The commodity futures literature has advanced significantly in the last decades due to its growing importance in financial economics and the investment management industry. Commodities are important inputs of production in the modern economy, and their respective futures markets possess unique characteristics in a diversified investment portfolio. This thesis is devoted to investigating systematic strategies in global commodity futures markets. First, this thesis employs the Nelson-Siegel framework to model commodity futures curves. Exploiting the information embedded in the level, slope, and curvature parameters, this thesis develops novel investment strategies that assume short-term continuation of recent parallel, twist or butterfly movements of futures curves. The proposed strategies based on changes in the slope and curvature generate statistically significant profits uncorrelated to previously documented commodity factors. The information content embedded in the curvature parameter appears to be sensitive to market frictions, but the strategy based on the slope parameter remains profitable net of transaction costs and is valuable as an investment overlay to traditional commodity portfolios. Second, this thesis documents a weekly rebalancing time-series momentum effect in commodity futures, which is statistically significant and has been adversely affected by momentum turning points in recent years. A momentum turning point is defined as the disagreement between long-term and short-term trends. The weekly time-series momentum effect represents a distinct investment opportunity relative to monthly timeseries and cross-sectional momentum. Moreover, we find that momentum turning points contain valuable information that can be utilised to improve time-series momentum by dynamically combining short-term and long-term signals. The enhanced performance is robust to transaction costs and day-of-week checks. Third, we examine the investability of commodity risk premia in China. The standard momentum, carry, and basis-momentum factors previously documented are not investable due to the unique liquidity patterns along the futures curves in China. However, dynamic rolling and strategic portfolio weights significantly boost the investment capacity of such premia without compromising its statistical and economic significance. Meanwhile, style integration delivers enhanced performance and improved opportunity sets. Furthermore, the observed investable premia offer portfolio diversification for investors. Finally, investable commodity premia in China reveal strong predictive ability with global real economic growth.