Auspice Capital Advisors Ltd : Auspice Tactical Futures Program (ATFP)

Year-to-Date
13.73%
Oct Performance
-4.19%
Min Investment
$ 5,000k
Mgmt. Fee
0.60%
Perf. Fee
0%
Annualized Vol
9.90%
Sharpe (RFR=1%)
-0.21
CAROR
-
Assets
$ 52.0M
Worst DD
-13.73
S&P Correlation
-0.40

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
4/2018
Auspice Tactical Futures Program (ATFP) -4.19 -5.19 -13.73 -4.88 - - - -2.41
S&P 500 2.04 1.92 21.16 12.01 - - - 14.70
+/- S&P 500 -6.23 -7.11 -34.89 -16.89 - - - -17.11

Strategy Description

Summary

ATFP (Auspice Tactical Futures Program) is a bespoke strategy created for institutional CTA investors looking for the benefits of a liquid alternative CTA strategy sector along with the added features. The program is an extension of research of both Auspice Diversified and the AMFERI... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 1,000k
CTA Max Funding Factor
5.00
Management Fee
0.60%
Performance Fee
0%
Average Commission
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
500 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
11.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
80.00%
1-3 Months
0%
1-30 Days
20.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Momentum
85.00%
Other
15.00%
Strategy Pie Chart

Composition

Currency Futures
17.00%
Energy
17.00%
Interest Rates
17.00%
Grains
16.00%
Softs
16.00%
Industrial Metals
9.00%
Precious Metals
8.00%
Composition Pie Chart

Summary

ATFP (Auspice Tactical Futures Program) is a bespoke strategy created for institutional CTA investors looking for the benefits of a liquid alternative CTA strategy sector along with the added features. The program is an extension of research of both Auspice Diversified and the AMFERI (Auspice Managed Futures Index Excess Return Index) strategies.

Investment Strategy

ATFP is designed to deliver absolute returns while maintaining a low correlation to equities. It captures medium to long term momentum, and roll return across a diverse basket of global futures markets A key differentiator of this strategy is that it does not trade equity markets, which makes it an excellent diversifier when combined with equity based portfolios and other traditional alternatives. Additional features include (but not limited to) an expanded portfolio and added financial weighting (versus commodity). The program is not restricted by a gross notional risk weighting level and is not index tracking as in the case of AMFERI.

Risk Management

Embedded into Investment strategy rules-based.systematic. All positions have a stop.

Fees and Availability

Auspice offers the ATFP program with management fee or performance fee only as well as management fee draw on performance options. Strategy is currently closed for investment at illustrated management fee only option. Please contact Auspice.

   

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
-13.73 10 - 12/1/2018 10/1/2019
-2.58 3 1 7/1/2018 10/1/2018
-0.21 1 1 1/1/0001 4/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
10.26 2 11/1/2018 12/1/2018
5.54 3 5/1/2018 7/1/2018
2.82 1 8/1/2019 8/1/2019
2.38 2 4/1/2019 5/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.79 2 9/1/2019 10/1/2019
-6.12 2 6/1/2019 7/1/2019
-5.33 3 1/1/2019 3/1/2019
-2.58 3 8/1/2018 10/1/2018
-0.21 1 4/1/2018 4/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods19.0017.0014.008.00
Percent Profitable42.1147.0664.2962.50
Average Period Return-0.090.280.561.92
Average Gain2.584.064.505.06
Average Loss-2.03-3.09-6.54-3.30
Best Period5.528.008.329.77
Worst Period-4.23-6.02-10.90-4.88
Standard Deviation2.864.365.935.45
Gain Standard Deviation1.762.672.034.26
Loss Standard Deviation1.632.162.811.39
Sharpe Ratio (1%)-0.060.010.010.17
Average Gain / Average Loss1.271.320.691.53
Profit / Loss Ratio0.921.171.242.55
Downside Deviation (10%)2.203.485.595.60
Downside Deviation (5%)2.002.854.472.73
Downside Deviation (0%)1.952.694.192.14
Sortino Ratio (10%)-0.23-0.27-0.34-0.55
Sortino Ratio (5%)-0.090.010.010.34
Sortino Ratio (0%)-0.050.100.130.90

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.