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Managed Futures-Rydex

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Nov 17, 2008 1:45 am

This is one area where they seems to be some strength in the carnage. RYMFX show slight negative correlation, reasonable volatility, rebalancing, etc. A bit spendy though. Any other good ideas in this space (long/short, etc)?

Nov 17, 2008 1:48 am

actual managed futures.

Dec 10, 2008 5:15 pm

RYMFX is an inverse managed fund is all.

Q: if you have a 'view' of the market(s) then why are you adding inverse instruments to a portfolio like this when the same can be accoumplished w/ virtually zero risk by using a straddle?

Dec 10, 2008 9:17 pm

because there are several good strategies- not one. I prefer mine. I like clients to have lower risk and also keep it a bit simpler. To each his/her own.

Dec 11, 2008 3:12 am

I agree you’re adding negative risk to the portfolio whereas a straddfle would be zero (depends on strike, premiums, etc - zero would presume you bought/wrote at the same strike tho, which is an alternative to buying volatility, but thats another story). The other complication of course is that the managed fututres has a mgt fee of what, 1.5%. There’s also a lot of academic lit ‘proving’ man futs don’t yield very good results (on an asset class and risk adjusted basis)