This is the equally weighted commodity futures monthly return series constructed by Gary Gorton (Wharton, UPenn) and Geert Rouwenhorst (Yale). Details of the construction of the series are described in "Facts and Fantasies about Commodity Futures," NBER Working Paper No. 10595. http://papers.nber.org/w10595 EqWtdTR_through_2005.xls -- through 12/31/05