Auspice eBetaTM Enhanced Indices
In the wake of the financial crisis, investors are searching for more efficient means of extracting value from the commodity markets. Traditional commodity indices have failed in their attempt to provide diversification when investors required it most. The Auspice eBetaTM Indices are designed to meet the needs of investors that are looking to participate in commodity markets through a disciplined approach without sacrificing performance, diversification, and transparency.
Differentiation to traditional commodity indices
These unique features provide superior risk adjusted performance.
Systematic Component Weighting: The Index will take a long, flat (zero weight) or short position of a commodity based on the current state of the markets.
Quantitative Risk Management: Position weighting and rebalancing is based on a measure of volatility. This approach to risk management lowers the volatility and improves the risk adjusted returns of the index.
Contract Roll Optimization: The Index roll strategy seeks to minimize the negative impacts, and maximize the positive impacts of contango and backwardation by selecting the contract with the highest expected roll return along the forward curve.
Auspice eBetaTM Enhanced Indices can be invested directly through a Auspice Managed Account or through third party mutual funds and ETFs that have licensed the indices. Auspice may act as a sub-advisor to these products or may act solely as the index provider.