That rebalance, which takes effect in January, is a reminder of just how important that choice is. While the changes within the DJ-AIG were small, the differences between the DJ-AIG and other commodity indexes - both at the sector and the individual commodity level -are stark.

Consider how the newly rebalanced DJ-AIG will compare with the S&P GSCI. These are perhaps the two most popular commodity indexes, and serve as the underlying index for many commodity investment products. The two indexes take different approaches to weighting components: the DJ-AIG relies mostly on "liquidity," or the volume that each futures contract trades each day, while the S&P GSCI relies on the global production value of each commodity. In other words, the DJ-AIG focuses on how important each commodity is to the financial world, while the S&P GSCI focuses on how important each commodity is to the real world.

Sector Weightings

On a sector basis, the most striking difference is within energy, where the DJ-AIG has less than half the weight of the GSCI. For equity investors, such a fundamental difference between two "core" commodity indexes is hard to imagine: it's a bit like comparing the Dow Jones Industrial Average and the Nasdaq-100. They both hold stocks, but that's about where the similarities end.

This difference is deliberate: Investors often criticize the S&P GSCI as overly dependent on energy, and the DJ-AIG deliberately caps the energy component at 33% of the index.

The deliberate underweight of energy, of course, boosts the weights of other commodities within the DJ-AIG complex. For instance, the index has twice the exposure to agricultural commodities and base metals as the DJ-AIG, and 3-5 times the exposure to precious metals and softs. (Note that the S&P GSCI will be rebalanced as well before January 1, but that we don't have those weights available yet.)

Individual Commodity Differences

The similarities, however, do not stop at the sector level. Even within sectors, the indexes have vastly different exposures. The table below compares the energy exposure within each index.

Note that the GSCI has seven times the exposure to crude oil, while the DJ-AIG has nearly twice the exposure to natural gas. That's important, because these two markets are performing very differently right now.

For starters, the oil futures market is backwardated, while the natural gas market is currently in contango. That presents the DJ-AIG with a bit of a headwind, as it must battle uphill against natural gas' negative roll yield.

Natural gas is also incredibly volatile, even within the notoriously volatile energy patch; yesterday, for instance, natural gas futures plunged 14% after Hurricane Dean dodged the U.S. energy infrastructure in the Gulf of Mexico. Natural gas prices are now down more than 25% from June 1 levels.

The differences in other sectors are large as well. The table below compares the weights of the rebalanced DJ-AIG and the current S&P GSCI.

So far this year, the two indexes have both been largely flat, and have performed more-or-less in line with one another. But given the fundamental differences between their make-ups, that will not always be the case.