As the price of gasoline goes up at the pump, don't get angry. The developers of a new exchange-traded fund want you to get even.

The United States Gasoline Fund (AMEX: UGA) opened trading Tuesday with a mandate making it the first ETF to directly track gas prices. UGA is marketed by Victoria Bay Asset Management.

"It's natural to increase investors' choices by bringing out a gasoline fund," said John Hyland, the firm's chief investment officer. "We're not suggesting it's a hot fuel and worth investing in at this point. We just feel that over the long-run, gasoline is a major commodity and it deserves representation."

Along with oil, natural gas and heating oil, gasoline is one of the four major energy commodities traded in the U.S., and Victoria Bay either offers or is developing an ETF tied to each commodity. The company was first-to-market in crude and natural gas ETFs, with the United States Oil Fund (AMEX: USO) launching in April 2006 and the United States Natural Gas Fund (AMEX: UNG) launching nearly a year later. It has also filed for a heating oil fund, which is expected to launch soon.

"We only deal with one commodity in each fund," Hyland said. "Our goal with each fund is to match in percentage terms the daily movements of each commodity's futures."

With gasoline, for example, the fund tracks futures contracts on the New York Mercantile Exchange. "We're always watching whatever contract is about to expire next—the closest one to expiration," Hyland said. "Those are called front-month contracts."

But his staff doesn't wait until the contracts expire. Instead, they roll from one contract to the next within two weeks of expiration. That exposes the funds to the forces of backwardation and contango. In fact, the gasoline markets are currently in very strong contango: the March contract is valued at just $2.56/gallon, while the April contract costs $2.72/gallon. If those prices hold, the fund (or any investor) rolling from the March to April contract will effectively lose money on the deal.

There are funds that aim to mitigate these impacts—Victoria Bay, for instance, offers the United States 12 Month Oil Fund (AMEX: USL). It spreads its investments across the next 12 months of oil contracts, with the goal of mitigating the impact of contango.

But the new gas fund is straight-up. Like all commodity funds, however, UGA will be buoyed by interest income. You only have to put up a portion of your cash to buy a full futures position, so the funds are able to invest their collateral cash in Treasuries.

The annual expense ratio of UGA is expected to wind up at 0.69%. Victoria Bay is registered as a commodity pool operator and has $1.1 billion in assets under management as of December 31, 2007.

"Innovation is at the core of the Amex identity and UGA, the first fund to follow gasoline, is a welcome addition to our product lineup," said Scott Ebner, senior vice president of Amex's ETF marketplace in a statement.