I don't get it...

I was catching up reading some of RandomRoger's blog posts and there's something about the way he implements his philosophy that I just don't get.  He's a financial adviser and clearly a pretty smart guy.  He is constantly saying that he doesn't require that his portfolio go up as much as the market in a bull market as long as it doesn't go down as much in a down market.  That's cool, I suspect many of us would be happy with that sort of performance.  He offered some of the Rydex Managed Futures Funds as an example of something he uses to bring stability. 

Let me summarize about these funds.  Over the past 2 or 3 years they have varied between $24 & $28.  Their beta, measuring price volatility, is very low.  The annual expense ratio is just shy of 2%.  The last dividend paid was at the end of 2008.  To quote Yahoo:  "The investment seeks to match the performance of the Standard & Poor's Diversified Trends Indicator(R) (the "benchmark" or the "S&P DTI"). The fund invests substantially all of its net assets in commodity, currency and financial-linked instruments whose performance is expected to correspond to that of the benchmark".

I'm going to jump to the assumption that they are doing a reasonably good job and do actually track the index.  My problem is that I've given these folks my money for 2 years and haven't received anything in exchange except some stability.  Not only that but depending on the timing of my purchase, I may have lost some money.  So what's wrong with a CD?  Or even a savings account?  At least I don't have to pay the bank 2% (yet!).  The index is supposed to have a commodity component but I'm sure not seeing it reflecting the way the price of copper or gold has changed in the last couple years.  So I guess I just don't understand.  I like some stability in my portfolio but this seems a strange way to obtain it.

Have a good one!