New Commodity Index On Tap

Lehman Brothers will launch a broad-based commodities index on July 1, covering 20 commodities in the energy, metals, agriculture and livestock segments. The Lehman Brothers Commodity Index will select and weight the dollar-denominated futures using trading volume; at the beginning of 2006, the weights were 56.2% in energy, 22.8% in metals, 18.2% in agriculture and 2.8% in livestock. The index will be rebalanced and reweighted annually, though the weights will fluctuate based on daily price movements. Individual subindices for each of the four segment components will also be published.

The launch comes fives months following the introduction of DeutscheBank’s DB Commodity Index Tracking exchange-traded fund, which tracks six commodities and has garnered more than $540 million. Barclays Global Investors is also planning a broad-based commodities ETF that will track the Goldman Sachs Commodity Index, which includes 24 commodities. So far, no such fund is planned based on the Lehman index. “We have not been contacted by any ETF firms,” Lehman spokeswoman Tasha Pelio said.