Private managers vary more widely in the risk they take. One strategy tied to John W. Henry & Co., owned by the Boston Red Sox owner John Henry, targets a ratio between 9% and 17%, a company spokesman said.
Campbell & Co., another manager, operates a strategy that uses a ratio closer to 30%, according to an estimate by Mark Melin, author of "High-Performance Managed Futures." Melin's estimates show that other managers take even more risk. A Campbell spokeswoman said the company wouldn't respond to Melin's estimate.
"I would like to see clear disclosure of risk" for mutual fund investors, Melin said.
In the meantime, he's teaching a new class on managed futures at Northwestern University where motivated advisers and investors can learn to do their own math.
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