Abstract: Commodity indices have played important role in global futures market to measure trends in commodity futures markets.However,research on Chinese commodity index is still in the starting period.While on the other hand,with China's integration into the world economy and the development of Chinese futures market,the study of commodity index has more practical significance than before.As an important index among Chinese commodity futures indices,MG commodity futures index is characterized by its applicability,since it not only absorbs the advanced experience from global commodity indices,but also takes int oaccount the current situation of Chinese futures market.In this paper,we take MG commodity futures index as an example to discuss the design of commodity futures indices,also,we test the functions of MG commodity futures index,based on which we evaluate its performance.

Key words: commodity index, futures market, correlation, performance