The Auspice Broad Commodity Indices
The Auspice Broad Commodity Index
aims to capture upward trends in the commodity markets while minimizing risk
during downtrends. The index uses a quantitative methodology to track either
long or flat positions in a diversified portfolio of 12 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.
»Auspice Broad Commodity Total Return Index:Bloomberg Quote
»Auspice Broad Commodity Excess Return Index:Bloomberg Quote.
» Request the Methodology Document.
|Comparative Commodity Index Performance |
|Since January 2000 ||DBLCI OY TR ||DJ-UBS TR ||S&P GSCI TR ||ABCTRI |
| Annual Return ||10.1% ||7.1% ||4.6% ||15.9% |
|Volatility ||22.1% ||17.4% ||25.1% ||11.4% |
|Sharpe Ratio ||0.41 ||0.35 ||0.14 ||1.31 |
|Correlations to ABCTRI/Sector Risk |
| || || |
|MARKETS TRADED |
- Crude Oil
- Natural Gas
- Heating Oil
The performance of Auspice Broad Commodity Indices prior to 9/30/2010 are hypothetical. All performance data for all indices assumes the reinvestment of all distributions. To the extent information for these indices for the period prior to its initial calculation date is made available, any such information will be back-tested (i.e., calculations of how the indices might have performed during that time period if the indices had existed). Any comparisons, assertions and conclusions regarding the performance of the indices during the time period prior to the initial calculation date will be based on back-testing. Back-tested performance information is purely hypothetical and is provided solely for informational purposes. Back-tested performance does not represent actual performance, and should not be interpreted as an indication of actual performance. Past performance is also not indicative of future results. Indices performance are not the same as fund performance as it does not reflect management and other fees. Commodity futures trading may be illiquid. In addition, suspensions or disruptions of market trading in the commodities markets and related futures markets may adversely affect the values of the indices. For a complete list of risk associated with the indices, please read the prospectus before investing.