Auspice US Equity Plus Trend Index
The first published active return-stacking index* calculated and disseminated by the NYSE. Full U.S. equity exposure plus a 15+ year published trend-following strategy via the Auspice Managed Futures Index. All with the same dollar.
Portfolio diversification is not just about asset class mix.
Portfolios are typically over-weighted to equities, and dominated by “Convergent” risk. A diversified portfolio is balanced across asset classes and risk type; “Convergent” and “Divergent” risks. Combining these may, based on hypothetical and back-tested analysis, contribute to higher returns with smaller corrections, less risk and volatility over time. This is the goal of most investors, and the genesis of the Auspice US Equity Plus Trend Index. There is no assurance the Index will achieve these results in the future.
Convergent vs Divergent Investment Strategies
Convergent and divergent return streams tend to behave in opposite ways. Stacked together, they can complement each other.
- U.S. equities Convergent Escalator up, Elevator down. Lots of small gains that feel good, then an outsized loss.
- Trend following Divergent Escalator down, Elevator up. Lots of small losses that are harder to hold, then an outsized gain.
- Equities + trend Return Stacking Stacked on top of the same dollar. The potential for a better equity experience, without sacrificing exposure.
Hypothetical illustration of the concept only; not actual or simulated performance of any index or Auspice product. Past performance is not necessarily indicative of future results.
Investment Objective
The Auspice U.S. Equity plus Trend Index (AUSEPTI) was created by Auspice to measure the combined return of a diversified multi-asset strategy. It overlays traditional U.S. large-cap equity exposure with a managed futures trend-following strategy. The trend strategy is designed to add a second, historically less correlated source of potential return. The result is an enhanced approach to S&P 500 exposure: the return of the equity market plus the return of the trend strategy.
Investment Strategy
The Index stacks two return streams on the same capital:
Equity market exposure through a continuously rolled position in CME E-mini S&P 500 futures (ES), sized at 100% of the Index notional.
Systematic trend-following exposure through the Auspice Managed Futures Excess Return Index (AMFERI), which has been calculated and published by the NYSE since December 2010, sized at 100% of the Index notional. AMFERI takes long or short positions across a diversified set of commodity and financial futures.
Both exposures come from futures, so the capital is free to be held as collateral. It earns the U.S. 13-week Treasury bill rate on 100% of the Index notional. The Index therefore has an effective notional exposure of 200%. Holdings are reset to 100/100/100 each month on the 10th business day, which is also the ES futures roll date. Each new composition is published the day before it takes effect.
The result is a levered-equivalent total return reflecting the full gains and losses of both the equity and trend-following components. Effective notional exposure alone does not determine the Index's risk. Its volatility and drawdowns depend on the volatility of each component and the correlation between them, which can change, particularly in periods of market stress. There is a substantial risk of loss in trading futures.
Strategy Components
Return Stacking Overlay
100% equity futures and 100% managed futures, stacked on a full T-bill cash return, for 200% notional exposure in one index.
Fixed Monthly Rebalancing
Components reset to 100% each on the 10th business day of every month, with holdings set and published a day in advance.
Continuously Rolled ES Futures Position
The E-mini position rolls only on rebalancing dates at actual settlement prices, so contract price gaps never register as gains or losses.
The Auspice US Equity Plus Trend Index is available via:
Index:
Total Return (Bloomberg: AUSEPTI). It includes the ES and AMFERI returns plus the T-bill collateral return. There is no excess return version.
Institutional Managed Accounts ($50mm minimum).
Return Stacking in a Portfolio
Add a diversifying return stream without cutting the equity and bond exposure a portfolio already has.
- 60/40 Traditional Equity and bond exposure only.
- 50/30/20 Making room Adding a diversifier the traditional way means cutting equities and bonds to fund it.
- 60/40 + trend Return Stacking Move part of the equity sleeve into a stacked equity + trend index. The 60/40 stays intact, with a diversifying trend strategy added on top.
Illustrative exposures only. Not actual or simulated performance of any index or Auspice product. There is a substantial risk of loss in trading futures.
Materials & Data
Index Values & Monthly Performance Datasuite
Methodology Document
| PERFORMANCE TABLE (Total Return) | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| YEAR | JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | RETURN |
| .... | .... | .... | .... | .... | .... | .... | .... | .... | .... | .... | .... | .... | .... |
*AUSEPTI launched August 17th, 2026. Grey area represents index data simulated prior to third party publishing as calculated by the NYSE.
*The performance of Auspice US Equity Plus Trend Index prior to 8/17/2026 represents index data simulated prior to third party publishing as calculated by the NYSE from 1/03/2000. The performance of Auspice Managed Futures Index prior to 11/17/2010 is simulated and hypothetical as published by the NYSE. Source: Bloomberg and Auspice Investment Operations. You can not invest directly in an index.
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.
Additional Resources
Do More with your Investing Dollar - Reasons to Use Return Stacking
(Oct 2025) - Auspice Blog
Makes the case for return stacking: add a diversifying return stream without cutting core equity or bond exposure, with the potential for a better portfolio experience.
Return Stacking and Portable Alpha - An Investors Guide (Aug 2025)
Auspice White Paper
This paper examines the evolution of portfolio construction through portable alpha and return stacking, approaches that enhance diversification and capital efficiency while preserving core market exposure. Portable alpha, long employed by large institutional investors, separates beta and alpha by using derivatives or managed accounts to overlay uncorrelated return streams on top of traditional market exposures. Return stacking represents a modern and more accessible extension of this approach, using commingled funds and futures-based strategies to provide dual exposure. Investors can maintain equity, fixed income, or other asset participation while adding complementary strategies such as trend-following CTAs, on top.
The paper reviews the historical development of these techniques, including early institutional implementations and public market. It explores the potential benefits of return stacking, including improved risk-adjusted and absolute returns, greater capital efficiency, and behavioral advantages that can help investors maintain discipline. It also highlights key considerations such as style risk, conditional correlations, and the use of leverage.
Through historical examples, stress periods, and illustrative portfolio outcomes, this paper provides a framework for investors seeking to integrate uncorrelated return streams into traditional allocations in a practical and scalable way.
Read more here.
From Silo to TPM - Commodities in Total Portfolio Management
(Sept 2025) - Auspice Blog
Shows how futures-based overlays add commodity and trend exposure without taking capital from core holdings, the capital-efficiency idea behind return stacking.
IMPORTANT DISCLAIMERS AND NOTES
* Based on Auspice review of publicly available indices as of September 28, 2026.
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.
Auspice Capital Advisors Ltd. ("Auspice") designed and owns the Auspice U.S. Equity Plus Trend Index (AUSEPTI or the "Index"). NYSE acts as third-party calculation and publication agent for the Index. NYSE is not the administrator, owner, or provider of the Index.
Information presented prior to the Index's launch date is hypothetical back-tested performance, not actual performance, and is based on the Index methodology in effect on the launch date. Back-tested performance reflects application of the methodology with the benefit of hindsight, cannot account for all financial risks that may affect results, and may be considered to reflect survivor bias or look-ahead bias. Actual returns may differ significantly from, and be lower than, back-tested returns. Past performance is not an indication or guarantee of future results.
Index returns do not represent the results of actual trading of investable assets or securities. Auspice calculates and maintains the Index, through its calculation agent, but does not manage any assets on behalf of index users. Index returns do not reflect fees or charges that would reduce performance.
The Index holds 100% of its notional in each of CME E-mini S&P 500 futures and the Auspice Managed Futures Excess Return Index, with a cash collateral return on 100% of the notional, for an effective notional exposure of 200% and a levered-equivalent total return (see the Index Methodology). Index returns reflect the full gains and losses of both components. Effective notional exposure alone does not determine the Index's risk; its volatility and drawdowns depend on the volatility of each component and the correlation between them, which can change, particularly in periods of market stress. There is a substantial risk of loss in trading futures.
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 index and Auspice. Forward- looking statements are not historical facts but reflect the current expectations regarding future results or events. Such forward-looking statements reflect current beliefs held by Auspice 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 Auspice believes to be reasonable, Auspice cannot 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 and may not be appropriate for other purposes. Auspice assumes no obligation to update or revise them to reflect new events or circumstances, except as required by law.
The Auspice U.S. Equity Plus Trend Index (AUSEPTI) is a proprietary product of Auspice Capital Advisors Ltd. Redistribution or reproduction in whole or in part is prohibited without prior written permission.
The CME E-mini S&P 500 futures contract is a product of CME Group Inc. "S&P 500" is a registered trademark of S&P Global, Inc. The use of the CME E-mini S&P 500 futures contract and S&P 500 trademark as Index components does not imply any sponsorship or affiliation between Auspice and CME Group Inc. or S&P Global, Inc. TreasuryDirect is a service of the U.S. Department of the Treasury - use of its public data does not imply endorsement of this Index by the U.S. Department of the Treasury.
It is not possible to invest directly in an index. Auspice is not an investment advisor or commodity trading advisor with respect to this Index and makes no representation regarding the advisability of any investment linked to this Index.
In the United States, Auspice Capital Advisors Ltd. is registered with the CFTC as a Commodity Trading Advisor and is a member of the NFA.
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