Auspice Diversified Program: Overview

The Diversified Program is a systematic managed futures strategy that trades exchange traded futures in 7 market sectors. The program targets annualized returns of 10-15% with an annualized standard deviation of 15%. 

The objective is to produce absolute returns that are non-correlated to equity and bond investments thus providing excellent diversification benefits for traditional investment portfolios. The portfolio is diversified across global commodity and financial futures and invests only in liquid exchange traded futures contracts. Initially, no more than 1/7 of the fund’s risk will be allocated to any single sector ensuring broad portfolio diversification. The system is non-discretionary and aims to capitalize in both upward and downward trends.

The strategy derives superior returns by adapting organically to changes in volatility and risk resulting in a greater efficiency in capturing the trends in each individual market traded. The strategy has a very low margin to equity ratio (average <7%) resulting in an efficient and scalable CTA exposure.

Rigorous drawdown and scenario analysis is conducted to ensure the robustness of the strategy and to provide clarity to the probable and possible return and risk scenarios. 

The Auspice Diversified Program is available as a Unit Trust, Limited Partnership or via Managed Account.

INVESTMENT
DETAILS
  • Managed Account Minimum: $1MM
  • Auspice Diversified Trust: $5K
  • Auspice Managed Futures LP: $100K
STRATEGY
  • Trend Capture: Auspice takes the Trend Folowing concept to the next level and uses its experience in volatile commodities to capture trends as the volatility and risk-reward of a trade changes.
  • Edge: Ability to interpret current risk of commodities and extract gains.
METRICS
  • 44.3% return in 2008.
  • 12.5% return in 2010.
  • 9.6 % return 4-year annualized.
  • Avg. 6.2% margin/equity. Very little capital risked.
  • 13.5% volatility.
  • Round turns per million < 400.
  • (Stats Ending Dec. 2011.)
RESULTS
  • Morningstar 2011 Silver Medal for "Best Opportunistic Hedge Fund."
  • Globefund
    Second highest performing alternative strategy for 2008 at 44.3% in Canada.
    Top 15 best alternative strategy 3 year annualized performance ending June 2011.
  • Canadian HedgeWatch
    Top CTA/Managed Futures for 2008
MARKETS
TRADED
  • Interest Rates
    30 yr. Bond, 10 yr. Note, 5 yr. Note, Eurodollar
  • Currencies
    Swiss Franc, British Pound, Japanese Yen, Canadian Dollar, Euro, Dollar index, Aussie Dollar.
  • Indices
    NASDAQ, Russell 2000, CAC40, Hang Sang, Nikkei 225, S&P 500.
  • Energies
        Gasoline, Crude, Natural
        Gas, Heating Oil.
  • Grains
        Soybeans, Wheat, Corn.
  • Metals
        Copper, Gold, Palladium
  • Soft Commodities
        Coffee, Cotton, Orange
        Juice.

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    Auspice Diversified Program