Auspice Capital Advisors Ltd : Auspice Diversified Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 18.47% Dec Performance 6.73% Min Investment $ 1,500k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 11.72% Sharpe (RFR=1%) 0.16 CAROR 2.26% Assets $ 41.5M Worst DD -23.87 S&P Correlation -0.15 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since4/2006 Auspice Diversified Program 6.73 10.69 18.47 18.47 9.81 5.16 3.66 39.08 S&P 500 3.71 11.69 16.26 16.26 40.48 81.90 195.57 183.63 +/- S&P 500 3.02 -1.00 2.21 2.21 -30.67 -76.74 -191.92 -144.55 Strategy Description SummaryAuspice is an innovative alternative asset manager that focuses on applying rules-based investment strategies across a broad range of financial and commodity markets. Auspice offers liquid alternative and commodity strategies that provide the benefits of active management and the... Read More Account & Fees Type Managed Account Minimum Investment $ 1,500k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $4.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 1-7 Days Redemption Frequency 1-7 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 378 RT/YR/$M Avg. Margin-to-Equity 7% Targeted Worst DD Worst Peak-to-Trough 0% 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% Composition SummaryAuspice is an innovative alternative asset manager that focuses on applying rules-based investment strategies across a broad range of financial and commodity markets. Auspice offers liquid alternative and commodity strategies that provide the benefits of active management and the efficiency of indexing. By being rules-based, Auspice offers products with greater transparency, liquidity, and cost effectiveness via multiple delivery mechanisms (Hedge Funds, ETFs, Indexes, and bespoke products). Auspice works with a wide range of clients and develops solutions to improve their portfolio or product suite. Our strategies are available to institutions, financial professionals and high net worth individual investors as well as retail investors through the Auspice brand as well as sub-advisory and licensing arrangements. In 2015, Auspice became an ETF manufacturer in Canada with the launch of the innovative Canadian Crude Oil Index ETF (CCX on TSX).Investment StrategyAuspice Diversified is our flagship strategy. It represents the culmination of the ongoing research and experience at Auspice. It is our most evolving and unconstrained rules based strategy. Auspice Diversified is a multi-strategy liquid alternative strategy that invests in a broad spectrum of global financial and commodity markets. Using a disciplined rules-based investment process, and drawing from the Auspice eBeta™ Building Blocks, the strategy aims to capture dominant trends long and short, agnostic to market direction and popular consensus. Risk management and capital allocation are non-discretionary and based on rigorous drawdown and scenario analysis with the primary objective to preserve capital.Risk ManagementRisk is managed on a portfolio, sector, and commodity basis and this includes position re-sizing based on changing proprietary risk conditions in the market. Risk is normalized such that component and sector risks are balanced across the portfolio. Every step possible is taken to avoid the pitfall of over-optimization. System parameters are either self-adapting or are chosen through optimization on a portfolio level to maximize robustness. Research is conducted to clearly understand any risk that could derail the system. Particular emphasis is placed on understanding risk on a portfolio level. Preserving capital is the backbone of the approach. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -23.87 53 - 1/1/2015 6/1/2019 -23.87 35 10 4/1/2011 3/1/2014 -21.23 17 6 1/1/0001 8/1/2007 -11.26 11 9 2/1/2009 1/1/2010 -7.49 2 2 6/1/2008 8/1/2008 -3.29 2 2 2/1/2008 4/1/2008 -2.46 1 1 10/1/2010 11/1/2010 -1.17 1 1 2/1/2011 3/1/2011 -0.61 1 1 12/1/2008 1/1/2009 Show More Consecutive Gains Run-up Length (Mos.) Start End 28.65 4 9/1/2008 12/1/2008 23.71 3 12/1/2007 2/1/2008 16.76 3 11/1/2014 1/1/2015 13.85 3 12/1/2010 2/1/2011 12.81 2 8/1/2014 9/1/2014 11.29 3 8/1/2010 10/1/2010 11.18 2 7/1/2019 8/1/2019 10.69 3 10/1/2020 12/1/2020 10.67 2 9/1/2007 10/1/2007 9.72 1 3/1/2020 3/1/2020 5.81 3 6/1/2020 8/1/2020 5.53 2 7/1/2018 8/1/2018 5.36 2 11/1/2018 12/1/2018 5.30 1 4/1/2011 4/1/2011 5.16 1 10/1/2017 10/1/2017 4.85 1 11/1/2009 11/1/2009 3.81 2 12/1/2017 1/1/2018 3.60 2 5/1/2008 6/1/2008 3.58 1 4/1/2016 4/1/2016 3.50 1 4/1/2019 4/1/2019 3.48 2 8/1/2006 9/1/2006 3.25 1 4/1/2014 4/1/2014 3.24 2 11/1/2015 12/1/2015 3.11 1 2/1/2016 2/1/2016 3.00 2 6/1/2016 7/1/2016 2.98 5 2/1/2010 6/1/2010 2.77 1 7/1/2011 7/1/2011 2.76 1 8/1/2017 8/1/2017 2.68 1 11/1/2016 11/1/2016 2.65 1 6/1/2014 6/1/2014 2.56 2 4/1/2012 5/1/2012 2.54 1 1/1/2012 1/1/2012 2.20 2 8/1/2009 9/1/2009 2.05 2 10/1/2013 11/1/2013 1.67 2 11/1/2019 12/1/2019 1.63 2 3/1/2013 4/1/2013 1.62 1 2/1/2014 2/1/2014 1.57 2 12/1/2012 1/1/2013 1.41 1 5/1/2018 5/1/2018 1.32 1 7/1/2012 7/1/2012 1.17 1 11/1/2011 11/1/2011 1.08 1 2/1/2009 2/1/2009 0.82 1 6/1/2013 6/1/2013 0.75 1 5/1/2006 5/1/2006 0.71 1 5/1/2007 5/1/2007 0.47 1 3/1/2015 3/1/2015 0.26 1 9/1/2015 9/1/2015 0.15 1 6/1/2009 6/1/2009 Show More Consecutive Losses Run-up Length (Mos.) Start End -12.04 7 10/1/2006 4/1/2007 -10.88 5 4/1/2015 8/1/2015 -10.59 8 12/1/2016 7/1/2017 -8.82 2 9/1/2019 10/1/2019 -8.12 3 2/1/2018 4/1/2018 -7.79 4 8/1/2012 11/1/2012 -7.77 2 5/1/2019 6/1/2019 -7.70 3 8/1/2011 10/1/2011 -7.49 2 7/1/2008 8/1/2008 -7.37 3 6/1/2007 8/1/2007 -6.93 2 6/1/2006 7/1/2006 -6.90 2 12/1/2009 1/1/2010 -6.80 3 7/1/2013 9/1/2013 -6.16 1 6/1/2012 6/1/2012 -6.06 3 3/1/2009 5/1/2009 -5.55 2 9/1/2018 10/1/2018 -5.22 3 1/1/2019 3/1/2019 -4.93 1 3/1/2016 3/1/2016 -3.90 3 8/1/2016 10/1/2016 -3.62 2 4/1/2020 5/1/2020 -3.29 2 3/1/2008 4/1/2008 -3.26 2 5/1/2011 6/1/2011 -3.23 1 7/1/2009 7/1/2009 -3.12 1 12/1/2011 12/1/2011 -3.11 1 5/1/2014 5/1/2014 -2.75 1 10/1/2015 10/1/2015 -2.53 1 9/1/2017 9/1/2017 -2.46 1 11/1/2010 11/1/2010 -2.37 2 12/1/2013 1/1/2014 -2.30 1 10/1/2009 10/1/2009 -2.25 2 1/1/2020 2/1/2020 -2.15 1 9/1/2020 9/1/2020 -2.13 1 11/1/2007 11/1/2007 -2.05 1 2/1/2013 2/1/2013 -2.03 2 2/1/2012 3/1/2012 -1.93 1 2/1/2015 2/1/2015 -1.84 1 3/1/2014 3/1/2014 -1.64 1 5/1/2016 5/1/2016 -1.48 1 6/1/2018 6/1/2018 -1.17 1 3/1/2011 3/1/2011 -1.07 1 4/1/2006 4/1/2006 -1.02 1 7/1/2010 7/1/2010 -0.78 1 10/1/2014 10/1/2014 -0.73 1 5/1/2013 5/1/2013 -0.61 1 1/1/2009 1/1/2009 -0.43 1 7/1/2014 7/1/2014 -0.27 1 11/1/2017 11/1/2017 -0.22 1 1/1/2016 1/1/2016 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods177.00175.00172.00166.00160.00154.00142.00130.00118.00 Percent Profitable46.8944.5746.5142.7750.6359.7466.2061.5458.47 Average Period Return0.240.661.422.864.595.947.529.1810.92 Average Gain2.935.629.0815.6117.0516.6316.9019.4023.80 Average Loss-2.13-3.33-5.25-6.66-8.19-9.93-10.85-7.18-7.22 Best Period14.5325.2333.9944.2260.5247.2353.7583.4163.55 Worst Period-7.59-8.13-12.33-17.35-17.72-19.79-22.72-20.06-23.15 Standard Deviation3.386.089.5313.5715.9616.3617.8122.3421.88 Gain Standard Deviation2.835.698.6311.1912.9812.0614.1022.7919.93 Loss Standard Deviation1.572.263.043.944.425.136.125.705.45 Sharpe Ratio (1%)0.050.070.100.140.190.240.250.230.27 Average Gain / Average Loss1.381.691.732.342.081.681.562.703.30 Profit / Loss Ratio1.211.361.501.752.132.493.054.324.64 Downside Deviation (10%)2.173.786.099.3711.6513.4816.8920.9725.52 Downside Deviation (5%)1.973.144.756.517.488.238.817.888.72 Downside Deviation (0%)1.922.994.435.856.537.087.225.665.81 Sortino Ratio (10%)-0.08-0.15-0.17-0.23-0.26-0.32-0.49-0.59-0.65 Sortino Ratio (5%)0.080.130.190.290.410.480.510.650.67 Sortino Ratio (0%)0.130.220.320.490.700.841.041.621.88 Top Performer Badges Index Award Type Rank Performance Period Trend Following Strategy Index Month 9 3.25 4/2014 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel