To download the Auspice August Blog as a PDF, click here.
This commentary is intended for general informational purposes only and does not constitute investment advice or a recommendation.
Commodity beta just delivered one of its best three-year stretches in 26 years. We believe this creates a timely opportunity to preserve the gains while keeping the diversifying exposure. How? Changing the vehicle.
How Good Have the Last Three Years Been?
Investors holding commodity beta, as represented by the Bloomberg Commodity Index (BCOM), over the last three years have experienced an exceptional period. Since October of 2023, it has returned a cumulative 53.7% gross of fees. That’s ~3.5x the best three-year window the 2010-2019 QE decade produced. Before that, only the early-2000s supercycle entries and 2005 entries ending at the 2008 blow-off beat it. More recently, it is only rivalled by the COVID-era entries, as shown in Chart 1.
Chart 1 · The last three years
What a 3-Year Hold of BCOM TR Returned
The best three-year hold ending in each year since 2000, aligned to entry. The right margin shows where every daily hold ended.
Of the 5,940 daily three-year holds since 2000, only 14% earned more than the current one and 45% lost money. Source: Bloomberg.
Raw return is only half the comparison. Chart 2 below zooms out to monthly return entry points (284 since 2000) and plots three-year holds on two axes, the return it earned and the volatility it carried to get there. Up and to the left is better, more return for less risk. Measured this way, 99% of entry months either earned less than the current window or took more risk to earn more. Only three points sit up and to the left of yours, and two of them are this same window entered a month or two earlier. That leaves one genuine outperforming run in 26 years, October 2001, at the trough that preceded the 2000s commodity supercycle.
Chart 2 · Return against risk
Period Return vs Daily Annualized Volatility
Every monthly entry since 2000. The shaded corner is more return for less risk than the last three years.
Source: Bloomberg.
What do Most of the 3-year Windows Look Like?
Since 2000, passive commodity beta looks nothing like the last three years. Nearly half of all three-year holds lost money (45%), and the most common outcome was a loss of roughly 15 to 20%. The median hold made just 5.7% in total with few periods landing anywhere near it. Outcomes split into a losing regime and a running regime, with little in between. A passive holder spent the 2010s down 38%. Anyone who bought at the July 2008 peak rode the position down 73% at the worst and is still down 23% today, eighteen years later. None of that is bad luck. A passive long position holds the same basket through the run and through whatever follows. It has no mechanism for doing anything else to manage risk or adjust positioning.
Only four times since 2000 has a trailing three-year hold reached the top 15% of the record. Those were the mid-2000s supercycle, the first half of 2008, the 2022–23 spike, and today. In the three completed episodes, staying long through what followed cost 40%, 57%, and 25%, measured from the peak inside each episode to the low that came within the following three years. The one exception cuts the other way. The tail of the 2022–23 episode never broke and rolled into the current rally.
None of this proves the cycle has turned, and none of it is a forecast that BCOM falls from here. It is just the record of the index, which has offered either continuation or a violent exit. The only way to keep a run has been to stop holding at some point, and passive never stops holding.
The New Canadian Shelf
Table · The shelf
The Two Banks Product
Both launch dates sit inside the current run.
| Product | Launched | Where in the run | Fee | Stated objective | Corr. to BCOM TR |
|---|---|---|---|---|---|
| Bank 1 — commodity fund | Sep 2023 | days before this window began | 0.76% | actively managed | 0.998 |
| Bank 2 — index ETF | Oct 2025 | two years into the run | 0.30% | match the Bloomberg Commodity Index | 0.960 |
Source: Publicly available fund documents, fund holdings and Bloomberg data, as at August 31st, 2026. Correlation calculated by Auspice using monthly total returns from each fund's respective inception date through August 31st, 2026. Bank 2's shorter live history (since October 2025, versus Bank 1's September 2023) makes its correlation reading more sensitive to short-term tracking and timing differences, which explains the modestly lower figure despite its explicit index-tracking mandate.
In Canada, only two big banks sell broad commodity funds, and both products arrived during the current run. The first launched its fund in September 2023, days before the current window. The second listed its ETF in October 2025, two years into the run. One of the two says plainly what it is, a fund built to match the Bloomberg Commodity Index. The second is an actively managed mandate whose returns have nonetheless tracked the index closely, at a 0.998 correlation to BCOM TR (Bloomberg Commodity Index Total Return) since launch. Different labels, different fees, same numbers.
Drawdowns are not a verdict on a cycle. Commodities fell 25% in 2022 and the cycle kept running. This is how these markets move. A passive index holds its full weight through every one of them and the newer bank product track records are contained in this exceptional stretch. So, the real question is not whether to own commodities. It is whether you can keep what this run has paid and still be there for the rest of the cycle. The bank products discussed above are designed to maintain passive, commodity beta exposure rather than dynamically reduce commodity exposure in response to changing trends and volatility.
What does Active Look Like?
On the passive index, the volatility a window carried says nothing about what it earned. Risk was carried whether or not it paid. Chart 3 shows the active index difference. Volatility shows up almost only when the return does. It is designed to participate when trends are favorable and reduce exposure when they weaken or volatility increases. That is not a statistical accident. It is the design.
Chart 3 · The Same Test, on Active
Period Return vs Daily Annualized Volatility - ABCTRI
The same test as Chart 2, run on the Auspice Broad Commodity Total Return Index.
ABCTRI history before the October 2010 index launch is simulated/back-tested; gross of fees. Source: Bloomberg, Auspice.
Hypothetical performance results have certain inherent limitations. Unlike an actual performance record, simulated results do not represent actual trading and may not reflect the impact that material economic and market factors might have had on decision-making. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.
The Auspice Broad Commodity Index follows a rules-based process. It holds each commodity while its trend is up and reduces or exits when that trend gets volatile or turns down. It is not designed to catch every last point of a rally. Over the past three years it made about 31 points of the passive's 54. It is designed to participate in the trends and step aside from part of every major decline, and the record above already showed what the declines cost.
Run it through the same tests as everything else in this piece. In the same three-year holds since 2000, a quarter lost money instead of nearly half, and the median hold made 32.6% instead of 5.7%. In the same storms, when passive fell 25% through June 9th, 2022 – May 31st, 2023, the active index fell only 2.4%. In the 14% BCOM pullback from May 18th to June 24th of this year, it gave up 6.5%. The point is not that active wins every day, month, or even year. It is what stepping aside from part of the normal declines does to compounding. Over the full 26 years, the strategy that gave up a slice of the rallies compounded to +857%, against +161% for holding full weight the whole way.
Table · Same Tests, Both Strategies
Passive and Active - Side by Side
The same three-year holds over the same 26 years
| Test | Passive (BCOM TR) | Active (ABCTRI) |
|---|---|---|
| The Last Three Years | +54% | +31% |
| Three-Year Holds That Lost Money | 45% | 25% |
| Median Three-Year Hold (Total, Not Annualized) | +5.7% | +32.6% |
| June 2022 - May 2023 | -25% | -2.4% |
| The June 2026 Pull Back | -14% | -6.5% |
| Cumulative Since 2000 | +161% | +857% |
| Full-Cycle Annualized Volatility | 15.8% | 10.1% |
| Full-Cycle Sharpe Ratio | 0.33 | 0.93 |
| Full-Cycle Skew | −0.47 | +0.26 |
BCOM and ABCTRI are indices and cannot be invested in directly. Any Auspice fund or account managed to this approach would have different performance from the figures shown, net of management fees, trading costs and tracking differences. Auspice Broad Commodity Index history before the October 2010 index launch is simulated/back-tested; all figures gross of fees. Source: Bloomberg, Auspice.
Hypothetical performance results have certain inherent limitations. Unlike an actual performance record, simulated results do not represent actual trading and may not reflect the impact that material economic and market factors might have had on decision-making. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.
Nobody who stays gets the whole run. The arithmetic is clear about which part of it you can afford to miss. Switching from passive to active carries a natural cost, giving up part of the rally. That cost is what keeps allocations parked in beta, since nobody wants to step aside mid-run. But this run has already paid. For investors considering how to maintain commodity exposure after this exceptional period, the historical record illustrates the trade-off. Moving from passive beta to an active approach may give up part of a continuing rally in exchange for a process designed to reduce exposure when trends weaken or volatility increases.
Don't mistake a sprint for a marathon winner. Commodity beta, and the products that replicate it, just ran the sprint of a generation. Over 16 years of live trading and a published history spanning this full 26-year record, the longer-term record has favored an approach that actively manages commodity exposure and risk.
IMPORTANT DISCLAIMERS AND NOTES
There is a substantial risk of loss in trading futures and options. Past performance is not necessarily indicative of future results. The views expressed are those of the author and do not constitute investment advice.
The views expressed above reflect our current interpretation of market conditions and economic history and may change as new information becomes available.
Commissions, trailing commissions, management fees and expenses may all be associated with investment funds. Please read the prospectus or applicable offering document before investing. Investment funds are not guaranteed, their values change frequently and past performance may not be repeated.
All data is believed to be reliable but has not been independently verified.
These materials are provided for informational and educational purposes and are not intended to provide specific individual advice including, without limitation, investment, financial, legal, accounting and tax. Please consult with your own professional advisor on your particular circumstances.
Futures trading is speculative and is not suitable for all customers. Past results are not necessarily indicative of future results. This document is for information purposes only and should not be construed as an offer, recommendation or solicitation to conclude a transaction and should not be treated as giving investment advice. Auspice Capital Advisors Ltd. (the “Manager” or “Auspice”) makes no representation or warranty relating to any information herein, which is derived from independent sources. No securities regulatory authority has expressed an opinion about the securities offered herein and it is an offence to claim otherwise. Please read the applicable offering documents before investing.
This material may contain forward-looking statements, which were prepared for the purpose of providing general educational background information and may not be appropriate for other purposes. Certain statements in this document are forward- looking statements, including those identified by the expressions “anticipate”, “believe”, “plan”, “estimate”, “expect”, “intend”, “target”, “seek”, “will” and similar expressions to the extent they relate to an Auspice managed investment fund (the “Fund”), where applicable, and the Manager. Forward- looking statements are not purely historical facts but reflect the current expectations of the Fund, where applicable, and the Manager regarding future results or events. Such forward-looking statements reflect the Fund’s, where applicable, and the Manager’s current, reasonable beliefs and are based on information currently available to them. Forward-looking statements are made with assumptions and involve significant risks and uncertainties. Although the forward-looking statements contained in this document are based upon assumptions that the Fund, where applicable, and the Manager believe to be reasonable, neither the Fund, where applicable, or the Manager can assure investors that actual results will be consistent with these forward-looking statements. There is no guarantee that any forward-looking statement will come to pass. As a result, readers are cautioned not to place undue reliance on these statements as a number of factors could cause actual results or events to differ materially from current expectations.
Neither the Fund, where applicable, nor the Manager assumes any obligation to update or revise any forward-looking statement to reflect new events or circumstances, except as required by law.
The Manager may present the enclosed information in a blog – such blog may contain hypertext links to web sites owned and controlled by parties other than Auspice. We have no control over any third-party-owned web sites or content referred to, accessed by or available on such web site and therefore we do not endorse, sponsor, recommend or otherwise accept any responsibility for such third-party web sites or content or for the availability of such web sites. In particular, we do not accept any liability arising out of any allegation that any third-party-owned content (whether published on this or any other web site) infringes the intellectual property rights of any person, or any liability arising out of any information or opinion contained on such third-party web site or content.