Investors are searching for more efficient means of accessing alternative investments.

The Auspice Indices are designed to meet the needs of investors that are looking to participate in liquid alternatives through a disciplined approach without sacrificing performance, diversification, and transparency. We believe the Auspice Indices encompass everything from alpha to beta, across a return continuum. The indices blend elements of active management and indexing into a transparent, published, single strategy rules-based approach.

 
 

These unique features provide superior risk adjusted performance.

  1. Rules-based Weighting: The Index will take a long, flat (zero weight) or short position of a component based on the current state of the markets.
  2. Quantitative Risk Management: Position weighting and rebalancing is based on a measure of volatility. This approach to risk management lowers the volatility and improves the risk adjusted returns of the index.
  3. Contract Roll Optimization: The Index roll strategy seeks to minimize the negative impacts, and maximize the positive impacts of contango and backwardation by selecting the contract with the highest expected roll return along the forward curve.

The Indices can be invested directly through a managed account or through our partner firms.

 

 


Auspice Managed Futures Index

The Auspice Managed Futures Index aims to capture upward and downward trends in the commodity and financial markets while carefully managing risk. 

The strategy focuses on Momentum and Term Structure strategies and uses a quantitative methodology to track either long or short positions in a diversified portfolio of 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 in total return (collateralized) and excess (non-collateralized) return versions.

The Auspice Managed Futures Index is available via:

managedfutures.png
PERFORMANCE TABLE (Excess Return)
YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC RETURN
2016 0.57% 2.67% -2.25% -0.07% -0.51% 2.29% 2.65%
2015 1.11% -4.22% 1.89% -2.14% -0.04% -4.59% -3.79% -2.78% 1.40% -1.92% 5.85% 2.26% -7.26%
2014 -1.67% -0.86% -3.50% 1.47% -3.97% 1.38% 0.96% 0.38% 9.45% 1.26% 6.70% 4.64% 16.55%
2013 0.08% 0.55% 1.01% 2.27% 0.55% 3.09% -3.05% -0.96% -1.87% -0.86% 1.47% -0.31% 1.82%
2012 -2.20% 0.46% 0.40% 1.21% -1.48% -0.41% 3.11% -4.44% -0.22% -3.16% 0.60% -1.38% -7.45%
2011 2.23% 4.62% 0.54% 5.20% -4.05% -2.00% 2.91% 0.98% 1.08% -7.07% 3.85% 0.60% 8.48%
2010 0.31% 2.47% 1.50% 2.09% -1.55% 1.14% -3.74% 4.92% 4.81% 6.42% -3.14% 7.91% 24.87%
2009 0.41% -0.14% -1.02% -2.52% 2.51% -4.43% 2.46% 2.86% 1.70% 1.52% 4.97% -5.03% 2.80%
2008 6.80% 9.39% -2.14% 1.42% 2.58% 2.12% -5.75% -2.49% 4.42% 16.05% 4.92% 0.50% 42.65%
2007 0.75% -1.02% -0.45% 1.90% 2.05% 2.94% -0.82% -3.48% 5.56% 5.18% 0.12% 3.19% 16.68%
2006 2.34% 3.43% 2.02% 3.61% 2.71% -3.20% -0.30% 0.09% 3.24% 0.62% 0.25% 0.41% 16.06%
2005 -2.46% 2.45% -1.94% -3.78% -2.36% 1.70% -2.48% 4.80% 1.03% -2.03% 5.04% 0.90% 0.35%
2004 0.76% 5.16% 1.70% -7.67% -4.21% 0.12% 3.53% -5.24% 4.32% 2.20% 3.33% -1.56% 1.52%
2003 5.61% 2.95% -5.34% 0.93% 5.66% -2.64% -4.26% -0.92% 2.93% 7.09% 2.28% 5.80% 20.92%
2002 0.65% -1.93% -1.81% -1.12% 2.66% 5.99% -0.72% 3.94% 2.96% -1.54% -2.51% 6.40% 13.15%
2001 0.50% 3.90% 3.87% -2.30% -1.13% -0.53% -0.65% -1.01% 3.72% 2.35% -5.23% 2.00% 5.18%
2000 1.43% 1.78% -3.61% 1.19% 6.54% 0.03% 2.32% 4.74% 1.85% 3.01% 2.27% -1.81% 21.17%

*Grey area represents index data simulated prior to third party publishing as calculated by the NYSE

DISCLAIMER
The performance of Auspice Managed Futures Index prior to 11/17/2010 is simulated and hypothetical as published by the NYSE. All performance data for all indices assumes the reinvestment of all distributions. To the extent information for the index for the period prior to its initial calculation date is made available, any such information will be simulated (i.e., calculations of how the index might have performed during that time period if the index had existed). Any comparisons, assertions and conclusions regarding the performance of the index during the time period prior to the initial calculation date will be based on back-testing.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

The index does not have commissions, management/incentive fees, or operating expenses.

Best Investable CTA Index
Auspice Managed Futures ER Index

CTA Intelligence Awards, 2014 Nominated Best Investable CTA Index (Highly Commended)



Auspice Broad Commodity Index

The Auspice Broad Commodity Index aims to capture upward trends in the commodity markets while minimizing risk during downtrends. 

The index is tactical long strategy that focuses on Momentum and Term Structure to track either long or flat positions in a diversified portfolio of commodity futures which cover the energy, metal, and agricultural sectors. The index incorporates dynamic risk management and contract rolling methods. The index is available in total return (collateralized) and excess return (non-collateralized) versions.

The Auspice Broad Commodity Index is available via:

PERFORMANCE TABLE (Excess Return)
YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC RETURN
2016 -0.69% 1.01% 0.92% 4.00% 0.00% 2.64% 8.06%
2015 -2.13% -0.18% -1.64% 0.99% -1.78% -0.08% -7.77% -1.59% -0.27% -0.01% 0.13% 0.29% -13.45%
2014 -2.41% 2.68% -1.23% 1.27% -3.79% 1.03% -3.57% -0.96% -1.64% 0.00% 0.00% -0.54% -8.97%
2013 2.45% -2.32% 0.87% -1.42% -0.55% -0.27% -0.11% 1.03% -2.26% -1.57% 0.56% 0.39% -3.27%
2012 0.90% 2.28% 0.09% -0.38% -6.43% 2.24% 5.41% -0.37% 0.82% -3.79% 0.64% -1.92% -1.02%
2011 2.44% 4.23% 1.96% 4.32% -5.11% -2.84% 2.88% 0.73% -6.28% 0.59% -0.46% -1.25% 0.54%
2010 -3.81% 2.61% 0.53% 1.87% -5.57% -0.40% 1.03% 2.64% 6.99% 7.35% 1.02% 9.66% 25.43%
2009 0.00% -0.66% -0.24% 0.01% 5.78% -5.49% 2.20% 2.80% 0.39% 2.52% 4.00% -0.66% 10.69%
2008 5.89% 10.60% -5.20% 3.98% 4.05% 6.96% -7.48% -4.78% -1.31% 0.00% 0.00% 0.00% 11.71%
2007 0.90% 2.39% -1.25% 0.33% 0.13% 2.44% 1.74% -0.83% 7.48% 4.05% -2.42% 6.42% 23.04%
2006 5.59% -0.45% 2.39% 6.87% 1.40% -2.41% 0.07% -2.92% -0.44% 2.39% 2.74% -0.23% 15.54%
2005 0.40% 4.37% 0.75% -3.87% -2.18% 2.07% 1.75% 5.95% 3.24% -4.19% 2.93% 5.32% 17.16%
2004 2.18% 6.32% 3.54% -3.42% -0.70% -1.49% 3.30% -1.53% 3.98% 0.57% 0.77% -4.43% 8.87%
2003 6.32% 2.27% -7.68% -1.86% 2.82% -2.92% 1.80% 2.04% 0.32% 6.34% 0.16% 5.95% 15.63%
2002 -0.62% -0.17% 2.53% -0.50% 0.61% 1.42% -0.78% 3.42% 2.43% -0.20% -1.02% 4.31% 11.85%
2001 -1.78% -0.07% -1.33% 2.07% -2.34% -2.22% 0.48% 0.77% -1.53% -1.11% -0.33% 0.21% -7.04%
2000 2.41% 1.08% -0.62% -1.93% 8.62% 1.29% -0.71% 5.78% -0.97% -0.86% 2.49% -1.77% 15.24%

*Grey area represents index data simulated prior to third party publishing as calculated by the NYSE

DISCLAIMER
The performance of Auspice Broad Commodity Index prior to 9/30/2010 is simulated and hypothetical as published by the NYSE. All performance data for all indices assumes the reinvestment of all distributions. To the extent information for the index for the period prior to its initial calculation date is made available, any such information will be simulated (i.e., calculations of how the index might have performed during that time period if the index had existed). Any comparisons, assertions and conclusions regarding the performance of the index during the time period prior to the initial calculation date will be based on back-testing.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

The index does not have commissions, management / incentive fees, or operating expenses.