RYMFX: Correlated With Nothing At All

The increasing correlation of everything has been a recurring market theme for much of the last two years. But the combination of a little-known Standard and Poor’s index and the Rydex Managed Futures Strategies Fund (RYMFX) delivers an investment that over more than 20 years of market history—and almost any period within that history—is pretty much uncorrelated with everything.

And that includes the investment class it is named for, one of the most historically reliable portfolio diversifiers of all: actively managed, managed futures strategies.

RYMFX was launched in March 2007 aiming to replicate the performance of the S&P Diversified Trends Indicator, a long-short futures investment strategy based on 24 U.S. exchange-traded futures contracts, in 14 sectors, divided evenly among commodity and financial markets...

Correlated With Nothing At All
by Greg Newton
IndexUniverse.com Sep. 12 2007

Comments

[ETFglobalin...:]

If Rydex Managed Futures Strategies Fund (RYMFX) is not uncorrelated to anything else, how do you explain the fact that it bottomed on 8/16/07 just like all other stock market indices and has been trending up ever since?

2007 Sep 19 04:03 AM