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:
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:
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.