Understanding Commodities Risk and Return

As part of an investment strategy, a portfolio manager considers adding a commodities component to enhance returns and diversify risk. Specifically, the manager is analyzing the role of commodities as an inflation hedge versus their behavior during market downturns.

She notes that commodities often have a low or negative correlation with traditional asset classes like stocks and bonds. The manager is evaluating the expected risks and returns associated with investing in a broad commodities index.

Based on historical performance data, which of the following statements best describes the risk and return characteristics of commodity investments?