Auspice Managed Futures Index
Investment Objective
The Auspice Managed Futures Index aims to capture upward and downward trends in the commodity and financial markets while carefully managing risk.
Investment Strategy
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:
Separately Managed Accounts
| 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
Materials & Data
Index Values & Monthly Performance Datasuite
Request Methodology Document
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.
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.
IMPORTANT DISCLAIMERS AND NOTES
Futures trading is speculative and is not suitable for all customers. Past results is not necessarily indicative of future results. This web page 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. 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.
Commissions, trailing commissions, management fees and expenses all may be associated with mutual fund investments. Please read the prospectus before investing. The indicated rates of return are the historical annual compounded total returns including changes in share and/or unit value and reinvestment of all dividends and/or distributions and do not take into account sales, redemption, distribution or optional charges or income taxes payable by any securityholder that would have reduced returns. Mutual funds are not guaranteed, their values change frequently and past performance may not be repeated.
The commentaries contained herein are provided as a general source of information based on information available at the time of publication and are not intended to be comprehensive investment advice applicable to the circumstances of the individual. Every effort has been made to ensure accuracy in these commentaries at the time of publication; however, accuracy cannot be guaranteed. Market conditions may change and Auspice Capital Advisors Ltd. accepts no responsibility for individual investment decisions arising from the use of or reliance on the information contained herein.
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 the Fund and the Manager. Forward- looking statements are not historical facts but reflect the current expectations of the Fund and the Manager regarding future results or events. Such forward-looking statements reflect the Fund’s and the Manager’s current 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 and the Manager believe to be reasonable, none of the Fund or the Manager can assure investors that actual results will be consistent with these forward-looking statements. 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.
The forward-looking statements contained herein were prepared for the purpose of providing prospective investors with general educational background information about the Funds and may not be appropriate for other purposes. None of the Fund or the Manager assumes any obligation to update or revise them to reflect new events or circumstances, except as required by law.
Auspice is an innovative alternative asset manager that focuses on applying rules-based investment strategies across a broad range of commodity and financial markets. Auspice offers liquid alternative and commodity strategies that provide the benefits of active management and the efficiency of indexing. Auspice works with a wide range of clients and develops solutions to improve their portfolio or product suite. Auspice strategies are available directly to institutions, financial professionals and high-net-worth individual investors as well as retail investors through the Auspice brand along with sub-advisory and licensing arrangements. www.auspicecapital.com