhances the performance of commodity futures investment portfolios.This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited. © 2025 The Author(s). The Journal of Futures Markets published by Wiley Periodicals LLC3502 Banking, Finance and Investment35 Commerce, Management, Tourism and Services1502 Banking, Finance and InvestmentFinancecommodity futures pricingfactor investinglong‐short strategymedia news sentimentJournal ArticleOpenAccess10.1002/fut.70019