UPDATE: The link in this post is no longer valid. Please e-mail us by filling out the "Contact Us" form on this page and I'll e-mail you a copy of the report. Please put "Managed Futures" in the subject line.
I just found this .pdf on why Managed Futures strategies fail when implemented in mutual funds. We have long known that futures and mutual funds don't mix. The reasoning is very complex. This article by MA Capital Management helps explain why.
On our site, we've addressed the issue of poor performance of commodity ETFs and ETNs which you can read about on our page: The EPIC Failure of Retail Commodity Funds