Autumn Gold Retail Report
Report Start Date: Jan-2020 - Report End Date: Nov-2025
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Auspice Capital Advisors - Auspice Managed Futures LP Series 1
Trading Strategy: Trend Follower / Diversified
Investment Restrictions: 4.7 Exempt - Qualified Eligible Persons Only
| Performance Since January 2020 | Track Record Compiled By: SGGG Fund Services (Toronto) | Please See Accounting Notes |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 0.64% | -2.50% | -0.57% | -3.39% | -1.70% | 0.50% | -0.27% | 1.88% | 4.69% | 2.54% | -0.30% | – | 1.26% | -7.93% |
| 2024 | -1.18% | 2.95% | -0.04% | 2.71% | -2.12% | -2.64% | -0.97% | -1.78% | 0.85% | -3.00% | 0.80% | 1.73% | -2.88% | -9.32% |
| 2023 | 2.15% | -3.64% | 0.34% | 2.92% | 0.87% | -2.21% | -0.36% | -0.80% | 3.37% | -3.36% | -3.35% | -0.49% | -4.79% | -7.14% |
| 2022 | 2.20% | 4.32% | 7.95% | 3.54% | -1.84% | 0.55% | -2.90% | -0.17% | 2.43% | -0.51% | -4.30% | 0.00% | 11.19% | -6.70% |
| 2021 | 2.67% | 9.55% | -0.89% | 4.61% | 0.61% | -1.50% | -1.77% | 0.98% | 0.49% | 1.32% | -4.28% | -1.89% | 9.62% | -6.57% |
| 2020 | -2.06% | -0.19% | 9.72% | -3.16% | -0.47% | 0.28% | 3.36% | 2.08% | -2.15% | 0.99% | 2.69% | 6.73% | 18.46% | -3.62% |
Program Description: 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 Statistics |
|
| Peak-to-Valley Drawdown (2) | -26.05% |
| From Apr 2011 to Mar 2014 | |
| Worst Month (Sep 2019) | -7.59% |
| Current Losing Streak | -12.63% |
| Average Monthly Return | 0.21% |
| Annualized Performance |
|
| Compound ROR (1) | 1.97% |
| Standard Deviation | 11.09% |
| Sharpe Ratio | 0.19 |
| Sterling Ratio | -0.12 |
| Calmar Ratio (3) | -0.13 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
