The international diversification of assets by investing in agricultural commodities has manifested increasingly in recent years, as demonstrated by the growth in investment in commodities which have augmented rapidly in recent years, the prospect is that they will increase further. The common perception is that international trade markets investments popularity comes from the fact that the goods constitute an alternative asset class with returns that present, at least in theory, low or negative correlation with the returns on assets belonging to traditional asset classes: stocks and bonds. Harry Markowitz (1959) and James Tobin (1958) developed the theory of optimal selection of securities portfolios in an uncertain environment. This was developed by William Sharpe (1964) and John Lintner (1965) in a general equilibrium model prices. This model completes and improves Markowitz's theory, because even its author William Sharpe, leaves in its development, inters alia, on the premise that the investor will use an investment approach as described by his predecessor. Basically the model enables us to facilitate the work in evaluating the expected earnings of the various securities and portfolios, which relates to a risk measure called β. What is particularly important about this model is that it is currently applied in the industry of the investments, maybe not in its original form, but in newer versions adapted of it. However, the researchers concluded that the overall balance given by the CAPM is quite inconsistent in practice. Other authors have attempted to explain the application of CAPM on futures markets. The conclusion was that the CAPM is not consistent in explaining the results of the futures markets, but also the qualitative and quantitative empirical phenomena are unable to explain the results from the futures markets.