Fund seeks less volatility

SEP 30, 2012
State Street Global Advisors is preparing to launch a commodities-free managed-futures fund that will invest in equity, fixed-income and currency futures. Managed-futures funds typically come in two flavors, those that invest only in commodities and those that combine commodities futures with equities, fixed-income and currencies. Managed-futures funds that invest in commodities have only 12% to 18% volatility, while funds that blend the four asset classes together typically have 8% to 10% volatility, according to Morningstar Inc. By avoiding commodities altogether, the SSgA SSARIS Managed Futures Fund should have even lower volatility, according to SSgA.

LOW STANDARD DEVIATION

In a filing with the Securities and Exchange Commission, the firm also said it will be targeting futures contracts with low daily standard deviation. Marie McGehee, a spokeswoman for SSgA, declined to comment. The downside of leaving out commodities could be lower returns. While commodities tend to have the highest volatility, they're also a potential source of big returns for managed-futures funds, which basically are trend-following strategies. According to Morningstar, the category's average return is -4% so far this year, but despite the performance woes for the group, investors are still interested in them. Through the end of August, $700 million flowed into managed-futures funds, according to Morningstar. [email protected] Twitter: @jasonkephart

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