March 2013 Auspice Managed Futures Index Commentary

Auspice Managed Futures Excess Return Index (AMFERI)

Market Review 

The AMFERI was positive in March while the markets remain dominated by the equity asset class and its sustained move higher. The month March was generally good for trend following and managed futures strategies. As in recent months where the bulk of opportunity came from the equity markets, an area not included in this index, the index continued to find value in less obvious places – predominantly tactical long and shorts in commodities. This agility is a central feature of the strategy and its intention to provide non-correlation to equity biased portfolios.

As seen in the next table, the performance of AMFERI versus both investable and non-investable managed futures indices has been good. Since the launch of the index in December 2010, AMFERI continues outperform on both an absolute and risk-adjusted basis.

After softening in 2012, the strategy has started to make gains again. Pullbacks happen within all strategies; however with managed futures such drawdowns can be an opportune time for investors. Investors should consider the drawdown history of their preferred strategy and gain expectations for potential payoff on recovery and extension.

For those interested in a copy of an analysis of the drawdown and recovery periods for AMFERI, please contact Auspice. See synopsis to the right.


Managed Futures is typically a difficult strategy to time because of the non-correlated performance that results from the widespread diversification of market sectors covered. One of the best ways to consider an entry point is through an understanding of drawdowns over time. Pullbacks occur in every strategy, however given transparency of the returns, it is intuitive to analyze the character of the pullbacks and subsequent gains with managed futures. These pullbacks generally represent an opportunity from which trends develop and extend. Furthermore, the time to make new gains is often quicker than the length of the pullback (peak to valley).

Please contact us at for the complete analysis.

Index Review  

The AMFERI was up 1.01% in March with a quiet month in terms of position changes after a number were made in February. The index was up 1.65% in Q1 (table below), outperforming the investable CTA indices highlighted in the table.

Portfolio Recap: 

In March the index was up in 3 of the 5 sectors. The strongest sector was Ags. The top performing components within the index were shorts in Corn, Wheat, Soybeans, and Sugar in addition to a long weight in Cotton. Outside of Ags, long Gasoline was also a strong performer. The most challenging sector was Energies as an aggressive correction higher occurred after the opposite situation in February. Minor gains were also made in the Currency and Metals sectors. The index is currently positioned short in 9 of 12 commodity markets, holding positions since the end of February. The index is also tilted short in the financial markets with 6 of the 9 components holding a short weight. Within Financials, Currencies have a balanced short and long (3 and 3). Interest rates components remain all short.


The petroleum weights remain the same - long Gasoline and Heating Oil while short Crude Oil and Natural Gas. Unfortunately the long weights did not offset the shorts on the month as Crude and Natural Gas price gains outperformed the long weightings.

Energy has traded strongly higher and lower in the first quarter and March saw a bit of normalization to this behavior. While the index remains short WTI Crude Oil, some of the sector movement higher which was captured by positions in Heating Oil and specifically Gasoline. The sector is currently short Natural Gas which remains on the upper end of a price channel since April 2012.


The Metals sector is short and benefitted from the significant weakness in Copper and to a lesser degree Silver. Gold was modestly higher offsetting the Copper short for a small sector gain. It is curious that despite the equity market strength and the chatter around economic fundamentals, the reality is the Copper trend remains down.  


The Ag sector was the star of the month and highlights the tactical nature of the strategy even within a simingly correlated sector like Ag. Gains were made primarily on the back of short weights (Grains and Sugar) and adding to a solid gain from the lone long position in Cotton which bucked the sector trend and rallied significantly higher.

Interest Rates

The index is now tilted to take advantage of higher interest rates (short bonds). There was a small loss from this sector as prices rose during the month.


Currencies made modest sector gains in March. Position weights have not changed since February and thus make the Currency sector evenly balanced long and short. Gains were primarily made on the long side in Aussie dollar and US Dollar Index as those markets moved higher. However, small gains were also made short the Japanese Yen and British Pound. The index remains long the Euro and short the Canadian dollar at this time.


The AMFERI was up in Q1 alongside the equity market despite a lack of equity exposure in the portfolio. Consider this fact as one looks for opportunities to reduce risk given the traditional markets have performed well in the last couple of years.

While we don’t know the direction of the traditional equity and fixed income markets, what investors need is an insurance policy that will pay off at times when the inevitable pullbacks occur. In our opinion, AMFERI is better than insurance in that it also has a good chance of making money when you need it the most and at least not losing much, at other times. Overall, your total portfolio has less risk and more chance of making money over the long term by adding a non correlated investment. You wouldn't drive a car without insurance and you shouldn't invest without it either.

Strategy and Index  

The Auspice Managed Futures Index aims to capture upward and downward trends in the commodity and financial markets while carefully managing risk. The index will use a quantitative methodology to track either long or short positions in a diversified portfolio of 21 exchange traded futures which cover the energy, metal, agricultural, interest rate, and currency sectors. The index incorporates dynamic risk management and contract rolling methods. The index is available as either a total return index (includes a collateral return) or as an excess return index (no collateral return). 

About the Index Provider  

Auspice is an innovative asset manager that specializes in applying formalized investment strategies across a broad range of commodity and financial markets. Auspice’s portfolio managers are seasoned institutional commodity traders. Their experience, trading one of the most volatile asset classes, forms the backbone of their strategy for generating profits while preserving capital and dynamically managing risk.  Auspice Capital Advisors Ltd. is a registered Portfolio Manager / Investment Counsel / Exempt Market Dealer in Canada and a registered Commodity Trading Advisor (CTA) and National Futures Association (NFA) member in the US.

Auspice’s core expertise is managing risk and designing and executing systematic trading strategies. Auspice uses its diverse trading and risk management experience to manage 4 diverse product lines. and has been described as a “next generation CTA”, offering strategies in active managed futures (CTA), passive ETFs, enhanced indices and custom commodity strategies.