NEW YORK ( TheStreet) -- A few months ago, State Street ( STT) launched the SPDR SSgA Multi Asset Real Return ETF ( RLY). Its objective is inflation protection and real return, and it attempts to accomplish this by actively managing a portfolio of other exchange-traded funds. The fund's active management makes it part of the latest segment to proliferate in the ETF industry. The actively managed funds that have come out so far cover a wide range of strategies and asset classes, including bonds, equities and funds of funds. It's likely that more ETF providers will offer new products in this space. In RLY's case, the fund targets natural resources (40%), real estate (23%), inflation-linked bonds (21%) and commodities (16%). The fund also can hold cash, but it does not hold any currently. This is an actively managed fund, so it is important to remember that those weightings can be changed as the fund's manager sees fit. There are currently 15 holdings in the fund. The largest by far is the SPDR S&P Global Natural Resources ETF ( GNR), which accounts for 26% of the RLY's holdings. RLY allocates another 13% to the SPDR Barclays Capital TIPS ETF ( IPE), 12% to the SPDR DJ REIT ETF ( RWR), 10% to the PowerShares DB Commodity Index Fund ( DBC) and another 10% to the SPDR DJ International Real Estate ETF ( RWX). Several other holdings have smaller weightings. Obviously, the inclusion of DBC means that RLY can hold funds from other providers, not just SPDR. Five of the 15 funds are from fund provider PowerShares. The enormous holding in GNR merits a close look because obviously something with a 26% weighting is likely to be a large driver of returns. GNR owns resource-related equities with the largest group being integrated oil companies. That means Exxon Mobil ( XOM), Chevron ( CVX) and BP ( BP). GNR also is heavy in fertilizer, mining and steel companies. These are volatile groups that have been underperforming the market, so RLY has lagged the broad market since its debut earlier this year. The real estate holdings SPDR DJ REIT ETF and SPDR DJ International Real Estate ETF give RLY yield (2.9% and 3.9%, respectively), but also expose RLY to further potential declines in real estate. I don't mean to say there will be another significant downturn for real estate. I just want to point out that any fund with more than 20% exposure to real estate will be vulnerable to a potential downturn.