The traditional choice of asset allocation includes stocks, bonds, liquidity and real estate. In the last five years, as a result of the effects of speculative bubble and the growth of interest rate, the attention of the managers of the portfolio has shifted to alternative assets, like hedge funds, private equity, credit derivatives and commodities, to earn extra returns. The commodities, traded on spot and forward markets, are characterized by the presence of negative correlation with traditional asset classes. Therefore, they facilitate to obtain a good `alpha', which expresses the non-systematic risk. The commodities have shown good performance in the last two years, especially the important commodities indices. Reuters/Jeffries-CRB (Commodities Research Bureau) index and Standard and Poor's Commodity Index (S&P GSCI) have earned returns over 15%. This paper examines the relationship between the portfolio returns in the presence of commodities and traditional asset classes (stocks, bonds and liquidity).

In the field of asset management, managers are increasingly interested in implementing strategies against exposure to the systematic risk `beta' and the specific risk `alpha'. Accordingly, the manager aims at selecting a mixture of financial assets to produce a future return, that is equal to or greater than that of the asset index, the `benchmark', which is treated as a reference.

The point of departure of the methodologies of asset allocation is described by the techniques of optimization introduced by Markowitz, under the name of Mean-Variance Optimization (MVO). These techniques aim at calculating the weights, which are to be attributed to the assets in the portfolio in such a way that, for a given risk level, the expected return of the portfolio will be the highest.

Derivatives Market Journal, Traditional Asset Classes, Standard and Poor's Commodity Index, Mean-Variance Optimization, Asset Management, Risk-Free Investment Returns, Asset Allocation, Futures Markets, Commodity Futures, Traditional Financial Portfolios, Theoretical Assumptions, Domestic Commodity Contracts, Commodity Markets.