I am a huge fan of alternative asset classes.  Most assets that are negatively correlated to the S&P 500 add value to a portfolio (for more on true diversification and portfolio modeling please see here).  The Wall Street Journal has an excellent article on managed futures today.   I have previously written about managed futures and reducing risk in ones portfolio:

Rydex has been at the forefront of the alternative asset class move in the mutual fund industry and provides some of the very best ways to obtain equity-like returns with relatively low volatillty.   They have a number of different funds and fund of funds that invest in absolute return strategies, managed futures and other strategies that reduce market correlation while creating value.  The funds I would look into include RYMFX, RYFOX, RYSTX, RYGHX, RYEPX & RYMLX. RYMFX is a managed futures fund that invests in commodity, currency and financial linked instruments whose performance is expected to correspond to that of the underlying benchmark.  RYSTX is a long/short fund that seeks capital appreciation consistent with the return and risk characteristics of the hedge fund universe. The secondary objective is to achieve these returns with low correlation to, and less volatility than, equity indices. The fund normally invests at least 80% of assets in US and foreign securities of any capitalization range, or derivatives including futures, options and swap agreements. It pursues a long/short investment strategy by employing multiple investment styles widely used by hedge funds.  RYFOX, RYGHX, RYEPX, & RYMLX are fund of funds that invest in various Rydex funds that implement strategies ranging from the managed futures fund to 2X equity funds.