Tracking CTAs since 1994
CTA Profiles
Tracking CTAs since 1994
Principal(s): Tim Pickering & Ken Corner
Strategy: Commodity ER Index/ Long Flat
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Investment Restrictions: 4.7 Exempt - Qualified Eligible Persons Only++
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The Auspice Broad Commodity Index aims to capture upward trends in the commodity markets while minimizing risk during downtrends. The index uses a quantitative methodology to track either long or flat positions in a diversified portfolio of 12 commodity futures which cover the energy, metal, and agricultural sectors. The index incorporates dynamic risk management and contract rolling methods.
Systematic Component Weighting: The Index will take a long, flat (zero weight) or short position of a commodity based on the current state of the markets. Quantitative Risk Management: Position weighting and rebalancing is based on a measure of volatility. This approach to risk management lowers the volatility and improves the risk adjusted returns of the index. Contract Roll Optimization: The Index roll strategy seeks to minimize the negative impacts, and maximizes the positive impacts of contango and backwardation by selecting the contract with the highest expected roll return along the forward curve.
The team at Auspice is led by two veteran commodity professionals, Tim Pickering and Ken Corner. The team has 15 years institutional trading and risk management experience. Their background consists of trading OTC and exchange traded derivatives in energy, commodities, currency, and interest rates. Tim Pickering, President of Auspice, held previous senior trading roles at TD Securities and Shell Trading (V.P. Options Trading North America). Ken Corner also held senior trading roles at Shell Trading and TD Securities (V.P. Options Trading).
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 0.56% | -0.48% | 3.44% | 3.52% | -0.48% | |||||||||
| 2024 | 0.03% | -0.57% | 2.14% | 2.80% | 1.22% | -1.46% | -0.78% | -0.88% | 1.02% | 0.86% | -1.42% | -1.20% | 1.66% | -3.83% |
| 2023 | 2.78% | -2.85% | 3.23% | 2.07% | -2.31% | -2.87% | 1.34% | -1.09% | 0.61% | -2.04% | -1.85% | -2.89% | -6% | -10.66% |
| 2022 | 3.57% | 5.21% | 6.42% | 1.60% | -0.19% | -4.61% | -2.46% | -0.26% | -1.18% | -0.14% | -0.25% | 1.16% | 8.68% | -8.82% |
| 2021 | 3.09% | 7.65% | -1.44% | 7.25% | 1.13% | 1.90% | 1.55% | 0.38% | 2.64% | 3.41% | -4.62% | 3.28% | 28.83% | -4.62% |
| 2020 | -5.36% | -3.02% | -2.89% | 0.07% | 0.20% | 0.19% | 3.67% | 3.62% | 0.65% | 0.67% | 2.41% | 6.13% | 5.93% | -10.87% |
| 2019 | 1.74% | -0.55% | -1.44% | -0.18% | -6.28% | 2.52% | -0.27% | 0.51% | -1.08% | 1.17% | -0.71% | 1.75% | -3.07% | -8.3% |
| 2018 | 0.58% | -1.63% | 0.40% | 2.80% | 2.68% | -3.16% | 0.60% | -0.20% | 0.72% | -2.60% | -1.09% | 0.10% | -0.98% | -5.66% |
| 2017 | -1.59% | -0.44% | -2.38% | -3.08% | -0.56% | -2.35% | -2.06% | 1.31% | -1.82% | 1.74% | 0.43% | 2.78% | -7.91% | -12.31% |
| 2016 | -0.69% | 1.01% | 0.92% | 4.00% | 0.00% | 2.64% | -0.61% | -1.75% | 1.94% | -1.15% | 0.49% | 1.59% | 8.56% | -2.35% |
| 2015 | -2.13% | -0.18% | -1.64% | 0.99% | -1.78% | -0.08% | -7.77% | -1.59% | -0.27% | -0.01% | 0.13% | 0.29% | -13.44% | -13.8% |
| 2014 | -2.41% | 2.68% | -1.23% | 1.27% | -3.79% | 1.03% | -3.57% | -0.96% | -1.64% | 0.00% | 0.00% | -0.54% | -8.97% | -9.18% |
| 2013 | 2.45% | -2.32% | 0.87% | -1.42% | -0.55% | -0.27% | -0.11% | 1.03% | -2.26% | -1.57% | 0.55% | 0.39% | -3.27% | -6.47% |
| 2012 | 0.90% | 2.28% | 0.09% | -0.38% | -6.43% | 2.24% | 5.41% | -0.37% | 0.82% | -3.79% | 0.64% | -1.92% | -1.02% | -6.79% |
| 2011 | 2.44% | 4.23% | 1.96% | 4.32% | -5.11% | -2.84% | 2.88% | 0.73% | -6.28% | 0.59% | -0.46% | -1.25% | 0.55% | -11.46% |
| 2010 | 7.35% | 1.02% | 9.66% | 18.92% | 0% | |||||||||
| Years | 2010 | 2011 | 2012 | 2013 | 2014 | 2015 |
|---|---|---|---|---|---|---|
| ROR | 18.92% | 0.55% | -1.02% | -3.27% | -8.97% | -13.44% |
| Max DD | 0.00% | -11.46% | -6.79% | -6.47% | -9.18% | -13.80% |
| Years | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 |
|---|---|---|---|---|---|---|
| ROR | 8.56% | -7.91% | -0.98% | -3.07% | 5.93% | 28.83% |
| Max DD | -2.35% | -12.31% | -5.66% | -8.30% | -10.87% | -4.62% |
| Years | 2022 | 2023 | 2024 | 2025 YTD |
|---|---|---|---|---|
| ROR | 8.68% | -6.00% | 1.66% | 3.52% |
| Max DD | -8.82% | -10.66% | -3.83% | -0.48% |
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.
