Auspice Managed Futures Excess Return Index (AMFERI)
June was an interesting month. If we look beyond equities we saw volatility pick up. While volatility remains low overall (specifically in Equities and Interest Rates) Currencies and Commodities experienced higher volatility during the month. When presented with real price movement), the strategy has done well.
To repeat our sentiments: we believe this environment could be deceiving. Historically, prolonged periods of non-volatility are followed by violent market activity. Is this non-volatile environment the proverbial calm before the storm?