Auspice Managed Futures Excess Return Index (AMFERI)
July was anything but a quiet month. The volatility we saw pick up in Currencies and Commodities in June moved into Equities. The month ended with a violent sell-off in equities that wiped out the gains for the year of the Dow Jones Industrial Average. It is noteworthy in light of the market being solely focused on equities for three plus years now.
The strategy does not participate in the Equity sector. As such it was insulated from this price correction and was able to perform in other sectors for a positive result during a challenging month. When presented with real price movement and persistent volatility, the strategy has done well. July marked a positive month in the face of a challenging market where investor sentiment is starting to show signs of changing.The AMFERI gained 0.96% in July.