The Tactical and Strategic Value of Commodity Futures (Unabridged Version) by Claude B. Erb of the Trust Company of the West and by Campbell R. Harvey of Duke University (January 12, 2006). An briefer version of this paper was published in The Financial Analysts Journal in 2006.

In this study, Erb and Harvey dissect the sources of commodity futures returns and analyze investment strategies that might make appropriate use of commodity futures. They conclude that commodity futures can play a role in tactical investment "price insurance" strategies conducted by very sophisticated traders and investors. Oddly, this is historical role that commodity futures have filled.

A primary purpose of this paper was to analyze "the case for a long only commodity futures position in asset allocation." The key question is whether commodity futures tend to provide a "risk premium" for a long term passive buy-and-hold strategy, as equities have exhibited on average for so long.

Is it appropriate to re-purpose commodity futures and make them a new asset class within the long-term portfolios of individual investors? Erb and Harvey conclude that: "A number of studies have argued that commodity futures are an appealing long-only investment class because they earn a risk premium similar to equities. Our paper argues that there are reasons to wonder what this is supposed to mean. Does the average commodity futures have ‘equity-like’ returns? Our research suggests that this has not been the case: the average returns of individual commodity futures contracts have been indistinguishable from zero."