Auspice Capital Advisors Ltd : Auspice Diversified Program

Year-to-Date: 3.87%
Apr Performance: -3.16%

Min Investment: $ 1,500k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 11.79%
Sharpe (RFR=0%): 0.09
CAROR: 1.42%

Assets: $ 15.8M
Worst DD: -23.87
S&P Correlation: -0.19

Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page

Growth of 1,000 - VAMI

Monthly Performance

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	-3.16	6.25	3.87	6.66	-0.34	-14.74	6.30	21.94
S&P 500	12.68	-9.71	-9.85	-1.14	20.91	38.23	142.89	129.88
+/- S&P 500	-15.84	15.96	13.72	7.79	-21.26	-52.97	-136.59	-107.94

Strategy Description

Summary

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

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.

Compare to:

{{result.name}} {{result.description}}

Index: Chart Type:

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:

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

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
10.67	2	9/1/2007	10/1/2007
9.72	1	3/1/2020	3/1/2020
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

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
-3.29	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
-3.16	1	4/1/2020	4/1/2020
-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
-2.13	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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	169.00	167.00	164.00	158.00	152.00	146.00	134.00	122.00	110.00
Percent Profitable	45.56	42.51	44.51	39.87	49.34	58.22	65.67	64.75	61.82
Average Period Return	0.17	0.52	1.16	2.56	4.50	6.08	7.76	10.06	12.06
Average Gain	2.95	5.73	9.21	16.46	17.68	17.67	17.73	19.60	24.07
Average Loss	-2.15	-3.33	-5.30	-6.66	-8.34	-10.08	-11.31	-7.47	-7.38
Best Period	14.53	25.23	33.99	44.22	60.52	47.23	53.75	83.41	63.55
Worst Period	-7.59	-8.13	-12.33	-17.35	-17.72	-19.79	-22.72	-20.06	-23.15
Standard Deviation	3.40	6.14	9.63	13.80	16.27	16.78	18.29	22.77	22.17
Gain Standard Deviation	2.88	5.87	8.95	11.49	13.16	11.93	14.17	22.87	19.95
Loss Standard Deviation	1.58	2.27	3.01	3.94	4.38	5.01	5.83	6.04	5.44
Sharpe Ratio (1%)	0.03	0.04	0.07	0.11	0.18	0.24	0.26	0.26	0.31
Average Gain / Average Loss	1.37	1.72	1.74	2.47	2.12	1.75	1.57	2.62	3.26
Profit / Loss Ratio	1.15	1.27	1.39	1.64	2.07	2.44	3.00	4.82	5.28
Downside Deviation (10%)	2.21	3.86	6.23	9.60	11.88	13.73	17.10	20.60	24.88
Downside Deviation (5%)	2.01	3.21	4.86	6.68	7.66	8.45	9.06	7.80	8.47
Downside Deviation (0%)	1.96	3.05	4.54	6.00	6.69	7.27	7.44	5.68	5.64
Sortino Ratio (10%)	-0.11	-0.18	-0.21	-0.25	-0.26	-0.30	-0.47	-0.56	-0.63
Sortino Ratio (5%)	0.05	0.09	0.14	0.23	0.39	0.48	0.52	0.77	0.82
Sortino Ratio (0%)	0.09	0.17	0.25	0.43	0.67	0.84	1.04	1.77	2.14

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.

^#9

Top Performer

TREND FOLLOWING STRATEGY INDEX

APRIL
2014

Get Free Research Report on This CTA

Get additional information on Auspice Capital Advisors Ltd, including performance, charts, statistics, ratios, and more.

First Name is required.

Last Name is required.

Email is required. This is not a valid email.

Phone is required.

* Required fields

More Programs by Auspice Capital Advisors Ltd

Program Name	CAROR
Auspice Diversified Program	1.42%
Auspice Managed Futures Excess Return Index	0.93%
Auspice Tactical Futures Program (ATFP)	0.20%
Auspice Broad Commodity Excess Return Index	-2.66%

IASG Activity

Blends 22
Portfolios 15
Watchlists 39

Account Log In

Reset Password

Register for an Account

Thank You

Find the right managed futures programs for you with our comprehensive free CTA database.

Auspice Capital Advisors Ltd : Auspice Diversified Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

{{title}}

{{title}}

Connect With Us for Latest CTA News & Rankings

Get the Full Picture

Register now to access our complete CTA database: