Understanding Commodity Indices

In the realm of commodity investments, investors often consider various indices to gain exposure to different commodities. One such index is the Bloomberg Commodity Index (BCOM), which is designed to provide broad exposure to the commodity markets. The index holds a diversified portfolio of commodities, measured on a total return basis.

As an investor, it is critical to understand the mechanics and characteristics of commodity indices, including how they are constructed and the factors affecting their returns. For instance, factors like contango and backwardation significantly influence the performance of indices that are heavily reliant on futures contracts.

Regarding the liquidity and risk profile of commodity indices, one must evaluate the underlying assets in the index, as well as their correlation with traditional asset classes. Given this context, which of the following statements regarding commodity indices is true?