Auspice Capital Advisors, Ltd.

Auspice Short Term Program *QEP*


Monthly Performance (%)

Date Range: 08/16 - 10/20
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2020 5.72 -4.03 -1.27 -2.93 2.53 3.86 2.92 -3.47 5.18 -2.18 -0.61   5.19 
2019 -2.19 -3.65 -2.82 -1.45 -5.36 1.63 3.33 9.46 -5.72 -0.76 1.08 -2.78  -9.72 
2018 -0.77 -1.21 1.15 -2.06 5.66 4.48 7.25 3.22 -1.07 -2.16 5.85 -0.27  21.27 
2017 -9.31 -5.65 -3.27 0.83 -0.36 3.35 -1.42 3.25 1.08 0.80 -0.11 0.94  -10.14 
2016 3.26 -0.22 -0.97 0.80  2.85 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Strategy Description

The program exploits both mean reversion and short-term momentum in a tactical (non-trend following) strategy. Markets tend to move in waves. Strong moves in one direction are often followed by retracements in the opposite direction. AST identifies turning points and rides the reversion momentum for a short term gain. This program highlights background of principals as institutional energy option traders at a major oil merchant and bank.

Performance Statistics

Date Range: 08/16 - 10/20
  Program S&P 500 Coquest 40 
Total Return 7.09% 63.74% -6.28% 
Annualized Return 1.66% 12.30% -1.51% 
Annualized Std. Deviation 12.63% 15.05% 7.06% 
Correlation 0.02 0.19 
Sharpe Ratio (rf=2.5%) -0.07 0.65 -0.57 
Worst Month -9.31% -12.35% -6.10% 
Date of Worst Month 01/2017 03/2020 02/2018 
Worst Drawdown -17.56% -19.60% -11.29% 
Date of Worst Drawdown 9/16 - 3/17 12/19 - 3/20 1/18 - 1/19 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 08/16 - 10/20
Year or YTD Program S&P 500 Coquest 40 
2020 5.19 2.77 -3.54 
2019 -9.72 31.50 7.53 
2018 21.27 -4.38 -4.29 
2017 -10.14 21.84 1.24 
2016 2.85 3.85 -4.17 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 08/16 - 10/20
Date: 10/31/2020
Perf: $963.11 Date: 9/30/2020
Perf: $966.20 Date: 8/31/2020
Perf: $980.52 Date: 7/31/2020
Perf: $991.72 Date: 6/30/2020
Perf: $973.14 Date: 5/31/2020
Perf: $985.76 Date: 4/30/2020
Perf: $997.43 Date: 3/31/2020
Perf: $994.14 Date: 2/29/2020
Perf: $993.55 Date: 1/31/2020
Perf: $1,008.58 Date: 12/31/2019
Perf: $998.49 Date: 11/30/2019
Perf: $1,004.72 Date: 10/31/2019
Perf: $994.97 Date: 9/30/2019
Perf: $1,017.46 Date: 8/31/2019
Perf: $1,046.44 Date: 7/31/2019
Perf: $1,009.88 Date: 6/30/2019
Perf: $976.58 Date: 5/31/2019
Perf: $957.43 Date: 4/30/2019
Perf: $976.58 Date: 3/31/2019
Perf: $950.44 Date: 2/28/2019
Perf: $917.50 Date: 1/31/2019
Perf: $911.67 Date: 12/31/2018
Perf: $928.57 Date: 11/30/2018
Perf: $924.68 Date: 10/31/2018
Perf: $935.91 Date: 9/30/2018
Perf: $959.61 Date: 8/31/2018
Perf: $963.95 Date: 7/31/2018
Perf: $939.98 Date: 6/30/2018
Perf: $947.09 Date: 5/31/2018
Perf: $939.20 Date: 4/30/2018
Perf: $951.47 Date: 3/31/2018
Perf: $941.30 Date: 2/28/2018
Perf: $942.15 Date: 1/31/2018
Perf: $1,003.36 Date: 12/31/2017
Perf: $970.18 Date: 11/30/2017
Perf: $959.72 Date: 10/31/2017
Perf: $958.47 Date: 9/30/2017
Perf: $919.93 Date: 8/31/2017
Perf: $939.75 Date: 7/31/2017
Perf: $924.41 Date: 6/30/2017
Perf: $920.82 Date: 5/31/2017
Perf: $948.51 Date: 4/30/2017
Perf: $946.72 Date: 3/31/2017
Perf: $952.43 Date: 2/28/2017
Perf: $966.54 Date: 1/31/2017
Perf: $945.92 Date: 12/31/2016
Perf: $958.28 Date: 11/30/2016
Perf: $951.05 Date: 10/31/2016
Perf: $961.63 Date: 9/30/2016
Perf: $987.10 Date: 8/31/2016
Perf: $1,000.00 Date: 10/31/2020
Perf: $1,635.09 Date: 9/30/2020
Perf: $1,679.77 Date: 8/31/2020
Perf: $1,746.12 Date: 7/31/2020
Perf: $1,629.00 Date: 6/30/2020
Perf: $1,542.03 Date: 5/31/2020
Perf: $1,511.94 Date: 4/30/2020
Perf: $1,443.24 Date: 3/31/2020
Perf: $1,279.24 Date: 2/29/2020
Perf: $1,459.49 Date: 1/31/2020
Perf: $1,590.38 Date: 12/31/2019
Perf: $1,591.01 Date: 11/30/2019
Perf: $1,544.37 Date: 10/31/2019
Perf: $1,490.28 Date: 9/30/2019
Perf: $1,458.63 Date: 8/31/2019
Perf: $1,431.85 Date: 7/31/2019
Perf: $1,454.84 Date: 6/30/2019
Perf: $1,434.18 Date: 5/31/2019
Perf: $1,339.73 Date: 4/30/2019
Perf: $1,430.57 Date: 3/31/2019
Perf: $1,374.89 Date: 2/28/2019
Perf: $1,348.73 Date: 1/31/2019
Perf: $1,306.78 Date: 12/31/2018
Perf: $1,209.87 Date: 11/30/2018
Perf: $1,329.96 Date: 10/31/2018
Perf: $1,303.37 Date: 9/30/2018
Perf: $1,399.07 Date: 8/31/2018
Perf: $1,391.14 Date: 7/31/2018
Perf: $1,347.22 Date: 6/30/2018
Perf: $1,298.90 Date: 5/31/2018
Perf: $1,290.90 Date: 4/30/2018
Perf: $1,260.52 Date: 3/31/2018
Perf: $1,255.75 Date: 2/28/2018
Perf: $1,288.48 Date: 1/31/2018
Perf: $1,337.84 Date: 12/31/2017
Perf: $1,265.34 Date: 11/30/2017
Perf: $1,251.45 Date: 10/31/2017
Perf: $1,214.17 Date: 9/30/2017
Perf: $1,186.53 Date: 8/31/2017
Perf: $1,162.58 Date: 7/31/2017
Perf: $1,158.98 Date: 6/30/2017
Perf: $1,135.59 Date: 5/31/2017
Perf: $1,128.59 Date: 4/30/2017
Perf: $1,112.90 Date: 3/31/2017
Perf: $1,101.56 Date: 2/28/2017
Perf: $1,100.24 Date: 1/31/2017
Perf: $1,058.22 Date: 12/31/2016
Perf: $1,038.49 Date: 11/30/2016
Perf: $1,018.33 Date: 10/31/2016
Perf: $982.00 Date: 9/30/2016
Perf: $1,000.20 Date: 8/31/2016
Perf: $1,000.00 Date: 11/30/2020
Perf: $1,064.40 Date: 10/31/2020
Perf: $1,070.93 Date: 9/30/2020
Perf: $1,094.80 Date: 8/31/2020
Perf: $1,040.88 Date: 7/31/2020
Perf: $1,078.29 Date: 6/30/2020
Perf: $1,047.70 Date: 5/31/2020
Perf: $1,008.76 Date: 4/30/2020
Perf: $983.87 Date: 3/31/2020
Perf: $1,013.57 Date: 2/29/2020
Perf: $1,026.61 Date: 1/31/2020
Perf: $1,069.72 Date: 12/31/2019
Perf: $1,011.84 Date: 11/30/2019
Perf: $1,040.77 Date: 10/31/2019
Perf: $1,029.65 Date: 9/30/2019
Perf: $1,037.54 Date: 8/31/2019
Perf: $1,100.49 Date: 7/31/2019
Perf: $1,005.38 Date: 6/30/2019
Perf: $972.98 Date: 5/31/2019
Perf: $957.37 Date: 4/30/2019
Perf: $1,011.59 Date: 3/31/2019
Perf: $1,026.48 Date: 2/28/2019
Perf: $1,056.26 Date: 1/31/2019
Perf: $1,096.28 Date: 12/31/2018
Perf: $1,120.82 Date: 11/30/2018
Perf: $1,123.86 Date: 10/31/2018
Perf: $1,061.75 Date: 9/30/2018
Perf: $1,085.19 Date: 8/31/2018
Perf: $1,096.92 Date: 7/31/2018
Perf: $1,062.70 Date: 6/30/2018
Perf: $990.87 Date: 5/31/2018
Perf: $948.38 Date: 4/30/2018
Perf: $897.58 Date: 3/31/2018
Perf: $916.46 Date: 2/28/2018
Perf: $906.04 Date: 1/31/2018
Perf: $917.13 Date: 12/31/2017
Perf: $924.25 Date: 11/30/2017
Perf: $915.64 Date: 10/31/2017
Perf: $916.65 Date: 9/30/2017
Perf: $909.38 Date: 8/31/2017
Perf: $899.66 Date: 7/31/2017
Perf: $871.34 Date: 6/30/2017
Perf: $883.89 Date: 5/31/2017
Perf: $855.24 Date: 4/30/2017
Perf: $858.33 Date: 3/31/2017
Perf: $851.27 Date: 2/28/2017
Perf: $880.04 Date: 1/31/2017
Perf: $932.74 Date: 12/31/2016
Perf: $1,028.50 Date: 11/30/2016
Perf: $1,020.33 Date: 10/31/2016
Perf: $1,030.33 Date: 9/30/2016
Perf: $1,032.60 Date: 8/31/2016
Perf: $1,000.00

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Monthly Returns

Date Range: 08/16 - 10/20
Date: 11/30/2020
Return: -0.61 % Date: 10/31/2020
Return: -2.18 % Date: 9/30/2020
Return: 5.18 % Date: 8/31/2020
Return: -3.47 % Date: 7/31/2020
Return: 2.92 % Date: 6/30/2020
Return: 3.86 % Date: 5/31/2020
Return: 2.53 % Date: 4/30/2020
Return: -2.93 % Date: 3/31/2020
Return: -1.27 % Date: 2/29/2020
Return: -4.03 % Date: 1/31/2020
Return: 5.72 % Date: 12/31/2019
Return: -2.78 % Date: 11/30/2019
Return: 1.08 % Date: 10/31/2019
Return: -0.76 % Date: 9/30/2019
Return: -5.72 % Date: 8/31/2019
Return: 9.46 % Date: 7/31/2019
Return: 3.33 % Date: 6/30/2019
Return: 1.63 % Date: 5/31/2019
Return: -5.36 % Date: 4/30/2019
Return: -1.45 % Date: 3/31/2019
Return: -2.82 % Date: 2/28/2019
Return: -3.65 % Date: 1/31/2019
Return: -2.19 % Date: 12/31/2018
Return: -0.27 % Date: 11/30/2018
Return: 5.85 % Date: 10/31/2018
Return: -2.16 % Date: 9/30/2018
Return: -1.07 % Date: 8/31/2018
Return: 3.22 % Date: 7/31/2018
Return: 7.25 % Date: 6/30/2018
Return: 4.48 % Date: 5/31/2018
Return: 5.66 % Date: 4/30/2018
Return: -2.06 % Date: 3/31/2018
Return: 1.15 % Date: 2/28/2018
Return: -1.21 % Date: 1/31/2018
Return: -0.77 % Date: 12/31/2017
Return: 0.94 % Date: 11/30/2017
Return: -0.11 % Date: 10/31/2017
Return: 0.80 % Date: 9/30/2017
Return: 1.08 % Date: 8/31/2017
Return: 3.25 % Date: 7/31/2017
Return: -1.42 % Date: 6/30/2017
Return: 3.35 % Date: 5/31/2017
Return: -0.36 % Date: 4/30/2017
Return: 0.83 % Date: 3/31/2017
Return: -3.27 % Date: 2/28/2017
Return: -5.65 % Date: 1/31/2017
Return: -9.31 % Date: 12/31/2016
Return: 0.80 % Date: 11/30/2016
Return: -0.97 % Date: 10/31/2016
Return: -0.22 % Date: 9/30/2016
Return: 3.26 % Date: 8/31/2016
Return: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 08/16 - 10/20
Return: 5.00 %
Count: 1 Return: 9.00 %
Count: 1 Return: 2.00 %
Count: 1 Return: -5.00 %
Count: 1 Return: -4.00 %
Count: 2 Return: 7.00 %
Count: 1 Return: 4.00 %
Count: 2 Return: 6.00 %
Count: 3 Return: -2.00 %
Count: 4 Return: -3.00 %
Count: 5 Return: -6.00 %
Count: 2 Return: -9.00 %
Count: 1 Return: 1.00 %
Count: 7 Return: -1.00 %
Count: 9 Return: 3.00 %
Count: 7 Return: 0.00 %
Count: 5

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Underwater Curve

Date Range: 08/16 - 10/20
Date: 11/30/2020
Drawdown: -5.29 % Date: 10/31/2020
Drawdown: -4.71 % Date: 9/30/2020
Drawdown: -2.59 % Date: 8/31/2020
Drawdown: -7.38 % Date: 7/31/2020
Drawdown: -4.05 % Date: 6/30/2020
Drawdown: -6.78 % Date: 5/31/2020
Drawdown: -10.24 % Date: 4/30/2020
Drawdown: -12.46 % Date: 3/31/2020
Drawdown: -9.81 % Date: 2/29/2020
Drawdown: -8.65 % Date: 1/31/2020
Drawdown: -4.82 % Date: 12/31/2019
Drawdown: -9.97 % Date: 11/30/2019
Drawdown: -7.39 % Date: 10/31/2019
Drawdown: -8.38 % Date: 9/30/2019
Drawdown: -7.68 % Date: 8/31/2019
Drawdown: -2.08 % Date: 7/31/2019
Drawdown: -10.54 % Date: 6/30/2019
Drawdown: -13.43 % Date: 5/31/2019
Drawdown: -14.81 % Date: 4/30/2019
Drawdown: -9.99 % Date: 3/31/2019
Drawdown: -8.66 % Date: 2/28/2019
Drawdown: -6.01 % Date: 1/31/2019
Drawdown: -2.45 % Date: 12/31/2018
Drawdown: -0.27 % Date: 11/30/2018
Drawdown: 0.00 % Date: 10/31/2018
Drawdown: -3.21 % Date: 9/30/2018
Drawdown: -1.07 % Date: 8/31/2018
Drawdown: 0.00 % Date: 7/31/2018
Drawdown: 0.00 % Date: 6/30/2018
Drawdown: -4.04 % Date: 5/31/2018
Drawdown: -8.16 % Date: 4/30/2018
Drawdown: -13.08 % Date: 3/31/2018
Drawdown: -11.25 % Date: 2/28/2018
Drawdown: -12.26 % Date: 1/31/2018
Drawdown: -11.18 % Date: 12/31/2017
Drawdown: -10.49 % Date: 11/30/2017
Drawdown: -11.33 % Date: 10/31/2017
Drawdown: -11.23 % Date: 9/30/2017
Drawdown: -11.93 % Date: 8/31/2017
Drawdown: -12.87 % Date: 7/31/2017
Drawdown: -15.62 % Date: 6/30/2017
Drawdown: -14.40 % Date: 5/31/2017
Drawdown: -17.18 % Date: 4/30/2017
Drawdown: -16.88 % Date: 3/31/2017
Drawdown: -17.56 % Date: 2/28/2017
Drawdown: -14.77 % Date: 1/31/2017
Drawdown: -9.67 % Date: 12/31/2016
Drawdown: -0.40 % Date: 11/30/2016
Drawdown: -1.19 % Date: 10/31/2016
Drawdown: -0.22 % Date: 9/30/2016
Drawdown: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Manager Information

Manager Name:  Auspice Capital Advisors, Ltd.
Address: Suite 510, 1000 7th Ave SW
City: Calgary
State: AB
Zip: T2P 5L5
Country: Canada

Key People

Name:  Ken Corner
Position:  Principal
Biography: 


Name:  Tim Pickering
Position:  Principal
Biography: 

Tim Pickering, President of Auspice, held previous senior trading roles at TD Securities and Shell Trading (V.P. Options Trading, North America).


Additional Information

 Futures Sectors Traded
 Energies Yes 
 Investment Methodology
 Systematic Yes 
 Mean-reversion Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Developed Only Yes 
 Holding Period
 Intra-Day Yes 
 Investment Terms & Information
 Managed Account Minimum: $5,000,000 
 Margin / Equity Ratio:  
 Managed Account Availability: Open 
Copyright © 2020 CoquestTradersResearch.com
All rights Reserved