As risky assets (e.g., stocks) fluctuate in value, the value of a portfolio containing them may change, as may their allocation relative to the safe assets (e.g., bills) within the portfolio. One must decide how to rebalance the portfolio in response to such changes. Dynamic strategies are explicit rules for doing so. Different strategies will produce different risk and return characteristics. Buy-and-hold strategies are "do nothing" strategies. They have a minimum return proportional to the amount allocated to bills and an upside proportional to the amount allocated to stocks.

This article examines two approaches that many institutions consider when investing in hedge funds: multi-strategy hedge funds and funds of hedge funds. Since data at the index level is limited for these strategies a number of underlying drivers of risk and return are analyzed. The ability to rapidly move capital between strategies is also examined. Further the differences between the business models of multi-strategy managers and funds of funds and the potential impact for investors are explored. The results show that manager selection dominates strategy allocation for hedge funds.

Infrastructure as a new asset class is said to have several distinct and attractive investment characteristics. This article reviews concepts, market developments and empirical evidence on the risk-return and cash flow profile, and the potential for diversification and inflation protection in investor portfolios. Furthermore, a new, global analysis of the historical performance of infrastructure funds is undertaken. There is no proper financial theory to back the proposition of infrastructure as a separate asset class.

Investors face numerous challenges when seeking to estimate the prospective performance of a longonly investment in commodity futures. For instance, historically, the average annualized excess return of the average individual commodity futures has been approximately zero and commodity futures returns have been largely uncorrelated with one another.

For this study of the simple properties of commodity futures as an asset class, an equally weighted index of monthly returns of commodity futures was constructed for the July 1959 through December 2004 period. Fully collateralized commodity futures historically have offered the same return and Sharpe ratio as U.S. equities. Although the risk premium on commodity futures is essentially the same as that on equities for the study period, commodity futures returns are negatively correlated with equity returns and bond returns.