We decompose risk premiums in commodity futures into spot and term premiums, which can be earned by investing in short term futures contracts and spreading strategies respectively. Using a dataset of 20 different commodity futures, six sector indices are constructed as well as an equally weighted index, that cover a broad cross-section of commodities. We find that most unconditional spot premiums are indistinguishable from zero, but that many term premiums are different from zero and show a clear term structure. In addition we find significant time variation in risk premiums, where spot premiums are primarily related to hedging pressure and term premiums to the basis or current yield. These risk premiums cannot be captured by common asset pricing models that explain stock and bond returns, indicating that these premiums are specific to commodity markets.