September Auspice Managed Futures Index Commentary

Auspice Managed Futures Excess Return Index (AMFERI)

Market Review 

AMFERI declined 1.87% in September. Metals provided a sizable gain however this was not enough to make up the losses from the 4 other  sectors represented in the index. 

Index Review

The index is up 1.53% YTD. 

As seen in the next table, 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.

As a single strategy CTA index, this strategy provides the benefits of traditional CTA through trend following and agility along with the benefits of transparency and third party publishing, monitoring and benchmarking. The strategy now underlies ETFs, 40 act mutual funds and managed accounts providing a low cost means of allocating to Managed Futures without sacrificing performance.

Portfolio Recap:

In September, the index was up in 1 of 5 sectors. 


Natural Gas provided a small gain from the short side in September however Gasoline, Heating Oil and Crude resulted in losses on the long side.


The Metal sector was positive overall. Silver and Gold provided gains from the short side; however Copper rallied against the short weight providing a small loss.


Short Corn and long Cotton provided gains in the Ag sector. The long weight in Soybeans and short weights in Sugar and Wheat resulted in an overall loss for the sector.  

Interest Rates

The index was short 30 Year Bonds and 10 Year Notes resulting in a small loss.  


The index was weighted short the Aussie, Canadian Dollar and Dollar Index resulting in overall loss for the sector. Long weights in British Pound and the Euro provided small gains. The Yen weight was short however traded sideways.


Managed Futures remains in a challenging investment environment where much of the gains being made are in equities, a sector not covered by the index. However, the low cost transparent approach provides investors an opportunity not to miss potential performance and increase diversification.