We examine the diversification benefits of using individual futures contracts instead of simply a commodity index. We determine the ex-ante, ex-post, and stability results for optimal Markowitz portfolios, investigate the instability between the ex-ante and ex-post results, and compare our results to traditional and naïve portfolios. The ex-ante complete futures portfolio dominates the traditional and naive portfolios and the ex-post portfolio outperforms the naïve portfolio. The instability between the ex-ante and ex-post results is primarily driven by the time-varying returns of the individual assets rather than by risk. Finally, the Sharpe portfolio results are essentially identical to the Markowitz results. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:343-368, 2013