Asset classes such as commodities have historically had notable diversification benefits for longer-term investors who are concerned with inflation. : If you focus only on returns and covariances over a one-year investment horizon, you may conclude that commodities have no place in an investment portfolio. The efficiency of commodities improves dramatically over longer investment horizons, however, especially when using expected returns and maintaining historical serial dependencies. We’ll demonstrate how allocations to commodities can change across investment horizon, especially when considering inflation.