Investors are searching for more efficient means of accessing alternative investments.
The Auspice Indices are designed to meet the needs of investors that are looking to participate in liquid alternatives through a disciplined approach without sacrificing performance, diversification, and transparency. We believe the Auspice Indices encompass everything from alpha to beta, across a return continuum. The indices blend elements of active management and indexing into a transparent, published, single strategy rules-based approach.
These unique features provide superior risk adjusted performance.
Rules-based Weighting: The Index will take a long, flat (zero weight) or short position of a component 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.
The Indices can be invested directly through a managed account or through our partner firms.
Auspice Managed Futures Index
The Auspice Managed Futures Index aims to capture upward and downward trends in the commodity and financial markets while carefully managing risk.
The strategy focuses on Momentum and Term Structure strategies and uses a quantitative methodology to track either long or short positions in a diversified portfolio of exchange traded futures, which cover the energy, metal, agricultural, interest rate, and currency sectors. The index incorporates dynamic risk management and contract rolling methods. The index is available in total return (collateralized) and excess (non-collateralized) return versions.
The Auspice Managed Futures Index is available via:
- Indexes: we publish our eBetaTM Indices 3rd party via NYSE
- Separately Managed Accounts
| PERFORMANCE TABLE (Excess Return) | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| YEAR | JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | RETURN |
| 2016 | 0.57% | 2.67% | -2.25% | -0.07% | -0.51% | 2.29% | 2.65% | ||||||
| 2015 | 1.11% | -4.22% | 1.89% | -2.14% | -0.04% | -4.59% | -3.79% | -2.78% | 1.40% | -1.92% | 5.85% | 2.26% | -7.26% |
| 2014 | -1.67% | -0.86% | -3.50% | 1.47% | -3.97% | 1.38% | 0.96% | 0.38% | 9.45% | 1.26% | 6.70% | 4.64% | 16.55% |
| 2013 | 0.08% | 0.55% | 1.01% | 2.27% | 0.55% | 3.09% | -3.05% | -0.96% | -1.87% | -0.86% | 1.47% | -0.31% | 1.82% |
| 2012 | -2.20% | 0.46% | 0.40% | 1.21% | -1.48% | -0.41% | 3.11% | -4.44% | -0.22% | -3.16% | 0.60% | -1.38% | -7.45% |
| 2011 | 2.23% | 4.62% | 0.54% | 5.20% | -4.05% | -2.00% | 2.91% | 0.98% | 1.08% | -7.07% | 3.85% | 0.60% | 8.48% |
| 2010 | 0.31% | 2.47% | 1.50% | 2.09% | -1.55% | 1.14% | -3.74% | 4.92% | 4.81% | 6.42% | -3.14% | 7.91% | 24.87% |
| 2009 | 0.41% | -0.14% | -1.02% | -2.52% | 2.51% | -4.43% | 2.46% | 2.86% | 1.70% | 1.52% | 4.97% | -5.03% | 2.80% |
| 2008 | 6.80% | 9.39% | -2.14% | 1.42% | 2.58% | 2.12% | -5.75% | -2.49% | 4.42% | 16.05% | 4.92% | 0.50% | 42.65% |
| 2007 | 0.75% | -1.02% | -0.45% | 1.90% | 2.05% | 2.94% | -0.82% | -3.48% | 5.56% | 5.18% | 0.12% | 3.19% | 16.68% |
| 2006 | 2.34% | 3.43% | 2.02% | 3.61% | 2.71% | -3.20% | -0.30% | 0.09% | 3.24% | 0.62% | 0.25% | 0.41% | 16.06% |
| 2005 | -2.46% | 2.45% | -1.94% | -3.78% | -2.36% | 1.70% | -2.48% | 4.80% | 1.03% | -2.03% | 5.04% | 0.90% | 0.35% |
| 2004 | 0.76% | 5.16% | 1.70% | -7.67% | -4.21% | 0.12% | 3.53% | -5.24% | 4.32% | 2.20% | 3.33% | -1.56% | 1.52% |
| 2003 | 5.61% | 2.95% | -5.34% | 0.93% | 5.66% | -2.64% | -4.26% | -0.92% | 2.93% | 7.09% | 2.28% | 5.80% | 20.92% |
| 2002 | 0.65% | -1.93% | -1.81% | -1.12% | 2.66% | 5.99% | -0.72% | 3.94% | 2.96% | -1.54% | -2.51% | 6.40% | 13.15% |
| 2001 | 0.50% | 3.90% | 3.87% | -2.30% | -1.13% | -0.53% | -0.65% | -1.01% | 3.72% | 2.35% | -5.23% | 2.00% | 5.18% |
| 2000 | 1.43% | 1.78% | -3.61% | 1.19% | 6.54% | 0.03% | 2.32% | 4.74% | 1.85% | 3.01% | 2.27% | -1.81% | 21.17% |
*Grey area represents index data simulated prior to third party publishing as calculated by the NYSE
DISCLAIMER
The performance of Auspice Managed Futures Index prior to 11/17/2010 is simulated and hypothetical as published by the NYSE. All performance data for all indices assumes the reinvestment of all distributions. To the extent information for the index for the period prior to its initial calculation date is made available, any such information will be simulated (i.e., calculations of how the index might have performed during that time period if the index had existed). Any comparisons, assertions and conclusions regarding the performance of the index during the time period prior to the initial calculation date will be based on back-testing.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
The index does not have commissions, management/incentive fees, or operating expenses.
Auspice Broad Commodity Index
The Auspice Broad Commodity Index aims to capture upward trends in the commodity markets while minimizing risk during downtrends.
At Auspice we recognize the diversification benefit of adding commodity exposure in a portfolio. We also recognize the challenge given the volatility and lack of traditional advisor experience in the sector. We apply quantitative algorithmic strategies to tactically participate and extract value within a disciplined risk-reward framework.
The index is a tactical long strategy that focuses on Momentum and Term Structure to track either long or flat positions in a diversified portfolio of commodity futures which cover the energy, metal, and agricultural sectors. The index incorporates dynamic risk management and contract rolling methods. The index is available in total return (collateralized) and excess return (non-collateralized) versions.
The Auspice Broad Commodity Index is available via:
Indexes: we publish our Indices 3rd party via NYSE
ETFs: through partner firms:
Managed Accounts ($20mm minimum)
Source: Bloomberg L.P., as at August 31, 2022. The performance of Auspice Broad Commodity Index prior to 9/30/2010 is simulated and hypothetical as published by the NYSE. See below for important information
| PERFORMANCE TABLE (Excess Return) | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| YEAR | JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | RETURN |
| 2016 | -0.69% | 1.01% | 0.92% | 4.00% | 0.00% | 2.64% | 8.06% | ||||||
| 2015 | -2.13% | -0.18% | -1.64% | 0.99% | -1.78% | -0.08% | -7.77% | -1.59% | -0.27% | -0.01% | 0.13% | 0.29% | -13.45% |
| 2014 | -2.41% | 2.68% | -1.23% | 1.27% | -3.79% | 1.03% | -3.57% | -0.96% | -1.64% | 0.00% | 0.00% | -0.54% | -8.97% |
| 2013 | 2.45% | -2.32% | 0.87% | -1.42% | -0.55% | -0.27% | -0.11% | 1.03% | -2.26% | -1.57% | 0.56% | 0.39% | -3.27% |
| 2012 | 0.90% | 2.28% | 0.09% | -0.38% | -6.43% | 2.24% | 5.41% | -0.37% | 0.82% | -3.79% | 0.64% | -1.92% | -1.02% |
| 2011 | 2.44% | 4.23% | 1.96% | 4.32% | -5.11% | -2.84% | 2.88% | 0.73% | -6.28% | 0.59% | -0.46% | -1.25% | 0.54% |
| 2010 | -3.81% | 2.61% | 0.53% | 1.87% | -5.57% | -0.40% | 1.03% | 2.64% | 6.99% | 7.35% | 1.02% | 9.66% | 25.43% |
| 2009 | 0.00% | -0.66% | -0.24% | 0.01% | 5.78% | -5.49% | 2.20% | 2.80% | 0.39% | 2.52% | 4.00% | -0.66% | 10.69% |
| 2008 | 5.89% | 10.60% | -5.20% | 3.98% | 4.05% | 6.96% | -7.48% | -4.78% | -1.31% | 0.00% | 0.00% | 0.00% | 11.71% |
| 2007 | 0.90% | 2.39% | -1.25% | 0.33% | 0.13% | 2.44% | 1.74% | -0.83% | 7.48% | 4.05% | -2.42% | 6.42% | 23.04% |
| 2006 | 5.59% | -0.45% | 2.39% | 6.87% | 1.40% | -2.41% | 0.07% | -2.92% | -0.44% | 2.39% | 2.74% | -0.23% | 15.54% |
| 2005 | 0.40% | 4.37% | 0.75% | -3.87% | -2.18% | 2.07% | 1.75% | 5.95% | 3.24% | -4.19% | 2.93% | 5.32% | 17.16% |
| 2004 | 2.18% | 6.32% | 3.54% | -3.42% | -0.70% | -1.49% | 3.30% | -1.53% | 3.98% | 0.57% | 0.77% | -4.43% | 8.87% |
| 2003 | 6.32% | 2.27% | -7.68% | -1.86% | 2.82% | -2.92% | 1.80% | 2.04% | 0.32% | 6.34% | 0.16% | 5.95% | 15.63% |
| 2002 | -0.62% | -0.17% | 2.53% | -0.50% | 0.61% | 1.42% | -0.78% | 3.42% | 2.43% | -0.20% | -1.02% | 4.31% | 11.85% |
| 2001 | -1.78% | -0.07% | -1.33% | 2.07% | -2.34% | -2.22% | 0.48% | 0.77% | -1.53% | -1.11% | -0.33% | 0.21% | -7.04% |
| 2000 | 2.41% | 1.08% | -0.62% | -1.93% | 8.62% | 1.29% | -0.71% | 5.78% | -0.97% | -0.86% | 2.49% | -1.77% | 15.24% |
*Grey area represents index data simulated prior to third party publishing as calculated by the NYSE
Materials & Data
Monthly Commentary and Strategy Facts
Index Values & Monthly Performance Datasuite
Request Methodology Document
All performance data for all indices assumes the reinvestment of all distributions. To the extent information for the index for the period prior to its initial calculation date is made available, any such information will be simulated (i.e., calculations of how the index might have performed during that time period if the index had existed). Any comparisons, assertions and conclusions regarding the performance of the index during the time period prior to the initial calculation date will be based on back-testing. These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown. The index does not have commissions, management/incentive fees, or operating expenses.
DISCLAIMERS AND DEFINITIONS
The S&P Goldman Sachs Commodity Excess Return Index (S&P GSCI ER), is a composite index of commodity sector returns representing an unleveraged, long-only investment in commodity futures that is broadly diversified across the spectrum of commodities.
The Bloomberg Commodity (Excess Return) Index (BCOM ER), is a broadly diversified index that allows investors to track 19 commodity futures through a single, simple measure.
Volatility: Measures how much the price of a security, derivative, or index fluctuates. The most commonly used measure of volatility when it comes to investment funds is standard deviation.
Sharpe Ratio: A risk-adjusted return measure calculated by using standard deviation and excess return to determine reward per unit of risk. The higher the Sharpe Ratio, the better the portfolio's historical risk-adjusted performance.
Max Drawdown: Measures the peak-to-trough decline of an investment or, in other words, the difference between the highest and lowest price over a given timeframe.
Futures trading is speculative and is not suitable for all customers. Past results is not necessarily indicative of future results. This is for information purposes only and should not be construed as an offer, recommendation or solicitation to conclude a transaction and should not be treated as giving investment advice. Auspice Capital Advisors Ltd. makes no representation or warranty relating to any information herein, which is derived from independent sources. No securities regulatory authority has expressed an opinion about the securities offered herein and it is an offence to claim otherwise.