The Auspice Managed Futures Index aims to capture upward and downward trends in the commodity and financial markets while carefully managing risk. The index uses a quantitative methodology to track either long or short positions in a diversified portfolio of 21 exchange traded futures, which cover the energy, metal, agricultural, interest rate, and currency sectors. The index incorporate dynamic risk management and contract rolling methods. The index is available in total return (collateralized) and excess (non-collateralized) return versions.
» Auspice Managed Futures Excess Return Index: Bloomberg Quote.
» Download the Auspice Managed Futures Index Fact Sheet.
» Download the Auspice Indices values and monthly performance.
» Request the Auspice Managed Futures Index Methodology Document.