Abstract
The idea of diversifying a portfolio by adding an unleveraged, long–only commodity index has been around for a long time. But only in the last few years have institutions actually started to take advantage of this asset class. Returns have historically been comparable to equities in magnitude and volatility, but with more positive skew. Those returns have been negatively correlated with stock and bond returns. If there were fundamental reasons to expect this pattern of returns to continue, then this asset class obviously could expand the efficient frontier of a portfolio.
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