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.