Auspice July Update
July marked one of our biggest months of inflows with a combination of institutional and private wealth investors adding tactical commodity and CTA exposure.
Following 12+ months of broad commodity market consolidation, investors are increasing exposure as many new commodity uptrends re-emerge. Auspice added positions in both agricultural (grains and softs) and energy sectors across strategies, notably with the
flagship Auspice Diversified Trust adding significant net long commodity exposure, and the Auspice Broad Commodity Index (underlying of the COM & CCOM ETFs) is now long eight of twelve markets, up from four of twelve markets last month.
We believe we're entering the second inning of a commodity supercycle. Auspice Founder and CIO Tim Pickering was featured in the Saturday July 29th edition of the Financial Post and discusses some of the backdrop to the commodity supercycle
alongside the inability of rising rates to be effective for controlling cost-push inflation. See more
here.
Last, Auspice celebrated our recent success with friends, family, and partners at the 2023 Calgary Stampede, the biggest Stampede in over a decade! For photos from the event, see
here.
If you don't have a 5-10% portfolio allocation to tactical commodity and CTA strategies and need more info contact us today at info@auspicecapital.com.
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Auspice Diversified Trust
Auspice Diversified Trust was repositioning in a number of sectors resulting in a small loss of 0.36% in line with benchmarks - the BTOP50 index gained 0.34% while the SG CTA index fell 1.06%. The long-only commodity benchmarks rallied with the energy heavy
GSCI outperforming, gaining 10.2% while the more diverse Bloomberg Commodity Index (BCOM) added 5.8%. While both remain off in 2023, GSCI approached neutral and BCOM remains down 4.9%. Auspice Diversified had significant directional position changes in many
markets and sectors, both commodity and financial. Within commodities, the portfolio shifted from net short across the energy sector to net long and this accounted for the largest positive attribution.
See
more »
Detail - "Our Best Diversifier".
Negatively correlated, commodity tilted multi-strategy CTA that has consistently delivered strong, diversifying performance in risk-off and inflationary periods. Available via multiple fund structures in Canada and the US, and managed accounts.
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Auspice Broad Commodity
Auspice Broad Commodity (ABCERI) gained 1.3%, while the long-only indices continued to make back some gains from the sell-off in H1. The result pulls the ABCERI back to a gain on the year of 1.2% and a greater than 6.0% spread to BCOM. ABCERI doubled its component
exposure by net adding four markets in July – a notable shift. ABCERI has outperformed on most timeframes beyond the recent couple months, on absolute and risk-adjusted terms, even though the strategy operates at a fraction of the risk in terms of volatility
and drawdown. ETFs that track ABCERI (NYSE “COM” and TSX “CCOM”) are positive on the year, earning a cash return on over 90% of the ETF AUM, and adding over 2% of additional gains over the underlying ABCERI index.
See
more »
Detail - “Opportunistic Commodities”.
Tactical long/flat trend following core commodities with a 12-year live track record of outperformance. Available via NYSE “COM” ETF, TSX "CCOM" ETF, and managed accounts.
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Auspice One Fund Trust
The Auspice One Fund Trust (AOFT), which combines our long-standing protective approach with traditional assets on a near equal basis, had a gain of 0.89% in July. The traditional half of the portfolio, both active and passive, provided gains, while the protective
portfolio pulled back. Since 2020 inception AOFT has provided comparable returns to the XBAL balanced fund ETF with lower volatility and less than half of the maximum drawdown.
See
more »
Detail - “Equity Replacement”.
100% allocation to a commodity tilted CTA overlayed on top of a 100% allocation to traditional investments, currently targeting a 5% yield. High Sharpe, cash efficient institutional solution in a retail fund that is unique in Canada.
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Auspice Short Term
Auspice Short Term (AST), our non-trend Energy volatility strategy, finished -0.04% in July, now up 1.98% YTD. The Auspice team is optimistic about the outlook for this strategy as volatility is expected to persist in Energy markets. AST is a sub strategy within
the flagship Auspice Diversified Trust, and can produce complimentary uncorrelated returns when Energy markets are volatile or in trend transition, as experienced in the last year.
See
more »
Detail - “Non-Trend CTA Diversifier”.
Non-trend, niche, intraday energy alpha strategy that’s flat overnight, positively skewed, and has 0 correlation to CTAs, equities, and short-term managers. Available via managed accounts.
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Prior to February 28, 2023, Auspice Diversified Trust and Auspice One Fund Trust were offered via offering memorandum only and the Funds were not a reporting issuer during such prior period. The expenses of the Funds would have
been higher during such prior period had the Funds been subject to the additional regulatory requirements applicable to a reporting issuer. Auspice obtained exemptive relief on behalf of the Funds to permit the disclosure of the prior performance data for
the Funds for the time period prior to it becoming a reporting issuer.
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FROM THE BLOG:
July Outlook - Agflation
Ag commodities, those affecting the prices of our daily existence, are higher, some making all time highs in 2023 - Sugar, cattle, orange juice, cocoa, coffee. This is reality. While oil and copper retraced from 2022 highs, these less talked about commodities
made our daily existence more expensive. Did it seem cheaper to drive? Not really, but the grocery bill and restaurant costs are fresh on my mind.
The surface was calm - observed volatility was low. Headline commodities failed to entertain through the beginning of July. But the underlying current remained swift, and risky. Few saw it. Less participated in it and almost none in the entertainment media
caught it.
Read
More.
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The Financial Post
The Two Basic Ingredients Required For a Commodity Supercycle are Both at Play Right Now.
Tim Pickering was featured in the Saturday July 29th edition of the Financial Post.
“Do average citizens feel like daily expenses have gotten cheaper? Not a chance. Groceries cost much more than last year, up 9.1 per cent, which is higher than the increase in May. Core measures of inflation — which strip out volatility — have not eased.
Mortgage interest costs were up more than 30 per cent from June 2022.”
“Here is what the central banks won’t tell you, there are two types of inflation: one which they have some control over and one which they do not. Raising rates may be effective for “demand-pull” inflation, constraining the price of services and manufactured
goods. By raising rates, we all spend less. However, it is not effective for “cost-push” inflation, which is driven by commodities and wages. They don’t have this lever.”
Read article
here.
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10 REASONS TO INVEST
Managed Futures and Trend Following CTAs
Did you know that trend following CTAs:
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Have been one of the top performing strategies in inflationary regimes?
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Provided positive performance in the 15 worst quarters for the S&P500?
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Have outperformed bond, commodity, real estate, and many of the equity benchmarks since 1987, and that recent performance since 2020 is consistent with longer term CTA performance?
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Have had the lowest max drawdown among stocks, bonds, commodities, and real estate, less than a third of what equities have experienced?
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Make up 5-10% of the entire portfolio at many major pension plans?
Our new 3-page educational update is a concise review of ten of the core CTA attributes to consider when building a diversified portfolio.
Read more in "Ten
Reasons to Invest". |
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