In a recent review of commodity indices by ETF Securities, the Auspice Broad Commodity Index was listed as the top performing index of its peer group. The Auspice index outperformed its peers over 1, 3 and 5 years while posting the lowest volatility and lowest correlation to equities. Below is the chart recreated from the review. Please contact us if you would like a copy of the ETF review.
The outperformance of the index can be attributable to the three core elements that make up the methodology including a robust trend following definition, risk management and roll optimization.
In a volatile commodity market, the Auspice Broad Commodity Index has shown strong capital preservation attributes yet has still outperformed its peers on an absolute and risk-adjusted basis.