Rydex Brings Managed Futures to Masses

While the S&P DTI behaves differently than a basket of widely held stocks, the end results are similar. During the same 10-year period discussed above, the S&P DTI's rate of annualized returns was 11.04%, compared with the S&P 500's 12.93%.

While that sounds good, Morningstar analyst Reginald Laing warns that the Rydex fund's performance will lag behind the index because the cost of buying structured notes "takes a bite out of returns." Rydex estimates that charges related to structured notes will eat away at up to 1.5% of the fund's total assets annually.

Laing also believes the S&P DTI's trend-chasing approach is "problematic because you are buying into strength and selling into weakness." He says there are better ways to gain commodity exposure, such as investing in stocks, mutual funds and ETFs linked to the cash markets for grains, livestock and metals.

As for the financial futures, you may not want exposure to them at all. "The reason forecasting currency exists," Laing says, "is to make forecasting the weather seem reliable."

Egilinsky stands by the S&P DTI, saying Rydex is "comfortable with that benchmark." He says the Managed Futures Fund and the other alternative investment options the company offers aren't necessarily meant to be held alone but instead to be integrated into a highly diversified portfolio as part of a long-term asset allocation strategy.