Auspice Managed Futures Excess Return Index (AMFERI)
Market Review
Gains were made in most sectors covered by the strategy in 2013 including Metals, Ags and Currencies. During December, the same occurred with the exception of a small loss in Ags.
The year was dominated by a narrow set of market movements. Many other sectors lacked pervasive trend although Metals and Ags were generally lower and the index captured these trends from the short side.
It appears that global central bank participation is changing, QE into tapering, and interest rates started to shift from falling to rising. This may hold opportunity for trends not only in Rates but in other market sectors beyond Equity, including Commodities.
Index Review
AMFERI gained 1.82% in 2013 (See Table 1) while correcting slightly in December, down 0.31%.
Table 2 the long term performance of AMFERI versus both investable and non-investable managed futures indices has been exceptional. Since the launch of the index in December 2010, AMFERI continues outperform on both an absolute and risk-adjusted basis.