Auspice Capital Advisors Ltd : Auspice Broad Commodity Excess Return Index

Year-to-Date
1.59%
Jan Performance
-1.59%
Min Investment
$ 5,000k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
9.51%
Sharpe (RFR=1%)
-0.12
CAROR
-0.58%
Assets
$ 86.1M
Worst DD
-33.67
S&P Correlation
0.41

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

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

Program / Index Jan Qtr YTD 1yr 3yr 5yr 10yr Since
10/2010
Auspice Broad Commodity Excess Return Index -1.59 0.46 -1.59 7.57 -13.75 -20.13 - -3.63
S&P 500 1.79 7.18 1.79 17.45 27.84 73.64 - 92.56
+/- S&P 500 -3.38 -6.72 -3.38 -9.88 -41.59 -93.77 - -96.19

Strategy Description

Summary

The Auspice Broad Commodity Index aims to capture upward trends in the commodity markets while minimizing risk during downtrends. The index will use a quantitative methodology to track either long or flat positions in a diversified portfolio of 12 commodity futures which cover the... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.50
Management Fee
0%
Performance Fee
0%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
N/A
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Grains
41.00%
Energy
33.00%
Industrial Metals
26.00%
Composition Pie Chart

Summary

The Auspice Broad Commodity Index aims to capture upward trends in the commodity markets while minimizing risk during downtrends. The index will use 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. 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 can either be long or flat (no position) at any time. The decision to be long or flat is based on the entry/exit rules. The index uses a quantitative trend following strategy to determine entries and exits. There is no diversification requirement that forces the index to have positions on regardless of the direction of the prevailing trend, i.e. if the trend in any (or all) commodities is determined to be down, the index will take a flat position(s).

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.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-33.67 57 - 4/1/2011 1/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
35.06 7 10/1/2010 4/1/2011
7.77 2 6/1/2012 7/1/2012
6.02 3 2/1/2016 4/1/2016
3.63 2 7/1/2011 8/1/2011
3.29 3 1/1/2012 3/1/2012
2.68 1 2/1/2014 2/1/2014
2.64 1 6/1/2016 6/1/2016
2.45 1 1/1/2013 1/1/2013
2.09 2 11/1/2016 12/1/2016
1.94 1 9/1/2016 9/1/2016
1.27 1 4/1/2014 4/1/2014
1.03 1 8/1/2013 8/1/2013
1.03 1 6/1/2014 6/1/2014
0.99 1 4/1/2015 4/1/2015
0.94 2 11/1/2013 12/1/2013
0.87 1 3/1/2013 3/1/2013
0.82 1 9/1/2012 9/1/2012
0.64 1 11/1/2012 11/1/2012
0.59 1 10/1/2011 10/1/2011
0.42 2 11/1/2015 12/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.17 6 5/1/2015 10/1/2015
-10.22 9 7/1/2014 3/1/2015
-7.80 2 5/1/2011 6/1/2011
-6.79 2 4/1/2012 5/1/2012
-6.28 1 9/1/2011 9/1/2011
-3.79 2 9/1/2013 10/1/2013
-3.79 1 5/1/2014 5/1/2014
-3.79 1 10/1/2012 10/1/2012
-2.41 1 1/1/2014 1/1/2014
-2.35 2 7/1/2016 8/1/2016
-2.33 4 4/1/2013 7/1/2013
-2.32 1 2/1/2013 2/1/2013
-1.92 1 12/1/2012 12/1/2012
-1.70 2 11/1/2011 12/1/2011
-1.59 1 1/1/2017 1/1/2017
-1.23 1 3/1/2014 3/1/2014
-1.15 1 10/1/2016 10/1/2016
-0.69 1 1/1/2016 1/1/2016
-0.37 1 8/1/2012 8/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods76.0074.0071.0065.0059.0053.0041.0029.00
Percent Profitable46.0539.1935.2121.548.475.667.323.45
Average Period Return-0.01-0.21-1.13-4.03-7.26-10.09-15.33-20.07
Average Gain2.054.245.717.2410.2915.878.684.77
Average Loss-1.91-3.07-4.85-7.12-8.88-11.65-17.22-20.95
Best Period9.6618.9229.4620.9323.5124.6315.234.77
Worst Period-7.77-9.48-11.52-15.43-21.72-23.59-27.92-30.19
Standard Deviation2.755.177.177.427.958.808.787.96
Gain Standard Deviation2.095.157.665.478.767.595.67
Loss Standard Deviation1.882.462.924.185.636.005.586.48
Sharpe Ratio (1%)-0.03-0.09-0.23-0.68-1.10-1.38-2.09-3.03
Average Gain / Average Loss1.071.381.181.021.161.360.500.23
Profit / Loss Ratio0.990.890.640.280.110.080.040.01
Downside Deviation (10%)2.103.866.3611.3816.6622.0432.2842.34
Downside Deviation (5%)1.933.214.898.0711.2814.4720.2125.36
Downside Deviation (0%)1.883.054.547.3010.0312.7017.4121.52
Sortino Ratio (10%)-0.20-0.37-0.57-0.79-0.89-0.92-0.96-0.98
Sortino Ratio (5%)-0.05-0.14-0.33-0.62-0.78-0.84-0.91-0.95
Sortino Ratio (0%)-0.01-0.07-0.25-0.55-0.72-0.79-0.88-0.93

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.