Auspice Capital Advisors Ltd : Auspice Managed Futures Excess Return Index
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Year-to-Date
4.53%
May 0.55%
|
Min. Investment
|
$ 5,000k
|
Inception
|
Dec 2010
|
Assets
|
$ 104.4M
|
|
Mgmt Fee
|
0%
|
Sharpe (RFR=1%)
|
0.43
|
Worst DD
|
-11.27
|
|
Perf Fee
|
0%
|
CAROR
|
5.09%
|
S&P Correlation
|
-0.02
|
Growth of 1,000 - VAMI
Monthly Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | DD |
| 2013 | 0.08 | 0.55 | 1.01 | 2.27 | 0.55 | | | | | | | | 4.53 | N/A |
| 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 | -7.47 | -8.39 |
| 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 | -8.21 |
| 2010 | | | | | | | | | | | | 7.91 | 7.91 | N/A |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS
IN TRADING COMMODITY FUTURES, OPTIONS, AND FOREIGN EXCHANGE ("FOREX") IS SUBSTANTIAL.
Period Returns
|
|
May
|
Qtr
|
YTD
|
1yr
|
3yr
|
5yr
|
10yr
|
Since
12/2010
|
|
Auspice Managed Futures Excess Return Index
|
0.55
|
3.87
|
4.53
|
-1.67
|
-
|
-
|
-
|
13.21
|
|
S&P 500
|
2.08
|
7.66
|
14.34
|
24.45
|
-
|
-
|
-
|
29.65
|
|
+/- S&P 500
|
-1.53
|
-3.79
|
-9.82
|
-26.12
|
-
|
-
|
-
|
-16.43
|
Strategy Description
Summary
The Auspice Managed Futures Index aims to capture upward and downward trends in the commodity and financial markets while carefully managing risk. The index will use a quantitative methodology to track either long or short positions in a diversified portfolio...
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Strategy Description
Summary
The Auspice Managed Futures Index aims to capture upward and downward trends in the commodity and financial markets while carefully managing risk. The index will use a quantitative methodology to track either long or short positions in a diversified portfolio of 21 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 as either a total return index (includes a collateral return) or as an excess return index (no collateral return). The indices were created to yield a benchmark value of 1000 on January 1, 2000.
Investment Strategy
The Index components can either be long or short at any time. The decision to be long or short is based on the entry/exit rules and can occur on any day. The index uses a quantitative trend following strategy to determine entries and exits. The fund is positioned either long or short in each component at all times depending on the direction of the prevailing trend.
Risk Management
The Index allocates risk and sizes positions based on each component’s historical volatility. Position sizes are normalized based on the volatility of the component’s price. The measure of volatility that the Index uses is the Average True Range. The size of the position that the index takes in any component is dependent only upon the individual component’s volatility and the total index value, i.e. it is independent of any other component’s volatility or position.