The fund launched in March 2007 and we invested in July.
A big reason I'm interested in the SPDTI index can be seen in the table below.
Relatively high Sharpe ratio, negative correlation to S&P 500, and relatively high rates of return (see chart below).
Also, commodity futures have the benefit of rolling return, which over the long-term should translate into a non-zero yield. Investing in commodity companies doesn't capture the rolling return, since companies are on the opposite side of the contract. In that sense, commodities companies are indirectly paying the roll premium, while the investor futures receives it.
The Rydex fund invests partially through structured notes, which are intended for the retail and small institutional investor market from what I understand. While there is overhead associated with the structure, it's required given the size of the fund.
The trading strategy is to long if the current price inputs are higher than the exponential average of the prior 7 price inputs. Short is the opposite condition. If energies are giving a short signal, the fund zeroes the energy position (no short).
Fees are a little heavy (1.65% for H-Class - turns out to be 1.77% so far this year, according to their website), but worth it for the diversity it offers the portfolio in terms of negative correlation.
As of Sep 30, 2007 the fund has about $161MM in net assets, consisting of $11.5MM in long currencies (in the form of various currency and US treasury ETFs), $48.2MM in commodity structured notes, $101MM in repo agreements, $4MM in lending collateral (to back their short positions), and $2.9MM in short positions (iShares Silver Trust, CurrencyShares Australian Dollar Trust), Streettracks Gold Trust, and PowerShares DB Base Metals Fund).
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