RT Journal Article SR Electronic T1 Factor Model Index for Commodity Investment JF The Journal of Index Investing FD Institutional Investor Journals SP 33 OP 52 DO 10.3905/jii.2021.1.110 VO 12 IS 3 A1 Broby, Daniel A1 McKenzie, Andrew A1 Bautheac, Olivier YR 2021 UL http://jii.pm-research.com/content/12/3/33.abstract AB In this article the authors propose an appropriate commodities benchmark for pension funds. Commodity investment, like traditional investment, requires suitable benchmarks for performance measurement and attribution. Investing in commodities as an asset class has increased dramatically as a result of financialization. It is typically conducted by pension funds through the futures market. The tools to implement and benchmark the success or failure of such an investment strategy are still in their infancy. The authors argue that factor model indexes (FMIs) are a viable alternative to existing production-based indexes that make use of futures contracts. Using principal component analysis, they identify five factors related to grains, meats, industrial metals, energy, and precious metals. They suggest that FMI benchmarks constructed using such an approach would allow commodity investors to better measure their investment objectives.