Rydex Investments on Monday launched a new long-short index mutual fund that uses a fund of funds approach to investing in alternative benchmarks, including exchange-traded funds.

The Rydex Alternative Strategies Allocation Fund (RYFOX) can allocate its assets to absolute strategies in five segments using ETFs or mutual funds. Currently, the fund's allocations are to (by order of total assets):

• The Rydex Managed Futures Strategy Fund (RYMFX), which tracks the S&P Diversified Trends Indicator index. It's a quantitatively formulated, long-short benchmark that tracks commodities and financial futures. The sectors are broken into seven different commodities as well as seven financial futures contracts, including things like currencies and Treasuries. Currently, its top holdings in financial futures are the euro and yen. In commodities, the fund's heaviest concentrations are to grains (11.5% of commodities), precious metals (5.25%) and energy (18.75%) as well as softs (cocoa, coffee, sugar and cotton) at 4.5%, among others. Those allocations are rebalanced monthly. RYMFX can go long or short any of those sectors, excluding energy. Right now, about 47.5% of the new RYFOX is allocated to RYMFX.

• The PowerShares DB G10 Currency Harvest (AMEX: DBV) ETF. It's based on the Deutsche Bank G10 Currency Future Harvest Index and accounts for about 21% of the portfolio's weighting. The index is comprised of currency futures contracts on certain G10 currencies and is designed to "exploit the trend that currencies associated with relatively high interest rates, on average, tend to rise in value relative to currencies associated with relatively low interest rates," according to PowerShares. The G10 currency universe from which the index selects currently includes U.S. dollars, euros, yens, Canadian dollars, francs, pounds, Australian dollars, New Zealand dollars, krones and kronas.

• The Rydex Commodities Strategies Fund (RYMEX). It follows the S&P GSCI Commodity Index and comprises about 14% of the fund's assets. The benchmark can buy everything from commodity-linked structured notes, ETFs, options and swap agreements to stocks. The S&P GSCI Index includes a wide variety of commodities. Entering 2008, most of its weighting was to energy (73.8%). Agriculture, industrial metals, livestock and precious metals made up the rest.

The rest is mainly now in The Rydex Real Estate Fund (RYREX). It can also invest in a Rydex real estate sector fund.