global macro & managed futures funds, page-13

Think about it from a risk budgeting perspective. These sorts of strategies should be funded out of your higher risk allocation i.e. the equities sleeve of your portfolio. There should be viewed, as many have indicated, as a diversifier, not a defensive play. While they will typically not suffer the often extreme levels of drawdown a long-only equities strategy will have, they are still riskier than fixed income and other more defensive assets.