In this article we assess the safe-haven, hedging, and diversifying properties of agricultural commodity futures with respect to the S&P 500 index between 1999 and 2021. Our analyses reveal that various agricultural commodities (such as coffee, corn, soybeans, and wheat) exhibit safe-haven and/or hedging properties against the S&P 500 index. We further show that a small exposure to agricultural commodities enables a significant reduction in a stock portfolio’s downside risk as proxied by semi standard deviation and value at risk.