Auspice Capital Advisors Ltd : Auspice Diversified Program

Year-to-Date
1.90%
Apr Performance
3.50%
Min Investment
$ 1,500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.12%
Sharpe (RFR=1%)
0.11
CAROR
1.63%
Assets
$ 11.4M
Worst DD
-23.87
S&P Correlation
-0.16

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
4/2006
Auspice Diversified Program 3.50 2.34 -1.90 2.92 -7.83 6.82 3.39 23.51
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 234.05 122.46
+/- S&P 500 -0.43 -6.60 -19.41 -8.32 -49.02 -47.96 -230.66 -98.95

Strategy Description

Summary

Auspice 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%
Strategy Pie Chart

Composition

Summary

Auspice 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 Strategy

Auspice 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 Management

Risk 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.

   

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
-23.87 35 10 4/1/2011 3/1/2014
-21.23 17 6 1/1/0001 8/1/2007
-20.25 50 - 1/1/2015 3/1/2019
-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
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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
10.67 2 9/1/2007 10/1/2007
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
1.63 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
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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
-8.12 3 2/1/2018 4/1/2018
-7.79 4 8/1/2012 11/1/2012
-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
-3.29 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
-2.13 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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods157.00155.00152.00146.00140.00134.00122.00110.0098.00
Percent Profitable45.8641.9444.0841.7851.4361.1971.3171.8266.33
Average Period Return0.180.561.353.075.277.019.4812.4314.76
Average Gain2.845.839.6716.9118.3418.2117.9219.6025.05
Average Loss-2.06-3.25-5.20-6.86-8.57-10.65-11.52-5.83-5.50
Best Period14.5325.2333.9944.2260.5247.2353.7583.4163.55
Worst Period-6.16-8.13-12.33-17.35-17.72-19.79-22.72-19.35-10.25
Standard Deviation3.216.189.8414.2016.6817.1518.2222.6921.76
Gain Standard Deviation2.686.029.1811.3913.0111.8114.1422.8719.86
Loss Standard Deviation1.382.233.014.094.435.126.295.553.01
Sharpe Ratio (1%)0.030.050.090.150.230.290.350.370.44
Average Gain / Average Loss1.381.791.862.472.141.711.563.364.56
Profit / Loss Ratio1.171.291.461.772.262.703.878.578.98
Downside Deviation (10%)2.083.816.199.6211.7813.5815.9718.6322.60
Downside Deviation (5%)1.873.164.826.757.678.508.486.126.46
Downside Deviation (0%)1.823.004.496.086.717.357.014.243.62
Sortino Ratio (10%)-0.11-0.18-0.18-0.20-0.20-0.24-0.39-0.49-0.57
Sortino Ratio (5%)0.050.100.180.310.490.590.761.371.50
Sortino Ratio (0%)0.100.190.300.510.780.951.352.934.07

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.