Claymore has filed with the Securities and Exchange Commission (SEC) for an exchange traded fund (ETF) that until now was only available in exchange traded note (ETN) form.

As of March 20, Claymore Advisors has decided to file to turn an exchange traded note into an ETF format. The commodity-focused ETN is the ELEMENTS S&P CTI ETN (LSC) which launched in June 2008, just before the major correction commodities.

The ETN is somewhat new, however, the indicator is not.

The underlying index is constructed in such a way that it reflects current trends in commodities. This allows commodities to be either long or short (except the energy sector which is long or flat but never short). Rather than going down with a sinking ship, the indicator can adjust its positions on a monthly basis, depending on how the individual commodities are trending at month’s end.

The indicator goes both long and short in six areas: energy (long or flat only), softs, grain, livestock, industrial metals and precious metals. Using a seven-month weighted moving average, the indicator then determines in what areas it will be long and where it will be short.

The indicator determines when to be long or short in an individual commodity by using a 7-month moving average, taking only the information from the end of the month. As illustrated in the chart above, when a commodity is above the average, it’s held long. When it’s below, it’s held short.

Tags: Agriculture, Commodity ETFs, CTI, Energy, ETNs, Indexing, Industrial Metals, Long-Short ETFs, LSC, New ETFs, Precious Metals