Once again I'll refer to http://www.managedinvestments.com/performance.html 12-year Managed Futures data. These funds made ~ 900% on average in this period. That's +1.6% /month. What's the possibility of having substantial monthly drawdown with a portfolio of 30 funds? - each one makes +1.6% /month on average. I think it's pretty low. I agree that it's important to know and understand fund's strategy, just like company's fundamentals, finance & management in stocks investing.