Auspice Managed Futures Excess Return Index (AMFERI)
Fall began with increased volatility across financial and commodity sectors. While this is consistent with the opportunities we have seen since late May, the trends and ability to participate in them greatly improved. While the Equity markets slid lower, movements in currencies and commodities became significant and beneficial. This is the environment that the strategy has patiently waited for and has illustrated the benefit of non-correlated diversification at a critical time.