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B24, why do you think the rydex managed futures product is one of the best.  it has grossly underperformed managers that run the same underlying strategy (trend following).  low vol, yes, but on a risk adjusted basis, (i.e. downside vol vs. return) its terrible.  for example, 2008 only 8% up and it has already given back nearly 70% of these gains in 2009. 

individual CTA's that I track that run the same strategy were up 3-4 X this in 2008 and have given back just 9.75% of these gains thus far in 2009, in what has been a challenging environment for the strategy. 

Remember that a managed futures index product is nothing more than a system with the Rydex label slapped on it.  Ultimately the quality of the underlying system design is what you are investing in.  i will bet a good sum on the top individual CTA's out-performing this index both on overall performance as well as risk adjusted returns.

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I would be happy to send you my comparison analysis. 

Best,

RD

How does that goofy Superfund compare to your individual CTAs?

Superduper fund

Ok as a diversifier, not great as a standalone product.  what I mean is that their risk controls are not as good as others.  other CTA’s have incorporated a number of different systems to smooth the equity curve and lessen the vol.  superfund hasnt tighted up on a relative basis.

this shows as they are among the worst (again of those I rate highly and track) when it comes to managing market reversals and non trending periods- they give back a larger proportion of gains, similar to the the rydex product. In fact they were the worst performer over the past 5 years when at least 75% of the managers in my group had neg returns.

within the context of a portfolio @ a smaller allocation level, their volatility isnt a big deal. clients have to understand though that it cannot be viewed as a seperate investment.  in fact you want vol if it maintains its neg correlation durng periods of market stress.  you dont want it to yield bond like returns when the rest of the equity portfolio is down sizably.  As a stand alone investment, its a bit too much.  Either way there are better options.

From an investor perspective, their breakeven level via the retail distribution networks are way to high.  I almost got my parents into them back in 2001 and they would have been thrilled with performance, but I couldnt get past the fees. 

RD

What are you using that is better?