Over the past 5 ½ years, Brandywine’s Symphony program, despite suffering its largest expected drawdown, has outperformed the managed futures indexes while doing so with a negative -0.10 correlation. In addition, the three programs extracted from Symphony also posted solid performances in 2016, with only Brandywine’s Alpha Hedge program recording a slight loss. As a result, when included in a portfolio with other CTAs, Brandywine both increases portfolio returns and decreases risk. This is made clear by the chart to the right.
Brandywine’s Symphony program is the only non-correlated CTA program that is also:
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- diversified by markets (trades in well over 100 markets)
- diversified by strategies (dozens of independent trading strategies)
- 100% systematic
We are distinct in that we do not achieve our non-correlation by specializing in a particular market, sector or strategy, or through the use of discretion, but instead through our unique Return Driver based investment approach.
In addition to the obvious benefits of our non-correlation, we believe that now may be an especially opportune time for you to invest with Brandywine. Following our largest drawdown in 2015, Brandywine Symphony’s solid +12% return in 2016 began the path back to our expected performance. In the three years prior to the drawdown – while all CTA indexes posted negative returns – Brandywine recorded high single-digit returns with a 1.0+ Sharpe ratio.
With 35 years of experience, we are also one of the most established CTA firms – but with manageable AUM that allows for optimal allocations to commodity markets.
Benefit of Return Driver Based Approach
When we launched Brandywine’s Symphony program in 2011 we stressed that our Return Driver based investment approach would produce returns that were uncorrelated to those of other CTAs, stocks, bonds and hedge funds. Our performance has continued to prove this point. But even more importantly, this approach, pioneered by Brandywine, makes it easier for investors to stay the course through performance drawdowns. That is because our investment strategies are based on sound, fundamentally-based Return Drivers. If the fundamentals remain valid, during periods of loss you can more confidently add to your investment. Instead, without the confidence of the validity of Return Drivers, most people either don’t invest, or if they have already invested, withdraw money when those programs lose.
As always, please contact us with any questions or opportunities you may have.
Additional Reasons to Invest Now With Brandywine(2)
Non) Correlation (highlighted in red in table at right) of Brandywine’s Investment Programs to Other Investment Indexes3
It is this non-correlation – combined with Brandywine’s repeatable investment process and broad strategy and market diversification – that makes Brandywine such a positive addition to most investment portfolios.
See the full PDF below.