Broad Commodity

July Auspice Broad Commodity Index Commentary

Auspice Broad Commodity Excess Return Index (ABCERI)

Market Review

After commodities generally moved lower in the first half of 2013, July provided a correction higher in a number of markets. Commodities were generally stronger on the month led by Energy and Metals while Ags continued to be weak. However, even within sectors, remaining agile and tactical was important as individual markets like Natural Gas (lower) and Cotton (higher) bucked their sector trends. While the index softened slightly on the month, it continues to show the ability to protect the downside. Tactical position shifts are made based on individual component merit as opposed to sector generalities which continues to lead to better performance over tradition long commodity index approaches.

Index Review

The ABCERI lost 0.11% in July to be off only 1.42% in 2013 despite significant commodity pressure. The index continues to outperform (see table below) most of the comparable indices on the year. The strategy continues to hold 3 components or 25% of the possible basket.

Since the start of publication in 2010 and calculation by the NYSE, the index has outperformed its peers significantly in absolute return and risk adjusted measures. The following table highlights the strategies ability to capture the upside while limiting the downside.

The ABCERI does not attempt to simply track the broad commodity markets or predict their direction, but rather aims to capture upward price trends from those commodities that are making sustained moves higher while protecting capital on those that are making sustained moves lower.

Portfolio Recap:

In July, the ABCERI made gains in 1 of the 3 broad sectors. The strategy made gains in Energy which was offset by the loss in Ags. There are no Metals holdings at this time.

Energy

By avoiding corrections against short trend positions, the Energy sector managed to make gains in July.

The energy markets continued to correct against the established trends with a sharp and quick move higher in Crude Oil, Heating Oil and Gasoline. Natural Gas started the month higher as well before reversing sharply at month end to make new period lows. While the index does not have a weight in Gasoline or Heating Oil, the Crude move was substantial enough to change the trend and the index went long early in the month for a solid gain. Similarly but in the opposite direction, the Natural Gas market broke down at month end which resulted in an exit to be flat.

 

Metals

The index remains without a long weight in Metals although the component markets rallied in July. The rally was led by Gold with Silver and Copper showing much less conviction. No positions weight changes at this time.

Agriculture

The Ag sector was negative in July as overall Grains weakness pulled Soybeans lower. The index remains without positions in Corn, Wheat and Sugar all of which trended lower. The long position in Cotton provided gains and partially offset the correction in Soybeans.

Outlook

It is not the stated goal of Auspice, nor the ABCERI to predict future market direction, but rather participate in up-trends while minimizing risk during downtrends. It is the continued goal of the ABCERI index strategy to minimize the downside with low volatility and drawdown and remain a store of value until upside opportunity presents itself.

The long side of the index is represented by 3 of the 12 components and has 2 of the 3 broad sectors represented. With careful selection, the strategy has been able to take advantage of those commodities moving higher while avoiding excessive losses in the markets moving lower and remain a store of value despite significant sector weakness.We believe that the long term outlook for commodities has not changed and remains promising and the overall trend is up. However, given the path is not a straight line, a tactical and risk management oriented approach will be most effective. The price movements so far in 2013 are important reminders of the agility required for long term success and the best risk adjusted result. As such, strategies linked to the Auspice Broad Commodity Index, which have the benefit of disciplined risk adjusted participation, may continue to outperform the traditional (long only) commodity peer groups with better upside, lower downside and reduced volatility.

Strategy and Index

The Auspice Broad Commodity Index aims to capture upward trends in the commodity markets while minimizing risk during downtrends. The index, which is considered to be a “third generation commodity index”, considers both risk and reward.  The index uses a quantitative methodology to track either long or flat positions in a diversified portfolio of 12 commodity futures which cover the Energy, Metal, and Agricultural sectors.

Auspice Indices utilize dynamic risk management to produce superior risk adjusted performance in a variety of market environments. By dynamically managing the volatility of each commodity, Auspice ensures that no one commodity dominates the index thus maximizing the benefits of commodity diversification. Enhanced contract roll optimization further increases performance. On a risk adjusted basis, the Auspice Broad Commodity Total Return Index significantly outperforms its global peers.

The Broad Commodity index is available in Total and Excess Return versions. The cash return for the total return index will be calculated daily using the 3-month CDOR (Canadian Dealer Offered Rate). The CDOR is the average rate for Canadian bankers' acceptances for specific terms-to-maturity (one year or less), determined daily from a survey on bid-side rates provided by the principal market-makers, including the major Canadian banks.

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 Fund Manager/ 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.

June Auspice Broad Commodity Index Commentary

Auspice Broad Commodity Excess Return Index (ABCERI)

Market Review

Commodities continued to move lower to finish the first half of 2013 with only a few exceptions. While the index softened slightly on the month, it continues to show the ability to protect the downside and wait for an opportunity to capture gains when markets move in a sustained trend higher. Tactical position shifts are made based on individual component merit as opposed to sector generalities which continues to lead to better performance over tradition long commodity index approaches.

Index Review

The ABCERI lost 0.27% in June to be off only 1.32% in 2013 despite significant continued commodity pressure. The monthly loss was far less than the peer group and the index continues to outperform (see table below). The strategy had no position changes during the month, and continues to hold 3 components or 25% of the possible basket.

Since the start of publication in 2010 and calculation by the NYSE, the index has outperformed its peers significantly in absolute return and risk adjusted measures. The following table highlights the strategies ability to capture the upside while limiting the downside.

The ABCERI does not attempt to simply track the broad commodity markets or predict their direction, but rather aims to capture upward price trends from those commodities that are making sustained moves higher while protecting capital on those that are making sustained moves lower.

Independent Report
As outlined in a report published by ETF Securities (UK) entitled Global Commodity ETP Quarterly, the Auspice Broad Commodity index remains at the top of the global broad commodity index peer group with both the highest return and lowest volatility. Copies of the report can be obtained by contacting Auspice.

Portfolio Recap:

In June the ABCERI made gains in 1 of the 3 broad sectors. The strategy remains positioned long in Cotton for a gain in Ags sector while holding long positions in Natural Gas and Soybeans.

 
 

Energy

There were no position changes in energy as the petroleum weights remain flat (Gasoline, Heating Oil and Crude Oil) while long Natural Gas. Natural Gas moved sharply lower on the month against the position for a small negative sector performance.

The Energy sector remains choppy with an overall negative bias to trend in the petroleum components. 

Metals

The index remains without a long weight in Metals as the sector experienced weakness across the board in June. The metals sector was the weakest of the commodity sectors.

Agriculture

The Ag sector was positive despite overall weakness. The index remains without positions in Corn, Wheat and Sugar all of which trended lower. The long position in Cotton provided strong gains and offset the correction in Soybeans which was lower.

Outlook

It is not the stated goal of Auspice, nor the ABCERI to predict future market direction, but rather participate in up-trends while minimizing risk during downtrends. It is the continued goal of the ABCERI index strategy to minimize the downside with low volatility and drawdown and remain a store of value until upside opportunity presents itself.

The long side of the index is represented by 3 of the 12 components and has 2 of the 3 broad sectors represented. With careful selection, the strategy has been able to take advantage of those commodities moving higher while avoiding excessive losses in the markets moving lower and remain a store of value despite significant sector weakness.

We believe that the long term outlook for commodities has not changed and remains promising and the overall trend is up. However, given the path is not a straight line, a tactical and risk management oriented approach will be most effective. The price movements so far in 2013 are important reminders of the agility required for long term success and the best risk adjusted result. As such, strategies linked to the Auspice Broad Commodity Index, which have the benefit of disciplined risk adjusted participation, may continue to outperform the traditional (long only) commodity peer groups with better upside, lower downside and reduced volatility.

Strategy and Index

The Auspice Broad Commodity Index aims to capture upward trends in the commodity markets while minimizing risk during downtrends. The index, which is considered to be a “third generation commodity index”, considers both risk and reward.  The index uses a quantitative methodology to track either long or flat positions in a diversified portfolio of 12 commodity futures which cover the Energy, Metal, and Agricultural sectors.

Auspice Indices utilize dynamic risk management to produce superior risk adjusted performance in a variety of market environments. By dynamically managing the volatility of each commodity, Auspice ensures that no one commodity dominates the index thus maximizing the benefits of commodity diversification. Enhanced contract roll optimization further increases performance. On a risk adjusted basis, the Auspice Broad Commodity Total Return Index significantly outperforms its global peers.

The Broad Commodity index is available in Total and Excess Return versions. The cash return for the total return index will be calculated daily using the 3-month CDOR (Canadian Dealer Offered Rate). The CDOR is the average rate for Canadian bankers' acceptances for specific terms-to-maturity (one year or less), determined daily from a survey on bid-side rates provided by the principal market-makers, including the major Canadian banks.

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 Fund Manager/ 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.

May Auspice Broad Commodity Index Commentary

Auspice Broad Commodity Excess Return Index (ABCERI)

Market Review

Commodities continued lower in May with only a few exceptions. While slightly lower on the month the index continues to show the ability to protect  the downside and wait for an opportunity to capture gains when markets move in a sustained trend higher. Tactical position shifts are made based on individual component merit as opposed to sector generalities which continues to lead to better performance over tradition long commodity index approaches.

Index Review

The ABCERI lost 0.55% in May to be off only 1.05% in 2013 despite significant continued commodity pressure. The monthly loss was far less than the peer group and the index continues to outperform (see table below). The strategy had a single position change during the month, now holding 3 components or 25% of the possible basket long at this time.

Since the start of publication in 2010 and calculation by the NYSE, the index has outperformed its peers significantly in absolute return and risk adjusted measures. The following table highlights the strategies ability to capture the upside while limiting the downside.

 

The ABCERI does not attempt to simply track the broad commodity markets or predict their direction, but rather aims to capture upward price trends from those commodities that are making sustained moves higher while protecting capital on those that are making sustained moves lower.

Portfolio Recap:

In May the ABCERI did not make gains in any of the 3 broad sectors. The strategy remains positioned long in Cotton and Natural Gas and added a new long position in Soybeans during the month.

Energy

There were no position changes in energy as the petroleum weights remain flat (Gasoline, Heating Oil and Crude Oil) while long Natural Gas. Natural Gas moved lower on the month against the position for a small negative sector performance.

The Energy sector remains choppy with an overall negative bias to trend in the petroleum components. 

Metals

The index remains without a long weight in Metals as much of the sector was lower in May. The sector sell-off was led by Gold and Silver while Copper was modestly higher on the month.

Agriculture

The bulk of the Ag sector loss came from long Cotton which moved significantly lower and will be one to watch closely. A new long position in Soybeans was added and profitable. While Corn rallied modestly, Sugar continued its long term deterioration and without a weighting along with Wheat and Corn.

Outlook

It is not the stated goal of Auspice, nor the ABCERI to predict future market direction, but rather participate in up-trends while minimizing risk during downtrends. It is the continued goal of the ABCERI index strategy to minimize the downside with low volatility and drawdown and remain a store of value until upside opportunity presents itself.

The long side of the index is represented by 3 of the 12 components and has 2 of the 3 broad sectors represented. With careful selection, the strategy has been able to take advantage of those commodities moving higher while avoiding excessive losses in the markets moving lower and remain a store of value.

We believe that the long term outlook for commodities remains promising and the overall trend is up. However, given the path is not a straight line, a tactical and risk management oriented approach will be most effective. The price movements so far in 2013 are important reminders of the agility required for long term success and the best risk adjusted result. As such, strategies linked to the Auspice Broad Commodity Index, which have the benefit of disciplined risk adjusted participation, may continue to outperform the traditional (long only) commodity peer groups with better upside, lower downside and reduced volatility.

Strategy and Index

The Auspice Broad Commodity Index aims to capture upward trends in the commodity markets while minimizing risk during downtrends. The index, which is considered to be a “third generation commodity index”, considers both risk and reward.  The index uses a quantitative methodology to track either long or flat positions in a diversified portfolio of 12 commodity futures which cover the Energy, Metal, and Agricultural sectors.

Auspice Indices utilize dynamic risk management to produce superior risk adjusted performance in a variety of market environments. By dynamically managing the volatility of each commodity, Auspice ensures that no one commodity dominates the index thus maximizing the benefits of commodity diversification. Enhanced contract roll optimization further increases performance. On a risk adjusted basis, the Auspice Broad Commodity Total Return Index significantly outperforms its global peers.

The Broad Commodity index is available in Total and Excess Return versions. The cash return for the total return index will be calculated daily using the 3-month CDOR (Canadian Dealer Offered Rate). The CDOR is the average rate for Canadian bankers' acceptances for specific terms-to-maturity (one year or less), determined daily from a survey on bid-side rates provided by the principal market-makers, including the major Canadian banks.

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 Fund Manager/ 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.

April 2013 Auspice Broad Commodity Index Commentary

Auspice Broad Commodity Excess Return Index (ABCERI)

Market Review

Commodities were generally lower in April and have remained volatile. The index continues to show the ability to protect on the downside and wait for an opportunity to recover when markets move in a sustained trend higher.

Index Review

The ABCERI lost 1.42% in April to be off a mere 0.49% in 2013 despite continued commodity pressure. The monthly loss was far less than the peer group and the index continues to outperform. (see table below). The strategy had a few position changes during the month, holding only 2 components or 17% of the basket long at this time.

Since the start of publication in 2010 and calculation by the NYSE, the index has outperformed its peers significantly in absolute return and risk adjusted measures. The following table highlights the strategies ability to capture the upside while limiting the downside.

 

The ABCERI does not attempt to simply track the broad commodity markets or predict their direction, but rather aims to capture upward price trends from those commodities that are making sustained moves higher.

Portfolio Recap:

In April the ABCERI did not make gains in any of the 3 broad sectors. The strategy remains positioned long in Cotton and has added Natural Gas while exiting long positions in Heating Oil and Gasoline. Within the 2 markets held, Natural Gas made gains but were offset by the corrections in the other markets.

Energy

The petroleum weights are now all flat after exiting Gasoline and Heating Oil to add to the zero Crude Oil weight.  However, the index has moved Natural Gas to a long position for only the second time in 5 years as it has begun to break out higher.

The Energy sector remains choppy with an overall negative bias to trend in the petroleum components.

Metals

The index remains without a long weight in Metals after it exited long positions in Gold and Silver in February. The entire sector was sharply lower in April providing the most significant commodity volatility in the asset class.

Agriculture

After selling off, Ags generally moved higher on the month. While some of the Grains moved up, led by Soybeans and Wheat, Corn continued lower. Sugar also continued to drift lower. Cotton remains the lone long position in the sector but was pushed lower for a loss.

Outlook

It is not the stated goal of Auspice, nor the ABCERI to predict future market direction, but rather participate in up-trends while minimizing risk during downtrends. It is the continued goal of the ABCERI index strategy to minimize the downside with low volatility and drawdown and remain a store of value until upside opportunity presents itself.

The long side of the index is represented by 2 of the 12 components and has 2 of the 3 broad sectors represented. With careful selection, the strategy has been able to take advantage of those commodities moving higher while avoiding excessive losses in the broader commodity markets moving lower and remain a store of value.

We believe that the long term outlook for commodities remains promising and the overall trend is up. However, given the path is not a straight line, a tactical and risk management oriented approach will be most effective. The price movements so far in 2013 are important reminders of the agility required for long term success and the best risk adjusted result. As such, strategies linked to the Auspice Broad Commodity Index, which have the benefit of disciplined risk adjusted participation, may continue to outperform the traditional (long only) commodity peer groups with better upside, lower downside and reduced volatility.

Strategy and Index

The Auspice Broad Commodity Index aims to capture upward trends in the commodity markets while minimizing risk during downtrends. The index, which is considered to be a “third generation commodity index”, considers both risk and reward. The index uses a quantitative methodology to track either long or flat positions in a diversified portfolio of 12 commodity futures which cover the Energy, Metal, and Agricultural sectors.
Auspice Indices utilize dynamic risk management to produce superior risk adjusted performance in a variety of market environments. By dynamically managing the volatility of each commodity, Auspice ensures that no one commodity dominates the index thus maximizing the benefits of commodity diversification. Enhanced contract roll optimization further increases performance. On a risk adjusted basis, the Auspice Broad Commodity Total Return Index significantly outperforms its global peers.

The Broad Commodity index is available in Total and Excess Return versions. The cash return for the total return index will be calculated daily using the 3-month CDOR (Canadian Dealer Offered Rate). The CDOR is the average rate for Canadian bankers' acceptances for specific terms-to-maturity (one year or less), determined daily from a survey on bid-side rates provided by the principal market-makers, including the major Canadian banks.

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.

March 2013 Auspice Broad Commodity Index Commentary

Auspice Broad Commodity Excess Return Index (ABCERI)

Market Review

Commodities ended off the quarter higher after starting off choppy and volatile. While volatility has come back to some degree, the index was positive in March for a net gain. The month again highlighted the agile and tactical nature of the index in participating in those commodities with sustained trends higher. While most of the classic equity markets are dominating the asset flows and have remained strong, commodities have most recently appeared to be acting in a non-correlated fashion.

Index Review

The ABCERI gained 0.87% in March after holding on to a small gain of 0.07% at the end of February. The monthly gain exceeded much of the peer group and performed better than all on the quarter. (see table below). The strategy did not change components during the month, holding 25% of the components long.

 

Since the start of publication in 2010 and calculation by the NYSE, the index has outperformed its peers significantly in absolute return and risk adjusted measures. The following table highlights the strategies ability to capture the upside while limiting the downside.

As outlined in a report published by ETF Securities (UK) entitled Global Commodity ETP Quarterly, the Auspice Broad Commodity index remains at the top of the global broad commodity index peer group with both the highest return and lowest volatility. Copies of the report can be obtained by contacting Auspice.

INDEPENDENT REPORT

Portfolio Recap:

In March the ABCERI made gains in 2 of the 3 sectors including Ags and Energy. The strategy is currently positioned long in only 3 of the 12 commodities.

Energy

The petroleum weights remain the same - long Gasoline and Heating Oil while flat Crude Oil and Natural Gas. 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 flat WTI Crude Oil, some of the sector movement higher was captured by Heating Oil and specifically Gasoline. The sector is currently flat Natural Gas which remains on the upper end of a price channel since April 2012.

Metals

The index is without a long weight in Metals after it exited long positions in Gold and Silver in February. During March, Gold traded modestly higher while Copper and Silver moved sharply lower and thus beneficial to avoid.

Agriculture

While much of the Ag sector moved lower in March, the sole long position in Cotton was very profitable. Both the Grains and Sugar markets dropped sharply at month end to the index’s benefit.

Outlook

It is not the stated goal of Auspice, nor the ABCERI to predict future market direction, but rather participate in up-trends while minimizing risk during downtrends. It is the continued goal of the ABCERI index strategy to minimize the downside with low volatility and drawdown and remain a store of value until upside opportunity presents itself.

The long side of the index remains represented by 3 of the 12 components and has 2 of the 3 broad sectors represented. With careful selection, the strategy has been able to take advantage of those commodities moving higher while avoiding excessive losses in the broader commodity markets moving lower.

We believe that the long term outlook for commodities remains promising and the overall trend is up. However, given the path is not a straight line, a tactical and risk management oriented approach will be most effective. Months such as March are important reminders of the agility required for long term success and the best risk adjusted result. As such, strategies linked to the Auspice Broad Commodity Index, which have the benefit of disciplined risk adjusted participation, may continue to outperform the traditional (long only) commodity peer groups with better upside, lower downside and reduced volatility.

Strategy and Index

The Auspice Broad Commodity Index aims to capture upward trends in the commodity markets while minimizing risk during downtrends. The index, which is considered to be a “third generation commodity index”, considers both risk and reward. The index uses a quantitative methodology to track either long or flat positions in a diversified portfolio of 12 commodity futures which cover the Energy, Metal, and Agricultural sectors.
Auspice Indices utilize dynamic risk management to produce superior risk adjusted performance in a variety of market environments. By dynamically managing the volatility of each commodity, Auspice ensures that no one commodity dominates the index thus maximizing the benefits of commodity diversification. Enhanced contract roll optimization further increases performance. On a risk adjusted basis, the Auspice Broad Commodity Total Return Index significantly outperforms its global peers.

The Broad Commodity index is available in Total and Excess Return versions. The cash return for the total return index will be calculated daily using the 3-month CDOR (Canadian Dealer Offered Rate). The CDOR is the average rate for Canadian bankers' acceptances for specific terms-to-maturity (one year or less), determined daily from a survey on bid-side rates provided by the principal market-makers, including the major Canadian banks.

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.

Commodities ended off the quarter higher after starting off choppy and volatile. While volatility has come back to some degree, the index was positive in March for a net gain. The month again highlighted the agile and tactical nature of the index in participating in those commodities with sustained trends higher. While most of the classic equity markets are dominating the asset flows and have remained strong, commodities have most recently appeared to be acting in a non-correlated fashion.

Index Review

The ABCERI gained 0.87% in March after holding on to a small gain of 0.07% at the end of February. The monthly gain exceeded much of the peer group and performed better than all on the quarter. (see table below). The strategy did not change components during the month, holding 25% of the components long.


Since the start of publication in 2010 and calculation by the NYSE, the index has outperformed its peers significantly in absolute return and risk adjusted measures. The following table highlights the strategies ability to capture the upside while limiting the downside.


As outlined in a report published by ETF Securities (UK) entitled Global Commodity ETP Quarterly, the Auspice Broad Commodity index remains at the top of the global broad commodity index peer group with both the highest return and lowest volatility. Copies of the report can be obtained by contacting Auspice.

INDEPENDENT REPORT

Portfolio Recap:

In March the ABCERI made gains in 2 of the 3 sectors including Ags and Energy. The strategy is currently positioned long in only 3 of the 12 commodities.

Energy


The petroleum weights remain the same - long Gasoline and Heating Oil while flat Crude Oil and Natural Gas. 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 flat WTI Crude Oil, some of the sector movement higher was captured by Heating Oil and specifically Gasoline. The sector is currently flat Natural Gas which remains on the upper end of a price channel since April 2012.

Metals

The index is without a long weight in Metals after it exited long positions in Gold and Silver in February. During March, Gold traded modestly higher while Copper and Silver moved sharply lower and thus beneficial to avoid.

Agriculture

While much of the Ag sector moved lower in March, the sole long position in Cotton was very profitable. Both the Grains and Sugar markets dropped sharply at month end to the index’s benefit.

Outlook

It is not the stated goal of Auspice, nor the ABCERI to predict future market direction, but rather participate in up-trends while minimizing risk during downtrends. It is the continued goal of the ABCERI index strategy to minimize the downside with low volatility and drawdown and remain a store of value until upside opportunity presents itself.

The long side of the index remains represented by 3 of the 12 components and has 2 of the 3 broad sectors represented. With careful selection, the strategy has been able to take advantage of those commodities moving higher while avoiding excessive losses in the broader commodity markets moving lower.

We believe that the long term outlook for commodities remains promising and the overall trend is up. However, given the path is not a straight line, a tactical and risk management oriented approach will be most effective. Months such as March are important reminders of the agility required for long term success and the best risk adjusted result. As such, strategies linked to the Auspice Broad Commodity Index, which have the benefit of disciplined risk adjusted participation, may continue to outperform the traditional (long only) commodity peer groups with better upside, lower downside and reduced volatility.

Strategy and Index

The Auspice Broad Commodity Index aims to capture upward trends in the commodity markets while minimizing risk during downtrends. The index, which is considered to be a “third generation commodity index”, considers both risk and reward. The index uses a quantitative methodology to track either long or flat positions in a diversified portfolio of 12 commodity futures which cover the Energy, Metal, and Agricultural sectors.
Auspice Indices utilize dynamic risk management to produce superior risk adjusted performance in a variety of market environments. By dynamically managing the volatility of each commodity, Auspice ensures that no one commodity dominates the index thus maximizing the benefits of commodity diversification. Enhanced contract roll optimization further increases performance. On a risk adjusted basis, the Auspice Broad Commodity Total Return Index significantly outperforms its global peers.

The Broad Commodity index is available in Total and Excess Return versions. The cash return for the total return index will be calculated daily using the 3-month CDOR (Canadian Dealer Offered Rate). The CDOR is the average rate for Canadian bankers' acceptances for specific terms-to-maturity (one year or less), determined daily from a survey on bid-side rates provided by the principal market-makers, including the major Canadian banks.

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.

February 2013 Auspice Broad Commodity Index Commentary

Auspice Broad Commodity Excess Return Index (ABCERI)

Market Review

After starting the year strong, commodities corrected in February leaving the index down on the month and slightly positive on the year. While we believe the long term trajectory appears to still be trending up for commodities, as with other markets it will be important to remain agile and tactical to be successful long term..

Index Review

The ABCERI lost 2.32% in February after gaining 2.45% in January, holding on to a small gain of 0.07% for the year. While negative on the month, the loss was far less than the peer group which experienced much deeper losses and all remain negative on the year. The strategy illustrated its tactical abilities unloading much of the commodity length in recent months to only hold 25% of the components long. Since the start of publication in 2010 and calculation by the NYSE, the index has outperformed its peers significantly in absolute return and risk adjusted measures. The following table highlight’s the strategies ability to capture the upside while limiting the downside.

The ABCERI does not attempt to simply track the broad commodity markets or predict their direction, but rather aims to capture upward price trends from those commodities that are making sustained moves higher.

As outlined in a report published by ETF Securities (UK) entitled Global Commodity ETP Quarterly, the Auspice Broad Commodity index remains at the top of the global broad commodity index peer group with both the highest return and lowest volatility. Copies of the report can be obtained by contacting Auspice.

INDEPENDENT REPORT

Portfolio Recap:

In February the ABCERI made gains only in Ags after making gains in all 3 of the sectors to start the year.

The strategy is currently positioned long in 3 of the 12 commodities having moved to a flat weights in Gold and Silver during the month.

Energy

The petroleum weights remain the same - long Gasoline and Heating Oil while flat Crude Oil and Natural Gas. After a strong January, the petroleum markets sold off aggressively led by Heating Oil and Crude Oil. Natural Gas was slightly higher on the month.

Watch Energy closely for changes in weightings in 2013.

Metals

The Metals sector also moved sharply lower. Both of the remaining long positions in Gold and Silver were exited to be flat. The Copper market also moved lower and there continues to be no weighting at this time.

Agriculture

The Ag sector managed to make a small gain on the back of the lone long position in Cotton which moved modestly higher and was the largest contributor of all commodity components. The Grains, which were exited in recent months have continued to correct lower with Wheat the weakest of the three and Soybeans the strongest. Sugar remains without a long weight as it continues to drift lower.

Outlook

It is not the stated goal of Auspice, nor the ABCERI to predict future market direction, but rather participate in up-trends while minimizing risk during downtrends. It is the continued goal of the ABCERI index strategy to minimize the downside with low volatility and drawdown and remain a store of value until upside opportunity
presents itself. 

The long side of the index is now represented by 3 of the 12 components and has 2 of the 3 broad sectors represented. With careful selection, the strategy has been able to take advantage of those commodities moving higher while avoiding excessive losses in the more broad commodity markets moving lower.

We believe that the long term outlook for commodities remains promising and the overall trend is up. However, given the path is not a straight line, a tactical and risk management oriented approach will be most effective. Months such as February are important reminders of the agility required for long term success and the best risk adjusted result. As such, strategies linked to the Auspice Broad Commodity Index, which have the benefit of disciplined risk adjusted participation, may continue to outperform the traditional (long only) commodity peer groups with better upside, lower downside and reduced volatility.

Strategy and Index

The Auspice Broad Commodity Index aims to capture upward trends in the commodity markets while minimizing risk during downtrends. The index, which is considered to be a “third generation commodity index”, considers both risk and reward. The index uses a quantitative methodology to track either long or flat positions in a diversified portfolio of 12 commodity futures which cover the Energy, Metal, and Agricultural sectors.
Auspice Indices utilize dynamic risk management to produce superior risk adjusted performance in a variety of market environments. By dynamically managing the volatility of each commodity, Auspice ensures that no one commodity dominates the index thus maximizing the benefits of commodity diversification. Enhanced contract roll optimization further increases performance. On a risk adjusted basis, the Auspice Broad Commodity Total Return Index significantly outperforms its global peers.

The Broad Commodity index is available in Total and Excess Return versions. The cash return for the total return index will be calculated daily using the 3-month CDOR (Canadian Dealer Offered Rate). The CDOR is the average rate for Canadian bankers' acceptances for specific terms-to-maturity (one year or less), determined daily from a survey on bid-side rates provided by the principal market-makers, including the major Canadian banks.

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.

January 2013 Auspice Broad Commodity Index Commentary

Auspice Broad Commodity Excess Return Index (ABCERI)

Market Review

After commodities weakened in 2012, leaving the index with a small negative year, they have come roaring back to start 2013. The long term trajectory appears to still be trending up for commodities and it appears that market participants are comfortable that the “Fiscal Cliff” has been averted, and the resulting rally has not been solely focused in equities.

Index Review

The ABCERI gained 2.45% in January after losing 1.02% in 2012. While the absolute performance was similar to the peer group in 2012, the risk adjusted performance was far superior with a lower standard deviation and drawdown. Since the start of publication in 2010 and calculation by the NYSE, the index has outperformed its peers significantly in absolute return and risk adjusted measures. The following table highlight’s the strategies ability to capture the upside while limiting the downside.

The ABCERI does not attempt to simply track the broad commodity markets or predict their direction, but rather aims to capture upward price trends from those commodities that are making sustained moves higher.

As outlined in a report published by ETF Securities (UK) entitled Global Commodity ETP Quarterly, the Auspice Broad Commodity index remains at the top of the global broad commodity index peer group with both the highest return and lowest volatility. Copies of the report can be obtained by contacting Auspice.

INDEPENDENT REPORT

Portfolio Recap:

In January the ABCERI made gains in all 3 of the sectors. The attribution was led by performance in Ags, followed by Energies.

The strategy is currently positioned long in 5 of the 12 commodities having moved to a flat weight in Natural Gas and Soybeans during the month.

Energy

The petroleum weights remain the same - long Gasoline and Heating Oil while flat Crude Oil. The petroleum markets are again stronger overall ending January whereas Natural Gas was the outlier and weak. As such, the strategy has moved from long to flat weight in Gas.

Watch Energy closely for changes in weightings in 2013.

Metals

The index holds the same long positions in Gold and Silver added late in Q3. There continues to be no Copper weighting at this time. The Metals sector made a small gain in January from the long Silver weighting.

Agriculture

The Ag sector was modestly weaker again led by the Grains. Soybeans were exited during January to now be flat the three Grain components. Cotton continued to add value from the long side and was the largest contributor of all commodity components. Sugar remains without a long weight.

Outlook

It is not the stated goal of Auspice, nor the ABCERI to predict future market direction, but rather participate in up-trends while minimizing risk during downtrends. While the up-trends in commodity were not sustained in 2012, the ABCERI index was able to minimize the downside with low volatility and drawdown and remain a store of value until opportunity presented itself as in January.

The long side of the index is now represented by 5 of the 12 components and has all 3 sectors represented. With careful selection, the strategy has been able to take advantage of those commodities moving higher in January while avoiding losses in those markets moving lower.

We continue to believe that the long term outlook for commodities remains promising and the overall trend is up. However, years like 2012 highlight the importance of risk management and strategy selection as the downside needs to be managed carefully and in a disciplined manner.

As such, strategies linked to the Auspice Broad Commodity Index, which have the benefit of disciplined risk adjusted participation, may continue to outperform the traditional (long only) commodity peer groups with better upside, lower downside and reduced volatility.

Strategy and Index

The Auspice Broad Commodity Index aims to capture upward trends in the commodity markets while minimizing risk during downtrends. The index, which is considered to be a “third generation commodity index”, considers both risk and reward. The index uses a quantitative methodology to track either long or flat positions in a diversified portfolio of 12 commodity futures which cover the Energy, Metal, and Agricultural sectors.
Auspice Indices utilize dynamic risk management to produce superior risk adjusted performance in a variety of market environments. By dynamically managing the volatility of each commodity, Auspice ensures that no one commodity dominates the index thus maximizing the benefits of commodity diversification. Enhanced contract roll optimization further increases performance. On a risk adjusted basis, the Auspice Broad Commodity Total Return Index significantly outperforms its global peers.

The Broad Commodity index is available in Total and Excess Return versions. The cash return for the total return index will be calculated daily using the 3-month CDOR (Canadian Dealer Offered Rate). The CDOR is the average rate for Canadian bankers' acceptances for specific terms-to-maturity (one year or less), determined daily from a survey on bid-side rates provided by the principal market-makers, including the major Canadian banks.

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, pool operator (CTA/CPO) 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.

Q4 and 2012 yearly summary ABCERI

Market Review

After making solid gains in Q3, the commodity markets weakened significantly in Q4. While the long term trajectory appears to still be trending up for commodities in general, there have been a number of factors we can guess have caused the “risk on” and “risk off” market behavior in commodities: speculation re China growth slowdown, the US election, the so called “Fiscal Cliff”, and many others. These factors may have contributed to the choppy market action in Q4.

Index Review 

After gaining 5.88% during Q3, the ABCERI was off 5.03% in Q4. By comparison, the S&P/GSCI ER lost 3.30% while the DJ UBS ER index lost 6.35%. Since the start of publication in 2010 and calculation by the NYSE, the index has outperformed its peers significantly in absolute return and risk measures.The following table highlight’s the strategies ability to capture the upside while limiting the downside.

As outlined in a report published by ETF Securities (UK) entitled Global Commodity ETP Quarterly, the Auspice Broad Commodity index remains at the top of the global broad commodity index peer group with both the highest return and lowest volatility. Copies of the report can be obtained by contacting Auspice.

INDEPENDENT REPORT

The ABCERI does not attempt to simply track the broad commodity markets or predict their direction, but rather aims to capture upward price trends from those commodities that are making sustained moves higher. The ABCERI has continued to outperform most of its peers in 2012 down 1.02% with far less volatility.

Portfolio Recap:

In Q4, the ABCERI preserved a small portion of the Q3 gain. All 3 of the sectors gave back during this period with the most challenge coming from Metals and Ags. 

Energy

After adding Energy commodities steadily in Q3, there were no changes in Q4. The index ended the quarter long Natural Gas, Gasoline, and Heating Oil.  The index currently remains without a Crude Oil position.  The year ended with the petroleum markets stronger and Natural Gas weaker. Watch for changes in weightings early in the new year as clouds lift from the US election and the “Fiscal Cliff”.

Metals 

The index holds the same long positions in Gold and Silver added late in Q3.  There continues to be no Copper weighting at this time. The Metals sector was soft in Q4 for the majority of the overall index loss.

Agriculture

The Ag sector struggled led by the Grains during Q4. The index exited weightings in Wheat and Corn during the quarter to minimize further downside while holding Soybeans. The weakest of the Grains was Wheat. Sugar was weaker during Q4 and the index remains without a weight while Cotton was modestly stronger and added a long weight early in the quarter.

Outlook

It is not the stated goal of Auspice, nor the ABCERI to predict future market direction, but rather participate in up-trends while minimizing risk during downtrends. Q2 and Q4 illustrated that as commodities moved sharply lower, the index downside was limited versus other broad commodity indices. Moreover, the erosion in Q2 was more than made up in Q3 as up-trends appeared. While the up-trends in commodity were not sustained in 2012, the ABCERI index was able to minimize the downside with low volatility and drawdown. .

The long side of the index is now represented by 7 of the 12 components and has all 3 sectors represented. This is in sharp contrast to the end of Q2 when only 3 of the 12 components were included. As such the index is now tilted long commodities to take advantage of a potential sustained movement higher in this asset class.

We continue to believe that the long term outlook for commodities remains promising and the overall trend is up. However, years like 2012 highlight the importance of risk management and strategy selection as the downside needs to be managed carefully and in a disciplined manner.  As such, strategies linked to the Auspice Broad Commodity Index, which have the benefit of disciplined risk adjusted participation, may continue to outperform the traditional (long only) commodity peer groups with better upside, lower downside and reduced volatility.

Strategy and Index

The Auspice Broad Commodity Index aims to capture upward trends in the commodity markets while minimizing risk during downtrends. The index, which is considered to be a “third generation commodity index”, considers both risk and reward.  The index uses a quantitative methodology to track either long or flat positions in a diversified portfolio of 12 commodity futures which cover the Energy, Metal, and Agricultural sectors.
Auspice Indices utilize dynamic risk management to produce superior risk adjusted performance in a variety of market environments. By dynamically managing the volatility of each commodity, Auspice ensures that no one commodity dominates the index thus maximizing the benefits of commodity diversification. Enhanced contract roll optimization further increases performance. On a risk adjusted basis, the Auspice Broad Commodity Total Return Index significantly outperforms its global peers.

The Broad Commodity index is available in Total and Excess Return versions. The cash return for the total return index will be calculated daily using the 3-month CDOR (Canadian Dealer Offered Rate). The CDOR is the average rate for Canadian bankers' acceptances for specific terms-to-maturity (one year or less), determined daily from a survey on bid-side rates provided by the principal market-makers, including the major Canadian banks.

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, pool operator (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.

ABCERI Market Review Q3 2012

Market Review

After the weakness that started in March and extended into Q2, many commodity markets moved higher in Q3.

Index Review

The ABCERI was up 5.88% during Q3 after losing 4.70% in Q2. The quarter ended strong with the index up 0.82% in September. By comparison, the S&P/GSCI ER gained 10.60% in Q3 after losing 12.40% during Q2. The GSCI also ended the quarter with a loss in September of 2.24%. The volatility from Q2 to Q3 highlights that ABCERI provides exposure to up-trends in the commodity markets while mitigating exposure to the downside.

The ABCERI does not attempt to simply track the broad commodity markets or predict their direction, but rather aims to capture upward price trends from those commodities that are making sustained moves higher. The ABCERI has continued to outperform most of its peers in 2012 up 4.23% with far less volatility. 

Portfolio Recap

INDEPENDENT REPORT

As outlined in a report published by ETF Securities (UK) entitled Global Commodity ETP Quarterly, the Auspice Broad Commodity index remains at the top of the global broad commodity index peer group with both the highest return and lowest volatility. Copies of the report can be obtained by contacting Auspice.

In Q3, the ABCERI gained more than what was lost during Q2. The strongest sector within the index was Agricultural commodities which started to gain momentum in June. Gains were also made in Metals while Energy was down modestly. 

Energy

After ending Q2 without any Energy exposure, positions were added steadily in Q3. First, after experiencing one of the longest downtrends in the commodity’s history, Natural Gas was added in July. Gasoline followed in August and Heating Oil was added in September. The index currently remains without a Crude Oil position and this market was the weakest of the sector during September. 

Metals

After leaving Q2 without a long exposure, the index added positions to Gold and Silver during September. There is no Copper weighting at this time but this will be one to watch closely. The Metals sector contributed positively to the index in Q3 with these additions.

Agriculture

The Ag sector led the index with gains provided by the Grains during Q3. Each of the Grains added value and remain with long weightings at this time (Corn, Wheat, Soybeans). Most of the gain was made early in the quarter. Sugar was weaker during Q3 while Cotton was modestly stronger - both remain without weights at this time.

Outlook

It is not the stated goal of Auspice, nor the ABCERI to predict future market direction, but rather participate in sustained up-trends while minimizing risk during downtrends. Q2 illustrated that as commodities moved sharply lower, the index downside was limited versus other broad commodity indices. The erosion in Q2 was more than made up in Q3.

The long side of the index is now represented by 8 of the 12 components and has all 3 sectors represented. This is in sharp contrast to the end of Q2 when only 3 of the 12 components were included. As such the index is now tilted long commodities to take advantage of a potential sustained movement higher in this asset class.

Since publication and calculation by the NYSE (September 2010), the ABCERI remains a better absolute and risk-adjusted way to participate in the commodity markets versus traditional long only commodity indices. Through this period, the ABCERI has gained 11.6% with 13.3% annualized volatility while the S&P/GSCI ER had a lower return at 7.6% with a much higher 20.1% volatility.

We continue to believe that the long term outlook for commodities remains promising but that the downside needs to be managed carefully and in a disciplined manner. As such, strategies linked to the Auspice Broad Commodity Index, which have the benefit of disciplined risk adjusted participation, may continue to outperform the traditional (long only) commodity peer groups with better upside, lower downside and reduced volatility.

Strategy and Index

The Auspice Broad Commodity Index aims to capture upward trends in the commodity markets while minimizing risk during downtrends. The index, which is considered to be a “third generation commodity index”, considers both risk and reward. The index uses a quantitative methodology to track either long or flat positions in a diversified portfolio of 12 commodity futures which cover the Energy, Metal, and Agricultural sectors.

Auspice Indices utilize dynamic risk management to produce superior risk adjusted performance in a variety of market environments. By dynamically managing the volatility of each commodity, Auspice ensures that no one commodity dominates the index thus maximizing the benefits of commodity diversification. Enhanced contract roll optimization further increases performance. On a risk adjusted basis, the Auspice Broad Commodity Total Return Index significantly outperforms its global peers.

The Broad Commodity index is available in Total and Excess Return versions. The cash return for the total return index will be calculated daily using the 3-month CDOR (Canadian Dealer Offered Rate). The CDOR is the average rate for Canadian bankers' acceptances for specific terms-to-maturity (one year or less), determined daily from a survey on bid-side rates provided by the principal market-makers, including the major Canadian banks.

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, pool operator (CTA/CPO) 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.

ABCERI Market Review Q2 2012

Market Review

 Most commodity markets moved lower in Q2 in most cases eroding any gains that were made in Q1. 

Index Review 

The ABCERI was down 4.70% during Q2 after gaining 3.29% in Q1. By comparison, the S&P/GSCI ER lost 12.40% during the quarter.

This highlights that exposure to ABCERI provides exposure to up-trends in the commodity markets while mitigating exposure to the downside.  

The ABCERI does not attempt to simply track the broad commodity markets or predict their direction, but rather aims to capture upward price trends from those commodities that are making sustained moves higher.   While Q2 did not provide sustained upside for commodities, the index effectively limited the downside risk and exposure.  The ABCERI has outperformed most of its peers in 2012 down only 1.56%. The ABCERI index ended Q2 with June up 2.24%. 

Portfolio Recap: 

In Q2 commodities lost some of the ground that was gained in Q1. The weakest sector within the ABCERI index was Energy which started to soften significantly in March.  Metals contributed modestly to the softening while Agricultural commodities (Ags) provided some upside led by the Grain markets. 

Energy 

While the index added long positions in Crude Oil, Heating Oil and Gasoline in Q4 2011 and early in 2012 which provided gains in Q1, the market softened dramatically in Q2.  These position weights were flattened during the quarter and the index is currently waiting for a signal. The index currently remains without a Natural Gas position as well despite some of the recent gains.  Natural gas has remained in a downtrend since mid 2008. 

Metals  

The index held the same position long in Silver much of Q2 but has now exited near the end of June. Copper and Gold continue to trend lower and are still without a long position. After leaving 2011 without any of the metals components, the index is again in the same state. 

Agriculture 

The Ag sector provided modest gains led by the strength in Grains during Q2. While each of the Grains acted in a unique manner and is treated discretely, all have long weightings at this time. Soybeans remain long since Q1 while Corn and Wheat were added during the quarter. Corn was added at the end of June while Wheat was added at the end of May. Cotton, which was exited midway through 2011 continued to experience weakness in Q2 confirming the index zero weight. Lastly, Sugar was also weaker during Q2 and also remains without exposure. 

Outlook 

It is not the stated goal of Auspice, nor the ABCERI to predict future market direction, but rather participate in sustained up-trends while minimizing risk during downtrends. 

After experiencing weakness throughout much of the second half of 2011, the gains made in Q1 were followed by a soft commodity market in Q2.  The long side of the portfolio is now represented by 3 of the 12 components and this is only in the Agriculture sector, specifically Grains.  As such the index is tilted to a defensive stance of capital preservation and only long markets that show specific opportunity. 

Since publication and calculation by the NYSE (September 2010), the ABCERI remains a better absolute and risk-adjusted way to participate in the commodity markets versus traditional long only commodity indices. Through this period, the ABCERI has gained 17.69% with 13.78% annualized volatility while the S&P/GSCI ER had a lower return at 3.84% with a higher 20.59% volatility. 

We continue to believe that the long term outlook for commodities remains promising but that downside like in any asset class, needs to be managed carefully and in a disciplined manner.  As such, strategies linked to the Auspice Broad Commodity Index, which have the benefit of disciplined risk adjusted participation, may continue to outperform the traditional (long only) commodity peer groups with better upside, lower downside and reduced volatility. 

Strategy and Index 

The Auspice Broad Commodity Index aims to capture upward trends in the commodity markets while minimizing risk during downtrends. The index, which is considered to be a “third generation commodity index”, considers both risk and reward.  The index uses a quantitative methodology to track either long or flat positions in a diversified portfolio of 12 commodity futures which cover the Energy, Metal, and Agricultural sectors.

Auspice Indices utilize dynamic risk management to produce superior risk adjusted performance in a variety of market environments. By dynamically managing the volatility of each commodity, Auspice ensures that no one commodity dominates the index thus maximizing the benefits of commodity diversification. Enhanced contract roll optimization further increases performance. On a risk adjusted basis, the Auspice Broad Commodity Total Return Index significantly outperforms its global peers. 

The Broad Commodity index is available in Total and Excess Return versions. The cash return for the total return index will be calculated daily using the 3-month CDOR (Canadian Dealer Offered Rate). The CDOR is the average rate for Canadian bankers' acceptances for specific terms-to-maturity (one year or less), determined daily from a survey on bid-side rates provided by the principal market-makers, including the major Canadian banks. 

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, pool operator (CTA/CPO) 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.​

ABCERI Market Review Q1 2012

Q4 2011 allowed for the global equity markets to regain some lost ground. For some like the S&P, it was enough to end up flat on the year. Q1 2012 continued that trend with strength in much of the global equity market. Despite equity markets leading the way, the commodity markets also performed well. 

Index Review for Auspice Broad Commodity Excess Return Index (ABCERI)

The ABCERI was up 3.29% during Q1 after gaining 0.54% in 2011. By comparison, the S&P/GSCI  ER gained 5.87% after losing 1.23% in 2011. This highlights that exposure to ABCERI correlates nicely with the uptrends in the commodity markets while mitigating exposure to the downside. 

The ABCERI does not attempt to simply track the broad commodity markets or predict their direction, but rather aims to capture upward price trends from those commodities that are making sustained moves higher.   During Q1, the index effectively tracked and participated in the upside movement in its commodity components.

Portfolio Recap:

In Q1, commodities gained some of the ground that was lost in the second half of 2011. Given the 2011 downside was mitigated by exiting positions that were moving lower in a sustained fashion, the entire upside was not captured as commodities turned around. This is the short term trade-off that over the long term has provided better absolute and risk adjusted results as described above. 

Energy

After adding long positions during December in Crude Oil and Heating Oil, the petroleum side of the Energy complex continued to trend modestly higher. The strongest gains were made in Gasoline, which was added in January and continued to participate in the upside. The index remains without a Natural Gas position as this market experienced significantly lower prices during the quarter. 

Metals 

After leaving 2011 without any of the metals components long, the index has started to re-enter the market. The index is now long Silver after exiting in Q3 2011. Copper and Gold, which had been trending lower since Q2 2011, were modestly higher in Q1, yet the index remains flat at this moment.

Agriculture

Within the Ag sector, the Grains showed mixed results and this highlights why the index allocates based on individual merit. After exiting Corn during the Q4, the market remained sideways. However, Wheat which was exited at the end of Q1 2011, continued to trend lower and thus the index remains without a weighting there as well. Soybeans has been the strongest of the Grains and added a long position during the quarter. Cotton, which was exited midway through 2011 continues to experience weakness confirming the index zero weight. Lastly, Sugar moved modestly higher in Q1, but also remains without exposure.

Outlook

It is not the stated goal of Auspice, nor the ABCERI to predict future market direction, but rather participate in sustained up-trends while minimizing risk during downtrends.

The index has started to re-enter the commodity markets that show the most strength and opportunity after experiencing weakness throughout much of the second half of 2011.  Positions were added in all 3 sectors during the quarter.  The long side of the portfolio is now represented by 5 of the 12 components and this is split across the 3 sectors of Energy, Metals and Grains with a bias to Energy.  In the face of significant equity market strength and continued global financial concerns, we consider this movement to commodities interesting information. 

Since publication and calculation by the NYSE (September 2010), the ABCERI remains a better absolute and risk-adjusted way to participate in the commodity markets versus traditional long only commodity indices. Through this period, the ABCERI has gained 23.49% with 13.47% annualized volatility while the S&P/GSCI  ER had a lower return at 18.54% with a higher 19.11% volatility.

We continue to believe that the long term outlook for commodities remains promising and this is acknowledged by the recent strength in the face of negative global financial headlines. As such, strategies linked to the Auspice Broad Commodity Index, which have the benefit of disciplined risk adjusted participation, may continue to outperform the traditional (long only) commodity peer groups with better upside, lower downside and reduced volatility.

Strategy and Index

The Auspice Broad Commodity Index aims to capture upward trends in the commodity markets while minimizing risk during downtrends. The index, which is considered to be a “third generation commodity index”, considers both risk and reward.  The index uses a quantitative methodology to track either long or flat positions in a diversified portfolio of 12 commodity futures which cover the Energy, Metal, and Agricultural sectors 
Auspice Indices utilize dynamic risk management to produce superior risk adjusted performance in a variety of market environments. By dynamically managing the volatility of each commodity, Auspice ensures that no one commodity dominates the index thus maximizing the benefits of commodity diversification. Enhanced contract roll optimization further increases performance. On a risk adjusted basis, the Auspice Broad Commodity Total Return Index significantly outperforms its global peers.

The Broad Commodity index is available in Total and Excess Return versions. The cash return for the total return index will be calculated daily using the 3-month CDOR (Canadian Dealer Offered Rate). The CDOR is the average rate for Canadian bankers' acceptances for specific terms-to-maturity (one year or less), determined daily from a survey on bid-side rates provided by the principal market-makers, including the major Canadian banks.

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, pool operator (CTA/CPO) 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.