Papers examining the portfolio characteristics of commodity futures:
Strategic Asset Allocation and Commodities: Ibbotson Research
An Investor's Guide to Commodities: Deutsche Bank
Facts and Fantasies About Commodity Futures: Gorton,Gary and Rouwenhorst,K. Geert
The Tactical and Strategic Value of Commodity Futures: Erb,Claude B. and Harvey,Campbell
Is The Case For Investing in Commodities Really That Obvious? : Katt,Harry M.
What Every Investor Should Know About Commodities, Part I: Univariate Return Analysis: Katt, Harry M. and Oomen, Roel C.A.
What Every Investor Should Know About Commodities, Part II: Multivariate Return Analysis: Katt, Harry M. and Oomen, Roel C.A.
Understanding alternative investments: The role of commodities in a portfolio :Kimberly A. Stockton, Vanguard Investment Counseling & Research, (08/02/2007)