The traditional choices of asset allocation include: stocks, bonds, liquidity and also real estate .In the last five years, in consequence of the effects of the speculative bubble and of the new growth of interest rate, the attention of the managers of the portfolio is focalized on alternative assets, like hedge funds, private equity, credit derivatives, commodities, to research extra return. The commodities, traded on spot and forward markets, are characterized by the presence of negative correlation with traditional asset class; therefore they help to obtain the search of the “alpha”, that expresses the non systematic risk. The commodities have reached a meaningful performance in the last two years, especially the most important commodities index: Reuters / Jeffries-CRB (Commodities Research Bureau)Index and Goldman Sachs Commodities Index (GSCI) have reached the returns on over 15%. In this paper we will examine the relationship between the portfolio’s returns with the presence of commodities or with traditional asset classes (stocks, bonds and liquidity)