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Morningstar announces new index family

By Darla Mercado

September 17, 2007 1:08 pm ET

Morningstar Inc., the Chicago-based research firm, has released a group of five commodity futures indexes that are designed for investors in search of benchmarks.

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The new index family combines long and short futures and cash (which are labeled as “flat” positions), and includes the Morningstar Long/Short, Long/Flat, Short/Flat, Long-only and Short-only Commodity Indexes.

Using price changes, as well as the loss or gain resulting from replacing a contract with one that matures in the future, Morningstar figures out a “linked” price for each commodity.

During monthly rebalancing, the investment research company also considers changes to the direction of the commodities in the long/short, long/flat and short/flat indexes.

These changes are based on whether the linked price is above or below the 12-month moving average.

The five indexes, which have a history going back to1980, track 20 commodities.

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