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Morningstar Commodity Indexes

Published in Alternative Indices

The Morningstar® Commodity Indexes family offers passive alternatives to active commodity strategies. Built on the underlying economics of the global commodity futures markets, our indexes employ strategic combinations of long futures, short futures, and cash. We allocate to long or short positions in commodity futures based on each commodity future’s price momentum. This momentum-based long/short approach is better than the long-only exposure of other indexes because it captures the full excess return from a futures strategy.

Part of the Morningstar® Alternative Investment Index family, this family includes broad commodity, commodity sector, managed futures, and individual commodity indexes.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 35 indices and 50 commodities. Index coverage includes:

  • Morningstar Agriculture
  • Currency
  • Exposure
  • Energy
  • Long/short
  • Livestock
  • Metals, etc.

Some of the data items available include:

  • Cash Roll Index
  • Cash Yield
  • Collateral Adjustment Factor
  • Commodity Index Level
  • Contract Quotation
  • Contract Size
  • Currency Code
  • Current Contract
  • Daily Excess Return
  • Excess Return
  • Exchange Identification Code
  • Index Contract
  • Investible Weight
  • Last Roll Index Level
  • Next Contract
  • Next Settlement Price
  • Previous Commodity Index Level
  • Previous Settlement Price
  • Previous Value from Last Roll
  • Previous Weight
  • Settlement Price
  • Signal
  • Signal Character
  • Total Return
  • Value from Last Roll, etc.

 

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