Auspice Capital Advisors Ltd

Overview

The Program is a systematic managed futures strategy that trades exchange-traded futures in 7 market sectors. The program targets annualized returns of 10-15% with an annualized standard deviation of 15%. The objective is to produce absolute returns that are non-correlated to equity and bond investments, thus providing excellent diversification benefits for traditional investment portfolios. The portfolio is diversified across global commodity and financial futures and invests only in liquid exchange-traded futures contracts. Initially, no more than 1/7 of the fund's risk will be allocated to any single sector, ensuring broad portfolio diversification. The system is non-discretionary and aims to capitalize in both upward and downward trends. The strategy derives superior returns by adapting organically to changes in volatility and risk, resulting in greater efficiency in capturing the trends in each individual market traded. The strategy has a very low margin-to-equity ratio (average <7%), resulting in an efficient and scalable CTA exposure. Rigorous drawdown and scenario analysis is conducted to ensure robustness of the strategy and to provide clarity to the probable and possible return and risk scenarios.

Program Details