It's no secret on this forum that I'm a fan of long/flat commodity funds for the inflation portion of a balanced portfolio. My favourite index is the Auspice Broad Commodity Index. There are funds in both Canada and the U.S. that track this particular index (CCOM and COM respectively).
The index inception date is 2010, but I was really curious about how it would have done during the GFC.
I recently emailed the index provider and got in touch with one of their analysts, and I asked them to do some further backtesting. Surprisingly, they were very receptive to help me, and I got some extra data.
Check this out.
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The Auspice index in question is the orange line (ABCTRI). Notice how everything else (other commodity funds and equities) fall off a cliff during the 2008 GFC, but this fund's long/flat methodology switched to cash and avoided the worst of it. COM/CCOM seem capable of capturing the balance of the upside, but manage to blunt the majority of the big crashes in commodities. As such, they've been able to deliver a much more favourable risk/return profile.
An interesting consideration for anyone on the forum interested in commodities as I am.