We utilize wavelet coherency methodology with simulated confidence bounds to examine the short-term and long-term dependencies of the returns for S&P 500 and the S&P GSCI^® commodity index. Our results indicate no evidence of co-movement between S&P 500 total return and the S&P GSCI^® commodity index total return in the short term, thereby suggesting diversification gains for equity investors. Importantly, this finding encompasses the onset of the current financial crisis. However, long-term diversification benefits, particularly after the onset of the recent financial crisis, are limited. We find, moreover, no consistent evidence of co-movements between S&P 500 and 10 individual sub-indexes of the S&P GSCI^® commodity index. Of particular importance, we report weak co-movement of returns between S&P 500 and S&P GSCI^® Precious Metals total return and S&P 500 and S&P GSCI^® Softs at all frequencies, implying significant diversification gains both for short-term and long-term investors.