Managed-Futures September 10, 2009, 5:00PM EST

A Fast-Paced Trading Game

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The Rydex fund was up nearly 9% in 2008 and is down 3.9% so far in 2009—not as stellar as some managed futures funds, but not too shabby, either. To comply with SEC regulations the funds place trades based on a set of simple, unchanging rules once a month rather than using the complex, constantly adjusting mathematical models of the best-managed futures programs—making them a sort of "managed futures lite" option. They're also designed not to short energy futures, which are more sensitive to economic and political events. While that decision reduces overall volatility, it also means the mutual funds don't profit when oil crashes, as it did in 2008. "The difference between the two types of funds is like a Ford Pinto and a new Lexus," says Ken Steben, president of managed futures adviser Steben & Co. in Rockville, Md. "They both run on combustion engines, but the cars are very, very different."

For investors interested in more traditional managed futures, some commodity trading advisers make their funds available to investors who make at least $70,000 a year and have $70,000 in investable assets. But choosing a manager isn't easy—each has his own proprietary computer program and favored strategies, and the difference in performance among managers can be huge. In 2008 the best managed futures funds were up more than 30%, while the worst were down around 20%. And the funds may come with the high fees associated with hedge funds—it's not uncommon for 20% of the profits to go to the manager—and do not have daily liquidity. Focus on experienced managers and try to get a feel for how much risk they take on to generate their returns. Says Altegris' Sundt: "Do your homework."

Levisohn is a staff editor at BusinessWeek covering finance and personal finance.