Auspice Capital Advisors Ltd : Auspice Short Term

Year-to-Date
0.42%
Mar Performance
2.58%
Min Investment
$ 5,000k
Mgmt. Fee
1.00%
Perf. Fee
30.00%
Annualized Vol
19.30%
Sharpe (RFR=1%)
0.45
CAROR
8.29%
Assets
$ 13.5M
Worst DD
-17.56
S&P Correlation
0.03

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
5/2014
Auspice Short Term 2.58 -0.42 -0.42 3.05 13.69 36.84 - 73.43
S&P 500 4.24 9.21 9.21 58.70 55.31 97.12 - 111.07
+/- S&P 500 -1.66 -9.63 -9.63 -55.65 -41.62 -60.28 - -37.64

Strategy Description

Summary

AST uses both mean reversion and short-term momentum in a tactical (non-trend following) strategy. Markets tend to move in waves. Strong moves in one direction are often followed by retracements in the opposite direction. AST identifies turning points and exploits the reversion momentum... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 3.00
Management Fee 1.00%
Performance Fee 30.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1500 RT/YR/$M
Avg. Margin-to-Equity 2%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Energy Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 0%
Intraday 100.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

AST uses both mean reversion and short-term momentum in a tactical (non-trend following) strategy. Markets tend to move in waves. Strong moves in one direction are often followed by retracements in the opposite direction. AST identifies turning points and exploits the reversion momentum for a short term gain. Strategy highlights the unique skills and experience of principals, former institutional option traders at a major energy merchant and bank.

Investment Strategy

Strategy Attributes
• Equity type profile, zero beta.
• Trade duration < 1day (no overnight exposure)
• No correlation to CTAs, equities, other Short Term managers and benchmarks
• High positive skew illustrating controlled downside and upside volatility with modest drawdown
• Focused exclusively on liquid energy contracts
• Target volatility can be tailored
• Limited capacity offered

   

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
-17.56 6 16 9/1/2016 3/1/2017
-16.41 1 2 4/1/2016 5/1/2016
-14.89 6 - 11/1/2018 5/1/2019
-5.66 1 1 8/1/2015 9/1/2015
-4.87 1 1 2/1/2016 3/1/2016
-4.01 1 1 12/1/2015 1/1/2016
-3.21 2 1 8/1/2018 10/1/2018
-3.09 1 1 6/1/2015 7/1/2015
-2.02 1 1 10/1/2015 11/1/2015
-2.01 4 1 9/1/2014 1/1/2015
-0.87 3 2 1/1/0001 7/1/2014
-0.37 1 1 4/1/2015 5/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
36.45 4 6/1/2016 9/1/2016
22.21 4 5/1/2018 8/1/2018
18.90 1 4/1/2016 4/1/2016
14.77 3 6/1/2019 8/1/2019
12.85 1 8/1/2015 8/1/2015
9.72 1 10/1/2015 10/1/2015
9.60 3 5/1/2020 7/1/2020
8.90 3 2/1/2015 4/1/2015
7.52 2 8/1/2014 9/1/2014
6.99 1 2/1/2016 2/1/2016
5.85 1 11/1/2018 11/1/2018
5.72 1 1/1/2020 1/1/2020
5.22 1 9/1/2020 9/1/2020
5.20 3 8/1/2017 10/1/2017
3.93 2 2/1/2021 3/1/2021
3.35 1 6/1/2017 6/1/2017
2.25 1 12/1/2015 12/1/2015
1.15 1 3/1/2018 3/1/2018
1.08 1 11/1/2019 11/1/2019
0.95 1 6/1/2015 6/1/2015
0.94 1 12/1/2017 12/1/2017
0.83 1 4/1/2017 4/1/2017
0.80 1 12/1/2016 12/1/2016
0.37 1 11/1/2014 11/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.23 3 1/1/2017 3/1/2017
-16.41 1 5/1/2016 5/1/2016
-14.89 6 12/1/2018 5/1/2019
-8.19 4 10/1/2020 1/1/2021
-8.03 3 2/1/2020 4/1/2020
-6.44 2 9/1/2019 10/1/2019
-5.66 1 9/1/2015 9/1/2015
-4.87 1 3/1/2016 3/1/2016
-4.01 1 1/1/2016 1/1/2016
-3.52 1 8/1/2020 8/1/2020
-3.21 2 9/1/2018 10/1/2018
-3.09 1 7/1/2015 7/1/2015
-2.78 1 12/1/2019 12/1/2019
-2.06 1 4/1/2018 4/1/2018
-2.02 1 11/1/2015 11/1/2015
-1.97 2 1/1/2018 2/1/2018
-1.49 2 12/1/2014 1/1/2015
-1.42 1 7/1/2017 7/1/2017
-1.19 2 10/1/2016 11/1/2016
-0.90 1 10/1/2014 10/1/2014
-0.87 3 5/1/2014 7/1/2014
-0.37 1 5/1/2015 5/1/2015
-0.36 1 5/1/2017 5/1/2017
-0.11 1 11/1/2017 11/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods83.003.006.0012.0018.0024.0036.0048.0060.00
Percent Profitable48.190.000.0075.0055.5654.1797.22100.0096.67
Average Period Return0.81-2.51-4.832.800.110.3613.0317.6329.67
Average Gain4.524.212.152.9013.4617.6330.70
Average Loss-2.64-2.51-4.83-1.42-2.44-2.65-2.06-0.34
Best Period28.09-0.42-2.228.005.506.9422.6332.0247.60
Worst Period-16.41-4.19-8.19-2.93-5.17-6.82-2.060.47-0.61
Standard Deviation5.571.922.333.242.823.505.418.8011.14
Gain Standard Deviation5.352.251.762.194.828.809.79
Loss Standard Deviation2.951.922.331.321.372.010.38
Sharpe Ratio (1%)0.13-1.44-2.290.56-0.49-0.471.851.542.21
Average Gain / Average Loss1.712.970.881.106.5389.48
Profit / Loss Ratio1.598.921.101.30228.712594.86
Downside Deviation (10%)3.044.057.613.677.9710.475.618.947.55
Downside Deviation (5%)2.873.175.741.332.813.450.850.741.00
Downside Deviation (0%)2.832.965.280.891.842.210.340.08
Sortino Ratio (10%)0.13-0.92-0.96-0.60-0.94-0.94-0.49-0.440.27
Sortino Ratio (5%)0.25-0.87-0.931.35-0.50-0.4811.7918.3424.69
Sortino Ratio (0%)0.29-0.85-0.923.150.060.1637.95373.05

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.