That allows for informed guesses as to the passive asset allocation among those asset classes. Commodities, on the other hand, are a tricky bunch.

Commodities have no market capitalization, at least in terms of futures contracts. Long and short positions in futures always offset one another and so the market cap is always zero. That leads to a variety of tortured alternatives to figuring out the market cap equivalent of commodities so as to figure out how big the marketplace is relative to stocks, bonds and real estate. One approach is estimating global commodities total production. Another is looking at liquidity factors, open interest and other measurable variables tied to futures. Each comes with its own limitations and challenges.

For what it's worth, your editor uses what's known as total dollar value traded. This is basically the dollar value of futures contracts that change hands over a specified time frame. We'll leave it to another post to detail why. Suffice to say, it's one of many methodologies and it comes with its own peculiar share of pros and cons.

Where does that leave us? As you might expect, a passive global markets allocation gives a high weight to commodities these days, thanks to the rise in prices, which in turn has boosted the total dollar value traded of futures contracts. Mr. Market puts a much higher value on commodities in 2008, and by more than a few measures.

If you accepted the total dollar value traded numbers as is, commodities would have been valued at just under the total global market capitalization of equities at the end of last year, which implies a passive allocation of 50/50 between stocks and commodities. Clearly, that's far too aggressive for most investors, although so far the heavy weight in commodities has proven itself worthy.

Nobody knows if an aggressive weight to commodities will continue to generate high returns in a broadly diversified portfolio of the major asset classes. But this much is clear: a zero percent weighting is almost certainly extreme, and so too is a 50% weight relative to stocks. Somewhere in between is reasonable. Exactly where depends on the investor, i.e., her risk tolerance, investment goals, expectations, etc.

In short, a quantitative analysis only brings you so far in strategic portfolio design. At some point, there's nothing left to say other than: You're on your own. Caveat emptor!