New commodity ETF launch: actively managed, but long-only

I won’t complain about having more possible commodity investment vehicles, and I like the concept behind this new ETF, but I’m not a huge fan of the idea because it’s long-only, and I prefer a long/short approach. The new fund will track the SummerHaven Dynamic Commodity Index, which we be rebalanced monthly. The “based on observable price signals” line sounds to me like a trend following model, just like the LSC ETF I prefer, but this new fund will be long-only. Full disclosure: they don’t have a ticker for the fund yet, so I’ll update this post when they have one.

The announcement press release:

SummerHaven Index Management Announces Launch of the SummerHaven Dynamic Commodity Index

STAMFORD, Conn., Dec. 18 /PRNewswire/ — SummerHaven Index Management, LLC announces the launch of the SummerHaven Dynamic Commodity Index (“SDCI”) – an innovative approach to commodity investing that uses fundamental signals about underlying physical markets to create an active benchmark for commodity futures investors. The index builds on academic research by professors from Yale University and the University of Tokyo. The SDCI tracks the performance of a fully collateralized portfolio of 14 commodity futures, selected each month from a universe of 27 eligible commodities based on observable price signals, subject to a diversification requirement across major commodity sectors.

The SDCI is composed of commodity futures contracts for which active and liquid contracts are traded on futures exchanges in major industrialized countries. The commodities are denominated in U.S. dollars. The commodity sectors for the Index include precious metals, industrial metals, energy and agricultural products including livestock, softs, and grains.

The First Long-Only Active Benchmark for Commodity Investors

The SDCI was designed as an active commodity benchmark index with the investor in mind. The index construction embeds active re-balancing instead of passive weights because not all commodities are expected to contribute equally to the overall performance of a commodities portfolio. The SDCI focuses on a subset of the commodity universe based on a periodic evaluation of fundamental signals, while at the same time maintaining a diversified exposure to the global commodity complex. Professor K. Geert Rouwenhorst of the Yale School of Management commented “Over the past decade commodities have gained acceptance by investors as an important element of the investment universe. As the asset class has matured, investor interest has naturally shifted towards active management. The SDCI design incorporates research ideas from two academic studies, Facts and Fantasies about Commodity Futures and the Fundamentals of Commodities Futures Returns, into a practical and implementable investment benchmark for investors.”

The SDCI is the first commodity index designed by SummerHaven Index Management. SummerHaven Index Management, LLC is the owner of the Index.

About SummerHaven Index Management

Headquartered in Stamford, CT, SummerHaven Index Management is focused on creating innovative commodity indices. The firm is led by a seasoned management team with over 50 years of collective financial markets experience with commodity futures, capital markets, investment management, and exchange traded products.

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The link to the announcement press release: http://www.prnewswire.com/news-releases/summerhaven-index-management-announces-launch-of-the-summerhaven-dynamic-commodity-index-79605862.html

The link to the fund’s latest prospectus filed with the SEC: http://www.sec.gov/Archives/edgar/data/1479247/000114420409066339/v169761_s1.htm#tPS