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This dissertation was written as part of the MSc in Banking and Finance at the International Hellenic University. The study addresses the diversification effects of incorporating commodity futures in US stock portfolios. Like many others before, we make an effort in identifying how including this alternative asset in a stock portfolio, succeeds in providing a reduced risk for the investor. Towards that goal, we construct 4 sets of portfolios based on the risk and return approach of Harry Markowitz. Each of these sets break down in 3 risk classes. We begin with portfolios including stocks from the Dow Jones index, and continue by inserting derivative products. We then analyze and compare the constructed portfolios’ performance. Research questions that are analyzed in this study: What are the diversification effects of commodity futures in the period after the world financial crisis of 2007? How different risk class investors can benefit from including commodities in their portfolios? We conclude the research by providing the limitations of the process followed, and suggesting topics for further future research.