Introduction ..............................................................................................................3

Executive Summary...................................................................................................4

Hot Commodities ......................................................................................................7

The History and Development of Commodity Exchanges..............................................11

Convenience Yield, Term Structures and Volatility Across Commodity Markets ...............18

Commodity Indexes for Real Return and Efficient Diversification ...................................24

Commodities as an Asset Class: Testing for Mean Variance Spanning under

Arbitrary Constraints ................................................................................................35

Collateralized Commodity Futures: Good Portfolio Diversification and the Prospect

of Equity-Like Returns..............................................................................................43

Commodities: The Orthogonal Asset Class .................................................................50

Commodity Allocation from a Private Client Perspective...............................................56

Commodities as a Strategic Investment for PGGM ......................................................60

Appendix................................................................................................................67

Glossary.................................................................................................................68

Commodities: The Orthogonal Asset Class .................................................................50

Commodity Allocation from a Private Client Perspective...............................................56

Commodities as a Strategic Investment for PGGM ......................................................60

Appendix................................................................................................................67

Glossary.................................................................................................................68