Auspice Broad Commodity Excess Return Index (ABCERI)
The ABCERI gained 0.39% in December largely due to the late year rally in the Energy sector. Commodities remain a challenging asset class experiencing general choppy movements. Overall, the general trend was lower across most commodity sectors which resulted in the index preserving capital due to its tactical long/flat strategy.
While the ABCERI was off 3.27% in 2013, the index continues to perform strongly versus its peers (see Table 1).
ABCERI now has over 3 years of live track record and continues to perform well during this difficult time for commodities. The index has produced better absolute returns and risk-adjusted returns than its peers while minimizing drawdowns.Table 2 highlights the strategy’s ability to limit the downside while table 3 highlights the index ability to capture the upside.