A pretty good read that fits in to all this is " Emphasizing Low-Correlated Assets: The Volatility of Correlation "  by William J. Croaker.   One study I read said that Natural Resources had the best diversifying effects on a portfolio.  Of those funds, the futures funds ( DBC, DJP,  or PCRIX ) were more effective as a diversifier  than a Natural Resource mutual funds  because the futures funds had an r-squared of almost 0 .

Dan