本文係探討美國投資人是否可以透過商品類指數股票型證券投資信託基金（Commodity ETFs），來改善既有的可投資機會集合。藉由均異擴張檢定方法（mean-variance spanning tests），我們收集2005年1月至2012年12月的商品類指數股票型證券投資信託基金的月報酬資料，發現就統計檢定的結果而言，商品類指數股票型證券投資信託基金無法顯著改善既有的可投資機會集合，但是，根據夏普指數的衡量結果，商品類指數股票型證券投資信託基金可以增強美國投資人投資組合的表現。本文進一步發現，不同類別下的商品類指數股票型證券投資信託基金，對美國投資人的多角化投資效益有明顯的差異性，總結來說，特定的商品類指數股票型證券投資信託基金，如黃金或天然氣對美國投資人進行多角化投資仍是有幫助的。

This paper investigates whether investors can improve their investment opportunity sets through the addition of commodity exchange traded funds (ETFs) into various groupings of benchmark portfolios from the perspective of the US investors. Applying mean-variance spanning tests, we analyze the monthly returns of commodity ETFs from January 2005 to December 2012 and find that adding commodity ETFs does not lead to a statistically significant increase in the investment opportunity set for the US investors. However, the US investors can utilize commodity ETFs to enhance their portfolio performance, as measured by the Sharpe ratio. We further show that the diversification contribution varies greatly among the different commodity ETFs. Overall, the results confirm that specific-commodity ETF, like Gold or Natural Gas are valuable investments from the perspective of diversification.